[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/a/aic/saebjn/v70y2023i2p221-234n272.html
   My bibliography  Save this article

The Effectiveness of the Huber's Weight on Dispersion and Tuning Constant: A Simulation Study

Author

Listed:
  • Intan Martina Md Ghani

    (Universiti Malaysia Terengganu)

  • Hanafi A Rahim

    (Universiti Malaysia Terengganu)

Abstract
Dispersion measurement and tuning constants are critical aspects of a model's robustness and efficiency. However, in the presence of outliers, the standard deviation is not a reliable measure of dispersion in Huber's weight. This research aimed to assess the efficacy of the Huber weight function in terms of dispersion measurement and tuning constant. The simulation study was conducted on a hybrid of the autoregressive (AR) model and the generalized autoregressive conditional heteroscedasticity (GARCH) model with 10% and 20% additive outlier contamination. In the simulation analysis, three dispersion measurements were compared: median absolute deviation (MAD), interquartile range (IQR), and IQR/3, with two tuning constant values (1.345 and 1.5). The numerical simulation results showed that during contamination with 10% and 20% additive outliers, the IQR/3 outperformed the MAD and IQR. Our findings also showed that IQR/3 is a potentially more robust dispersion measurement in Huber's weight. The tuning constant of 1.5 revealed a decrease in resistance to outliers and increased efficiency. The proposed IQR/3 model with a constant tuning value (h) of 1.5 outperformed the AR(1)-GARCH(1,2) model while minimising the effect of additive outliers.

Suggested Citation

  • Intan Martina Md Ghani & Hanafi A Rahim, 2023. "The Effectiveness of the Huber's Weight on Dispersion and Tuning Constant: A Simulation Study," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 70(2), pages 221-234, June.
    • Handle: RePEc:aic:saebjn:v:70:y:2023:i:2:p:221-234:n:272
    DOI: 10.47743/saeb-2023-0022
    as

    Download full text from publisher

    File URL: http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1656
    Download Restriction: no
    File URL: https://libkey.io/10.47743/saeb-2023-0022?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aic:saebjn:v:70:y:2023:i:2:p:221-234:n:272. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sireteanu Napoleon-Alexandru (email available below). General contact details of provider: https://edirc.repec.org/data/feaicro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.