The Fama-Macbeth (1973) rolling-β method is widely used for estimating risk premiums, but its inherent errors-in-variables bias remains an unresolved problem, particularly when using individual assets or macroeconomic factors. We propose a solution with a particular instrumental variable, β calculated from alternate observations. The resulting estimators are unbiased. In simulations, we compare...

In this paper an adaptive neuro fuzzy inference system based on interval Gaussian type-2 fuzzy sets in the antecedent part and Gaussian type-1 fuzzy sets as coefficients of linear combination of input variables in the consequent part is presented. The capability of the proposed method (we named ANFIS2) to function approximation and dynamical system identification is shown. The ANFIS2 structure ...

Low-intensity magnetic separators are widely used in the research works and the industry. Advancement in the magnetic separation techniques has led to an expansion in the application of this method in different fields such as enrichment of magnetic mineral, wastewater treatment, and medicine transfer in the human body. In the mineral processing industry, the main application of wet magnetic sep...

CORSIM is a large microsimulator for vehicular traffic, and is being studied with respect to its ability to successfully model and predict behavior of traffic in a 36 block section of Chicago. Inputs to the simulator include information about street configuration, driver behavior, traffic light timing, turning probabilities at each corner and distributions of traffic ingress into the system. Da...

The problem of fitting a parametric model in Tobit errors-in-variables regression models is discussed in this paper. The proposed test is based on the supremum of the Khamaladze type transformation of a certain partial sum process of calibrated residuals. This framework covers the usual error-free Tobit model as a special case. The asymptotic null distribution of this transformed process is sho...

In this paper we consider the issues involved in model order selection for processes observed with additive Gaussian noise. In particular, we discuss conditional maximum likelihood estimation of noisy autoregressive models and provide an estimator that takes care of the observational noise. The estimator is weakly consistent, can be computed in only O n steps and can be used in the automatic mo...

The use of periodic excitation signals in identiication experiments is advocated. With periodic excitation it is possible to separate the driving signals and the disturbances , which for instance implies that the noise properties can be independently estimated. In the paper a non-parametric noise model, estimated directly from the measured data, is used in a compensation strategy applicable to ...

An antenna array element failure problem is one of the practical and challenging issues in the field of adaptive beamforming. The complete radiation pattern of the array is distorted when any one of the elements fails. Sidelobes level increases, nulls are shifted and null depth is also decreased tremendously. In order to mitigate the problem, we have given a new and easy approach coined as conj...

Consistent estimators of the rank-de0cient fundamental matrix yielding information on the relative orientation of two images in two-view motion analysis are derived. The estimators are derived by minimizing a corrected contrast function in a quadratic measurement error model. In addition, a consistent estimator for the measurement error variance is obtained. Simulation results show the improved...

This paper provides some useful tests for fitting a parametric single-index regression model when covariates are measured with error and validation data is available. We propose two tests whose consistency rates do not depend on the dimension of the covariate vector when an adaptive-to-model strategy is applied. One of these tests has a bias term that becomes arbitrarily large with increasing s...