Madhava K.S Rao | SVKM NMIMS (original) (raw)

Papers by Madhava K.S Rao

Research paper thumbnail of An investigation of roadside particles and carbon d ioxide gas concentration in Gaborone, Botswana: A statistical study

The present experimental study was conducted to mon itor the aerosol particle concentration and c... more The present experimental study was conducted to mon itor the aerosol particle concentration and carbon dioxide gas concentration in Gaborone, Botsw ana. The measurements of concentration of aerosol particles larger than 0.3 µm and carbon dioxide gas concentration in Gaborone, between September 2006 and August 2008 were made at 12 noon everyday. Particle measurements were made using a battery -powered han d held particle counter-model HHPC- 6 Met One. Carbon dioxide gas concentration measureme nt was made using Horiba VIA-510 gas analyzer. The collected data was analyzed using gra phical and traditional statistical techniques. A new classification criterion is introduced to ide ntify severity states of airborne particles. Two new measures to assess the symmetry of counts of se verity states and spread of severity states around the normal states are proposed. This study s hows that the mean monthly particle concentration increases and becomes its maximum dur ing winter [June-August]. ...

Research paper thumbnail of A probabilistic approach to categorise equity index volatility

Forecasting volatility in stock indices and currency returns have been major areas of research in... more Forecasting volatility in stock indices and currency returns have been major areas of research in financial economics. In general, volatility of stock indices may relate to the swings in mean or standard deviation of the returns of the last T trading days. Many traditional econometric methods forecast the conditional distribution of asset returns by a point prediction of volatility. The main thrust of this study is to suggest an alternative approach for modelling and related analysis of swings in weekly / monthly means of asset returns. In the new approach suggested here, volatility in weekly / monthly means of stock returns is conceived as a function of mean asset returns and its standard error, and is further classified into various states according to predetermined perceptions of the market player. Fairly accurate knowledge of such states of volatility in weekly / monthly mean asset returns will be of considerable help to a prospective or an existing market player. A probability ...

Research paper thumbnail of Some count-based nonparametric tests for circular symmetry of a bivariate distribution

Communications in Statistics - Simulation and Computation, 2018

In this paper, we revisit the problem of testing of the hypothesis of circular symmetry of a biva... more In this paper, we revisit the problem of testing of the hypothesis of circular symmetry of a bivariate distribution. We propose some nonparametric tests based on sector counts. These include tests based on chi-square goodness-of-fit test, the classical likelihood ratio, mean deviation, and the range. The proposed tests are easy to implement and the exact null distributions for small sample sizes of the test statistics are obtained. Two examples with small and large data sets are given to illustrate the application of the tests proposed. For small and moderate sample sizes, the performances of the proposed tests are evaluated using empirical powers (empirical sizes are also reported). Also, we evaluate the performance of these count-based tests with adaptations of several wellknown tests such as the Kolmogorov-Smirnov-type tests, tests based on kernel density estimator, and the Wilcoxon-type tests. It is observed that among the count-based tests the likelihood ratio test performs better.

Research paper thumbnail of Analysis of students' opinions on January 2009 campus strike at the University of Botswana

This paper looks into the issues surrounding the students' strike at the University of Botswa... more This paper looks into the issues surrounding the students' strike at the University of Botswana in 2009. The variables considered included; gender, nationality, residence, attitude towards violence and support for the strike. There were 327 valid responses from the sample of 337 students across the departments and program levels. The Chi-square and Logistic Regression analyses were used to relate the variables. It was found that a culture of violence was brewing up among the male students in the university and there was poor communication between the students and the stakeholders which could have a negative effect on the long-term vision of the country.

