This study investigates asset returns within the Iraq Stock Exchange by employing both the Fama-MacBeth regression model and the Fama-French three-factor model. The research involves the estimation of cross-sectional regressions wherein model parameters are subject to temporal variation, and the independent variables function as proxies. The dataset comprises information from the first quarter of 2010 to the first quarter of 2024, encompassing 22 publicly listed companies across six industrial sectors. The study explores methodological advancements through the application of the Single Index Model (SIM) and Kernel Weighted Regression (KWR) in both time series and cross-sectional analyses. The SIM outperformed the KWR approach in estimating time-varying beta coefficients, yielding a mean Root Mean Squared Error (RMSE) of 0.14316. Furthermore, the integrated KWR-SIM methodology achieved the lowest Adjusted Root Mean Squared Error (ARMSE) value of 0.08152 when modelling the association between risk factors and asset returns within the cross-sectional analytical framework. Statistical tests for significance produced heterogeneous responses of the returns on assets in the Iraqi financial market to the Fama-French posited economic variables. The estimated coefficients for the betas showed significant oscillations for all assets, confirming changes in economic conditions. The results add to our knowledge of the risk-reward relationship in the context of emerging markets and provide methodological insights into financial asset pricing. The evidence indicates that the KWR-SIM method has better capabilities for model fitting
The Multiple Signal Classification (MUSIC) algorithm is the most popular algorithm to estimate the Angle of Arrival (AOA) of the received signals. The analysis of this algorithm (MUSIC) with typical array antenna element ( ) shows that there are two false direction indication in the plan
aligned with the axis of the array. In this paper a suggested modification on array system is proposed by using two perpendiculars crossed dipole array antenna in spite of one array antenna. The suggested modification does not affect the AOA estimation algorithm. The simulation and results shows that the proposed solution overcomes the MUSIC problem without any effect on the performance of the system.
Bootstrap is one of an important re-sampling technique which has given the attention of researches recently. The presence of outliers in the original data set may cause serious problem to the classical bootstrap when the percentage of outliers are higher than the original one. Many methods are proposed to overcome this problem such Dynamic Robust Bootstrap for LTS (DRBLTS) and Weighted Bootstrap with Probability (WBP). This paper try to show the accuracy of parameters estimation by comparison the results of both methods. The bias , MSE and RMSE are considered. The criterion of the accuracy is based on the RMSE value since the method that provide us RMSE value smaller than other is con
... Show MoreIn this research the Empirical Bayes method is used to Estimate the affiliation parameter in the clinical trials and then we compare this with the Moment Estimates for this parameter using Monte Carlo stimulation , we assumed that the distribution of the observation is binomial distribution while the distribution with the unknown random parameters is beta distribution ,finally we conclude that the Empirical bayes method for the random affiliation parameter is efficient using Mean Squares Error (MSE) and for different Sample size .
In this paper we estimate the coefficients and scale parameter in linear regression model depending on the residuals are of type 1 of extreme value distribution for the largest values . This can be regard as an improvement for the studies with the smallest values . We study two estimation methods ( OLS & MLE ) where we resort to Newton – Raphson (NR) and Fisher Scoring methods to get MLE estimate because the difficulty of using the usual approach with MLE . The relative efficiency criterion is considered beside to the statistical inference procedures for the extreme value regression model of type 1 for largest values . Confidence interval , hypothesis testing for both scale parameter and regression coefficients
... Show MoreIn this research, a variable stiffness actuator is proposed to enhance the damping of the mechanical vibrating system. The frequency response analysis of the vibrating system is dependant in order to analyze and synthesis this semi-active damping, where the suggested process is using active filter to estimate the present frequency of the vibration system, and this will limit the value of the stiffness of the vibrated system. Two active filter s are needed, low-pass-filter (LPF) to choose the higher stiffness of the actuator at small frequencies as well as more damping and high-pass-filter (HPF) to choose the lower stiffness of the actuator at high frequencies as well as more damping, and so
... Show MoreWe introduced the nomenclature of orthogonal G -m-derivations and orthogonal generalized G -m-derivations in semi-prime G -near-rings and provide a few essentials and enough provision for generalized G -n-derivations in semi-prime G -near-rings by orthogonal.
Urban land price is the primary indicator of land development in urban areas. Land prices in holly cities have rapidly increased due to tourism and religious activities. Public agencies are usually facing challenges in managing land prices in religious areas. Therefore, they require developed models or tools to understand land prices within religious cities. Predicting land prices can efficiently retain future management and develop urban lands within religious cities. This study proposed a new methodology to predict urban land prices within holy cities. The methodology is based on two models, Linear Regression (LR) and Support Vector Regression (SVR), and nine variables (land price, land area,
... Show MoreSegmented regression consists of several sections separated by different points of membership, showing the heterogeneity arising from the process of separating the segments within the research sample. This research is concerned with estimating the location of the change point between segments and estimating model parameters, and proposing a robust estimation method and compare it with some other methods that used in the segmented regression. One of the traditional methods (Muggeo method) has been used to find the maximum likelihood estimator in an iterative approach for the model and the change point as well. Moreover, a robust estimation method (IRW method) has used which depends on the use of the robust M-estimator technique in
... Show MoreHuge number of medical images are generated and needs for more storage capacity and bandwidth for transferring over the networks. Hybrid DWT-DCT compression algorithm is applied to compress the medical images by exploiting the features of both techniques. Discrete Wavelet Transform (DWT) coding is applied to image YCbCr color model which decompose image bands into four subbands (LL, HL, LH and HH). The LL subband is transformed into low and high frequency components using Discrete Cosine Transform (DCT) to be quantize by scalar quantization that was applied on all image bands, the quantization parameters where reduced by half for the luminance band while it is the same for the chrominance bands to preserve the image quality, the zig
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