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1. Research of New Criteria for Detecting First-order Residuals Autocorrelation in Regression Models

Author

M. P. Bazilevsky

Subjects
autocorrelation of first-order in residuals, durbin-watson statistic, subset selection, modular autocorrelation statistic, double modular autocorrelation statistic, monte carlo method, Mathematics, QA1-939
Abstract

When estimating regression models using the least squares method, one of its prerequisites is the lack of autocorrelation in the regression residuals. The presence of autocorrelation in the residuals makes the least-squares regression estimates to be ineffective, and the standard errors of these estimates to be untenable. Quantitatively, autocorrelation in the residuals of the regression model has traditionally been estimated using the Durbin-Watson statistic, which is the ratio of the sum of the squares of differences of consecutive residual values to the sum of squares of the residuals. Unfortunately, such an analytical form of the Durbin-Watson statistic does not allow it to be integrated, as linear constraints, into the problem of selecting informative regressors, which is, in fact, a mathematical programming problem in the regression model. The task of selecting informative regressors is to extract from the given number of possible regressors a given number of variables based on a certain quality criterion.The aim of the paper is to develop and study new criteria for detecting first-order autocorrelation in the residuals in regression models that can later be integrated into the problem of selecting informative regressors in the form of linear constraints. To do this, the paper proposes modular autocorrelation statistic for which, using the Gretl package, the ranges of their possible values and limit values were first determined experimentally, depending on the value of the selective coefficient of auto-regression. Then the results obtained were proved by model experiments using the Monte Carlo method. The disadvantage of the proposed modular statistic of adequacy is that their dependencies on the selective coefficient of auto-regression are not even functions. For this, double modular autocorrelation criteria are proposed, which, using special methods, can be used as linear constraints in mathematical programming problems to select informative regressors in regression models.

Published
2018
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2. Метод построения неэлементарных линейных регрессий на основе аппарата математического программирования

Subjects
rail freight, nonelementary linear regression, coefficient of determination, отбор информативных регрессоров, subset selection, метод наименьших квадратов, неэлементарная линейная регрессия, коэффициент детерминации, ordinary least squares method, интерпретация, железнодорожные грузоперевозки, 0-1 mixed integer linear programming problem, задача частично-булевого линейного программирования, interpretation
Abstract

Рассматривается проблема построения неэлементарных линейных регрессий, состоящих из объясняющих переменных и всевозможных комбинаций их пар, преобразованных с помощью бинарных операций минимум и максимум. Задача построения таких моделей формализована в виде задачи частично-булевого линейного программирования. Регулируя в ней ограничения на бинарные переменные, можно контролировать структурную спецификацию неэлементарной линейной регрессии, а именно количество входящих в нее регрессоров, их типы и состав объясняющих переменных. При этом оценки параметров модели находятся приближенно с помощью метода наименьших квадратов. К достоинствам сформулированной задачи относится то, что число ее ограничений не зависит от объема выборки, а знаки оценок при объясняющих переменных согласуются со знаками коэффициентов их корреляции с зависимой переменной. Показано, как на начальном этапе отсекать регрессоры, чтобы сократить время решения задачи и сделать модель вполне интерпретируемой. Построена неэлементарная линейная регрессия для моделирования железнодорожных грузоперевозок в Иркутской области и дана ее интерпретация., This paper is devoted to constructing nonelementary linear regressions consisting of explanatory variables and all possible combinations of their pairs transformed using binary minimum and maximum operations. Such models are formalized through a 0-1 mixed integer linear programming problem. By adjusting the constraints on binary variables, we control the structural specification of a nonelementary linear regression, namely, the number of regressors, their types, and the composition of explanatory variables. In this case, the model parameters are approximately estimated using the ordinary least squares method. The formulated problem has advantages: the number of constraints does not depend on the sample size, and the signs of the estimates for the explanatory variables are consistent with the signs of their correlation coefficients with the dependent variable. Regressors are eliminated at the initial stage to reduce the time for solving the problem and make the model quite interpretable. A nonelementary linear regression of rail freight in Irkutsk oblast is constructed, and its interpretation is given., Проблемы управления, Выпуск 4 2022, Pages 3-14

Published
2022
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