Research paper thumbnail of The Effects of 4-CHLOROPHENOXYACETIC Acid Plant Growth Regulator on the Fruit Set, Yield and Economic Benefit of Growing Tomatoes in High Temperatures

The effects of different concentrations of 4-chlorophenoxyacetic acid (4-CPA) plant growth regula... more The effects of different concentrations of 4-chlorophenoxyacetic acid (4-CPA) plant growth regulator hormone on fruit set, yield and economic benefit of tomato (Lycopersicon esculentum Mill) growing in high temperatures in Botswana (Southern Africa) were examined. In a field experiment laid under complete randomized block design, tomatoes flowers were treated with four different concentrations of 00 ppm (control), 15ppm, 45ppm and 75ppm of 4-CPA growth regulator. Data collected involved number of fruit set, weight of small tomato, weight of cracked tomatoes, weight of cat face tomatoes, weight of rotten tomatoes, weight of pest damaged tomatoes and marketable tomatoes. A two way analysis of variance (ANOVA) was performed using the SPSS software ver.19 to analyze the data. The application of 4-CPA hormone indicated a positive and significant effect on the fruit set and yields of tomato. A positive relationship between the hormone concentration and the fruit set as well as total yield...

Research paper thumbnail of An Assessment of Severity of Environmental Aerosol Particles During Precipitation

International Journal of Environment, 2015

Africa is one of the sources of biomass burning emissions. It is estimated that about 6 million t... more Africa is one of the sources of biomass burning emissions. It is estimated that about 6 million tons of fuel per day is consumed in the southern hemisphere. Biomass burning has an important contribution on aerosol particle concentrations in the atmosphere. Efforts have been made to conduct research in Gaborone to monitor the concentration of atmospheric aerosols in atmosphere. These studies were mainly confined to measurement of concentration of aerosols and establishing a relation with determinants such as carbon dioxide concentration, biomass burning, and precipitation among others. However, very little seems to have been done in relating the empirical data to a mathematical model or to study quantitatively the impact of precipitation on the concentration of aerosols larger than 0.3µm in the atmosphere. In this paper we provide an objective criterion for classifying measurements on concentration of atmospheric aerosol particles and build a mathematical model that helps us to understand variations in weekly aerosol concentrations in terms of their severity. We also construct an index of severity which when applied to different seasons under the study period indicates that precipitation significantly scavenges atmospheric aerosols.

Research paper thumbnail of A new method of quantifying aerosol concentrations in atmosphere

Meteorology and Atmospheric Physics, 2014

Research paper thumbnail of Evaluation of Tomato Varieties for Pest and Disease Adaptation and Productivity in Botswana

International Journal of Agricultural and Food Research

Six varieties of tomato were evaluated for pest and disease adaptation and productivity in Botswa... more Six varieties of tomato were evaluated for pest and disease adaptation and productivity in Botswana. Tomato varieties were planted under a complete randomized block design experiment with four replications at farmers' field in Maun, Botswana (Southern Africa). Tomato varieties were evaluated for yield, nematode and late blight resistance. The quantitative data on yield of tomato and qualitative data on nematode and late blight resistance and farmers perception on the varieties were collected. Inferential and descriptive statistical methods were used for data analysis where two ways analysis of variance and ranking scales were applied. Harvested fruits of tomato were graded into six categories of fruits namely, marketable, small, cracked, cat face, rotten and pest damaged. Tomato variety Zeal produced the highest total yield whereas Six Pack variety gave the lowest total yield. Heinz 1370 was the highest severely affected tomato variety by nematodes as well as by the late blight disease and thus produced the lowest marketable fruit percentage. On an average, FA 593 was the least affected variety by nematode and late blight. None of the six tomato varieties was found resistant to nematode pest and late blight disease. Therefore, there is a need to develop nematode and late blight resistant tomato varieties. Farmers' preferred tomato variety Zeal followed by FA 593. Based on the yield performance, nematode and late blight resistance rating and the farmer's perception, Zeal was found to be the best tomato variety followed by FA 593 for pest and disease adaption and productivity in Botswana.

Research paper thumbnail of A one- sample test based on subsamples medians

Communications in Statistics Theory and Methods, 1990

Nonparametric test statistics are constructed by considering the medians in subsamples of appropr... more Nonparametric test statistics are constructed by considering the medians in subsamples of appropriate size taken -from n independent observations. These tests are shown to be sensitive to both heavy and moderate tailed distributions.

