扩展最小二乘法使变量之间的非线性关系显而易见:金融资产组合

Q4 Business, Management and Accounting Journal of Risk and Financial Management Pub Date : 2024-08-02 DOI:10.3390/jrfm17080336
Pierpaolo Angelini
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引用次数: 0

摘要

这项研究工作扩展了最小二乘标准。迄今为止,文献中的回归模型并没有研究变量之间的多线性关系。这种关系具有非线性性质。只要两个或两个以上的单变量是 2 阶或大于 2 阶的多变量的组成部分,就会出现这种关系。阶次为 2 的多元变量不是二元变量,阶次大于 2 的多元变量不是多元变量。多元变量可以构造张量。这个张量的 α 正则产生了一个多线性性质的总体度量。本文将展示这四条回归线是如何产生多线性度量的。在本研究工作中,这种度量是对金融资产组合预期收益的估计。α-乘积的度量概念用于概括观察到的抽样单位。
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Extended Least Squares Making Evident Nonlinear Relationships between Variables: Portfolios of Financial Assets
This research work extends the least squares criterion. The regression models which have been treated so far in the literature do not study multilinear relationships between variables. Such relationships are of a nonlinear nature. They take place whenever two or more than two univariate variables are the components of a multiple variable of order 2 or an order greater than 2. A multiple variable of order 2 is not a bivariate variable, and a multiple variable of an order greater than 2 is not a multivariate variable. A multiple variable allows for the construction of a tensor. The α-norm of this tensor gives rise to an aggregate measure of a multilinear nature. In particular, given a multiple variable of order 2, four regression lines can be estimated in the same subset of a two-dimensional linear space over R. How these four regression lines give rise to an aggregate measure of a multilinear nature is shown by this paper. In this research work, such a measure is an estimate concerning the expected return on a portfolio of financial assets. The metric notion of α-product is used to summarize the sampling units which are observed.
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来源期刊
CiteScore
4.50
自引率
0.00%
发文量
512
审稿时长
11 weeks
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