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Functional Analysis of Variance: An Application to Stock Exchange

Year 2024, , 168 - 174, 28.03.2024
https://doi.org/10.17776/csj.1371399

Abstract

The concept of "functional data" allows for the representation of data collected repeatedly over a period of time as a continuous function within a specific range on the time axis, rather than as discrete measurement points. Traditional statistical analysis has been adapted to accommodate functional data. This paper discusses the adaptation of one-way analysis of variance for functional data, covering parameter estimations and obtaining test statistics. As a numerical example, stock exchange values from various countries across different continents are used. The aim is to discern potential differences among countries based on these stock exchange values during the Covid-19 pandemic, utilizing one-way analysis of variance for functional data.

References

  • [1] Ramsay J., When the data are functions, Psychometrika, 47 (4) (1982) 379-396.
  • [2] Ramsay J., Dalzell C., Some tools for functional data analysis, Journal of the Royal Statistical Society, Series B (Statistical Methodology), (1991) 539-572.
  • [3] Grenander U., Stochastic processes and statistical inference, Ark. Mat., 1 (3) (1950) 195-277.
  • [4] Rao C.R., Some statistical methods for comparison of growth curves, Biometrics, 14 (1) (1958) 1-17.
  • [5] Wang S., Sobel A., Fridlind A., Feng Z., Comstock J.M., Minnis P., and Nordeen M., Simulations of cloud-radiation interaction using large-scale forcing derived from the CINDY/DYNAMO northern sounding array, J. Adv. Model. Earth Syst., 7 (3) (2015) 1472-1498.
  • [6] Yaraee K., Functional Data Analysis with Application to MS and Cervical Vertebrae Data, Master thesis, University of Alberta, 2011.
  • [7] Ogutcu S., Functional Data Analysis and An Application to Analysis of Variance, Mater thesis, Gebze Technical University, 2023.
  • [8] Demirdöğen O., Yorulmaz R., Kovid-19 Salgınının Dünya Ekonomilerine Etkileri, Ortadoğu Araştırmaları Merkezi, Ankara, (2020).
  • [9] Albulescu C., Coronavirus and Financial Volatility: 40 Days of Fasting and Fear, Quantitative Finance, (2020).
  • [10] Khan S., Siddique R., Li H., Ali A., Shereen M.A., Bashir N., Xue M., Impact of coronavirus outbreak on psychological health, J Glob Health, 10 (2020) 1-16.
  • [11] IMF Blog, The Great Lockdown: Worst Economic Downturn Since the Great Depression, NOS. Available at: https://www.imf.org/en/Blogs/Articles/2020/04/14/blog-weo-the-great-lockdown-worst-economic-downturn-since-the-great-depression. Retrieved March 14, 2023.
  • [12] Ashraf B.N., Stock Markets Reaction To Covid-19: Cases Or Fatalities?, Research in International Business and Finance, (2020).
Year 2024, , 168 - 174, 28.03.2024
https://doi.org/10.17776/csj.1371399

Abstract

References

  • [1] Ramsay J., When the data are functions, Psychometrika, 47 (4) (1982) 379-396.
  • [2] Ramsay J., Dalzell C., Some tools for functional data analysis, Journal of the Royal Statistical Society, Series B (Statistical Methodology), (1991) 539-572.
  • [3] Grenander U., Stochastic processes and statistical inference, Ark. Mat., 1 (3) (1950) 195-277.
  • [4] Rao C.R., Some statistical methods for comparison of growth curves, Biometrics, 14 (1) (1958) 1-17.
  • [5] Wang S., Sobel A., Fridlind A., Feng Z., Comstock J.M., Minnis P., and Nordeen M., Simulations of cloud-radiation interaction using large-scale forcing derived from the CINDY/DYNAMO northern sounding array, J. Adv. Model. Earth Syst., 7 (3) (2015) 1472-1498.
  • [6] Yaraee K., Functional Data Analysis with Application to MS and Cervical Vertebrae Data, Master thesis, University of Alberta, 2011.
  • [7] Ogutcu S., Functional Data Analysis and An Application to Analysis of Variance, Mater thesis, Gebze Technical University, 2023.
  • [8] Demirdöğen O., Yorulmaz R., Kovid-19 Salgınının Dünya Ekonomilerine Etkileri, Ortadoğu Araştırmaları Merkezi, Ankara, (2020).
  • [9] Albulescu C., Coronavirus and Financial Volatility: 40 Days of Fasting and Fear, Quantitative Finance, (2020).
  • [10] Khan S., Siddique R., Li H., Ali A., Shereen M.A., Bashir N., Xue M., Impact of coronavirus outbreak on psychological health, J Glob Health, 10 (2020) 1-16.
  • [11] IMF Blog, The Great Lockdown: Worst Economic Downturn Since the Great Depression, NOS. Available at: https://www.imf.org/en/Blogs/Articles/2020/04/14/blog-weo-the-great-lockdown-worst-economic-downturn-since-the-great-depression. Retrieved March 14, 2023.
  • [12] Ashraf B.N., Stock Markets Reaction To Covid-19: Cases Or Fatalities?, Research in International Business and Finance, (2020).
There are 12 citations in total.

Details

Primary Language English
Subjects Statistical Experiment Design, Statistical Data Science, Applied Statistics
Journal Section Natural Sciences
Authors

Selin Öğütcü 0000-0003-4568-9254

Nuri Çelik 0000-0002-4234-2389

Publication Date March 28, 2024
Submission Date October 5, 2023
Acceptance Date February 5, 2024
Published in Issue Year 2024

Cite

APA Öğütcü, S., & Çelik, N. (2024). Functional Analysis of Variance: An Application to Stock Exchange. Cumhuriyet Science Journal, 45(1), 168-174. https://doi.org/10.17776/csj.1371399