Research paper thumbnail of A Markovian Approach for Market Sentiments of DCI of Botswana Stock Exchange

Research paper thumbnail of Distribution-free tests for linearity of regression

Research paper thumbnail of Sign and Wilcoxon tests for quadratic versus cubic regression

Trabajos de Estadistica y de Investigacion Operativa, 1984

Research paper thumbnail of Nonparametric Tests for Intercept in Linear Regression Problems

Australian Journal of Statistics, 1982

ABSTRACT

Research paper thumbnail of A Class of Nonparametric Tests for the One-Sample Location Problem

Australian Journal of Statistics, 1990

ABSTRACT SummaryA class of “optimal”U-statistics type nonparametric test statistics is proposed f... more ABSTRACT SummaryA class of “optimal”U-statistics type nonparametric test statistics is proposed for the one-sample location problem by considering a kernel depending on a constant a and all possible (distinct) subsamples of size two from a sample of n independent and identically distributed observations. The “optimal” choice of a is determined by the underlying distribution. The proposed class includes the Sign and the modified Wilcoxon signed-rank statistics as special cases. It is shown that any “optimal” member of the class performs better in terms of Pitman efficiency relative to the Sign and Wilcoxon-signed rank statistics. The effect of deviation of chosen a from the “optimal” a on Pitman efficiency is also examined. A Hodges-Lehmann type point estimator of the location parameter corresponding to the proposed “optimal” test-statistics is also defined and studied in this paper.

Research paper thumbnail of Reponse of Different Combinations of Manure and Fertilizers to the Yield of Rape Crop

International Journal of Agricultural Research, Innovation and Technology, 2013

This study was an attempt to determine the effect of different combinations of manure and fertili... more This study was an attempt to determine the effect of different combinations of manure and fertilizers on the yield of rape crop so as to improve yield by recommending the best combination of manure and fertilizers to the rape growers in Botswana. Rape crop was planted on farmers field in a complete randomized block design where nine different combinations of manure and fertilizers, namely, chicken manure (Ch); Ch and NPK (2:3:2); Ch and Fe (Iron); Ch, NPK and Fe; Ch and Urea; Ch, NPK and Urea; Ch, Urea and Fe; Ch, NPK, Urea and Fe; and control (No application of manure and fertilizer) were considered. Each fertilizer combination was replicated four times in a total of thirty six plots in the layout of the experiment. The data on rape yield was collected. The leaves of rape were harvested three times a month and the rape yield (in kg) was recorded in a harvest sheet. A two way analysis of variance (ANOVA) was performed using the SPSS software. The results indicated that fertilizer combination of chicken manure, NPK and Urea produced the highest yield of rape which was 2.61 times higher than the yield produced by the control plots (where no manure and fertilizer was applied) and therefore, a fertilizer combination of chicken manure, NPK and Urea was recommended to the rape growers. Suggested future studies included the comparative profitability of different fertilizer combinations as well as the effects of different doses of the organic and inorganic fertilizers on rape production.

Research paper thumbnail of Exchange Rate Market Sentiment Analysis of Major Global Currencies

Open Journal of Statistics, 2014

The paper deals with the analysis of market sentiments in exchange rates which are of great inter... more The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual makes better investments and minimizes losses when equipped with an understanding of market sentiments in weekly or monthly exchange returns. In the approach suggested here, a typical market sentiment is defined on the basis of the certain function of the mean and the standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the market sentiments are classified into various states, whereby states are defined according to the perceptions of the market player. A multinomial probability model is built to capture the uncertainties in market sentiments. Two asymptotically distribution-free tests, namely the chi-square and the likelihood ratio test of goodness of fit for the hypothesis of the symmetry in market sentiments are suggested. Two different measures of market sentiments are proposed. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyze weekly market sentiments that govern exchange rates of the major global currencies-EUR, GBP, SDR, YEN, ZAR, USD, data from 2001-2012. Some interesting conclusions are revealed based on the data analysis.

