2007
DOI: 10.17016/ifdp.2007.895
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A Note on the Coefficient of Determination in Models with Infinite Variance Variables

Abstract: Since the seminal work of Mandelbrot (1963),-stable distributions with in…nite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially …nancial data. After providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with in…nite-variance variables, we examine the statistical properties of the coe¢ cient of determination in models with-stable variables. If the regressor and error … Show more

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Cited by 5 publications
(3 citation statements)
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References 35 publications
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“…The R 2 quantifies the proportion of variance in the measurement points that is explained by the model. A higher R 2 indicates a better fit to the data [9] and is defined as:…”
Section: Out-of-sample Evaluationmentioning
confidence: 99%
“…The R 2 quantifies the proportion of variance in the measurement points that is explained by the model. A higher R 2 indicates a better fit to the data [9] and is defined as:…”
Section: Out-of-sample Evaluationmentioning
confidence: 99%
“…One could calculate the regression coefficients in the following way [13]. Regression parameters could be estimated on the basis of random point values that are written in the following form:…”
Section: Constructing the Mathematical Ratios Between The Basic Parameters Of The 80211 Standard Wireless Channel And The Level Of Fluctumentioning
confidence: 99%
“…Expression (13) shows that a fluctuation dependence coefficient demonstrates the dependence between the average statistical values of the ΔP and ΔV fluctuation intervals in empirical studies and depends on the variances of the initial levels of regression models.…”
Section: Determining the Statistical Relazztionship Between Fluctuations In The Basic Parameters Of The 80211 Standard Wireless Channelmentioning
confidence: 99%