Research paper thumbnail of Testing concurrence and parallelism of several sample regressions against ordered alternatives

Series Statistics, 1984

ABSTRACT

Research paper thumbnail of Analysing Volatility in Equity Indices – a Markov Approach for Botswana Domestic Company Indices

The South African Journal of Industrial Engineering, 2012

In financial economics, forecasting volatility in stock indices and currency returns has received... more In financial economics, forecasting volatility in stock indices and currency returns has received considerable attention in the last two decades. Many traditional econometric methods forecast asset returns by a point prediction of volatility. The central contribution of this paper is to suggest an alternative approach for modelling and related analysis of asset returns. In this approach, the volatility in stock returns is defined in terms of categories depending on the mean of stock returns and its standard error. This classification naturally allows the study of volatility in terms of a Markov model. The approach suggested here will be of interest to academics, stock market investors, and analysts. OPSOMMING Op die terrein van die finansiële ekonomie het die vooruitskatting van volatiliteit in die aandeelindekse en wisselkoerse baie aandag getrek oor die afgelope twee dekades. Verskeie tradisionele ekonometriese vooruitskattingsmodelle baseer die vooruitskatting van opbrengste op 'n puntvooruitskatting van die wisselvalligheid. Die bydrae van hierdie artikel is om 'n alternatiewe metode voor te stel vir die modellering. Volgens die model word die volatiliteit van opbrengste gekategoriseer op grond van die gemiddelde opbrengste en die standaardfout. Dit skep geleetheid vir die toepassing van 'n Markov-model. Die model sal akademici, beleggers en analiste interesseer.

Research paper thumbnail of A simple nonparametric test for bivariate symmetry about a line

Journal of Statistical Planning and Inference, 2012

ABSTRACT

Research paper thumbnail of Distribution-free tests for parallelism and concurrence in two-sample regression problem

Journal of Statistical Planning and Inference, 1981

by PX* Scrr some distib&on-free methods for testing hypothesis of parallelism ressions. We assume... more by PX* Scrr some distib&on-free methods for testing hypothesis of parallelism ressions. We assume that the independent variable x is equally PCS a~ e compared with nonparametric competitors and the rzormal S&@&t tXk@,/MM Nu~16L?rs= Primary 62010; Secondary 62305.

Research paper thumbnail of An investigation of roadside particles and carbon d ioxide gas concentration in Gaborone, Botswana: A statistical study

The present experimental study was conducted to mon itor the aerosol particle concentration and c... more The present experimental study was conducted to mon itor the aerosol particle concentration and carbon dioxide gas concentration in Gaborone, Botsw ana. The measurements of concentration of aerosol particles larger than 0.3 µm and carbon dioxide gas concentration in Gaborone, between September 2006 and August 2008 were made at 12 noon everyday. Particle measurements were made using a battery -powered han d held particle counter-model HHPC- 6 Met One. Carbon dioxide gas concentration measureme nt was made using Horiba VIA-510 gas analyzer. The collected data was analyzed using gra phical and traditional statistical techniques. A new classification criterion is introduced to ide ntify severity states of airborne particles. Two new measures to assess the symmetry of counts of se verity states and spread of severity states around the normal states are proposed. This study s hows that the mean monthly particle concentration increases and becomes its maximum dur ing winter [June-August]. ...

Research paper thumbnail of A probabilistic approach to categorise equity index volatility

Forecasting volatility in stock indices and currency returns have been major areas of research in... more Forecasting volatility in stock indices and currency returns have been major areas of research in financial economics. In general, volatility of stock indices may relate to the swings in mean or standard deviation of the returns of the last T trading days. Many traditional econometric methods forecast the conditional distribution of asset returns by a point prediction of volatility. The main thrust of this study is to suggest an alternative approach for modelling and related analysis of swings in weekly / monthly means of asset returns. In the new approach suggested here, volatility in weekly / monthly means of stock returns is conceived as a function of mean asset returns and its standard error, and is further classified into various states according to predetermined perceptions of the market player. Fairly accurate knowledge of such states of volatility in weekly / monthly mean asset returns will be of considerable help to a prospective or an existing market player. A probability ...

Research paper thumbnail of Some count-based nonparametric tests for circular symmetry of a bivariate distribution

Communications in Statistics - Simulation and Computation, 2018

In this paper, we revisit the problem of testing of the hypothesis of circular symmetry of a biva... more In this paper, we revisit the problem of testing of the hypothesis of circular symmetry of a bivariate distribution. We propose some nonparametric tests based on sector counts. These include tests based on chi-square goodness-of-fit test, the classical likelihood ratio, mean deviation, and the range. The proposed tests are easy to implement and the exact null distributions for small sample sizes of the test statistics are obtained. Two examples with small and large data sets are given to illustrate the application of the tests proposed. For small and moderate sample sizes, the performances of the proposed tests are evaluated using empirical powers (empirical sizes are also reported). Also, we evaluate the performance of these count-based tests with adaptations of several wellknown tests such as the Kolmogorov-Smirnov-type tests, tests based on kernel density estimator, and the Wilcoxon-type tests. It is observed that among the count-based tests the likelihood ratio test performs better.

Research paper thumbnail of Analysis of students' opinions on January 2009 campus strike at the University of Botswana

This paper looks into the issues surrounding the students' strike at the University of Botswa... more This paper looks into the issues surrounding the students' strike at the University of Botswana in 2009. The variables considered included; gender, nationality, residence, attitude towards violence and support for the strike. There were 327 valid responses from the sample of 337 students across the departments and program levels. The Chi-square and Logistic Regression analyses were used to relate the variables. It was found that a culture of violence was brewing up among the male students in the university and there was poor communication between the students and the stakeholders which could have a negative effect on the long-term vision of the country.

Research paper thumbnail of The Effects of 4-CHLOROPHENOXYACETIC Acid Plant Growth Regulator on the Fruit Set, Yield and Economic Benefit of Growing Tomatoes in High Temperatures

The effects of different concentrations of 4-chlorophenoxyacetic acid (4-CPA) plant growth regula... more The effects of different concentrations of 4-chlorophenoxyacetic acid (4-CPA) plant growth regulator hormone on fruit set, yield and economic benefit of tomato (Lycopersicon esculentum Mill) growing in high temperatures in Botswana (Southern Africa) were examined. In a field experiment laid under complete randomized block design, tomatoes flowers were treated with four different concentrations of 00 ppm (control), 15ppm, 45ppm and 75ppm of 4-CPA growth regulator. Data collected involved number of fruit set, weight of small tomato, weight of cracked tomatoes, weight of cat face tomatoes, weight of rotten tomatoes, weight of pest damaged tomatoes and marketable tomatoes. A two way analysis of variance (ANOVA) was performed using the SPSS software ver.19 to analyze the data. The application of 4-CPA hormone indicated a positive and significant effect on the fruit set and yields of tomato. A positive relationship between the hormone concentration and the fruit set as well as total yield...

Research paper thumbnail of An Assessment of Severity of Environmental Aerosol Particles During Precipitation

International Journal of Environment, 2015

Africa is one of the sources of biomass burning emissions. It is estimated that about 6 million t... more Africa is one of the sources of biomass burning emissions. It is estimated that about 6 million tons of fuel per day is consumed in the southern hemisphere. Biomass burning has an important contribution on aerosol particle concentrations in the atmosphere. Efforts have been made to conduct research in Gaborone to monitor the concentration of atmospheric aerosols in atmosphere. These studies were mainly confined to measurement of concentration of aerosols and establishing a relation with determinants such as carbon dioxide concentration, biomass burning, and precipitation among others. However, very little seems to have been done in relating the empirical data to a mathematical model or to study quantitatively the impact of precipitation on the concentration of aerosols larger than 0.3µm in the atmosphere. In this paper we provide an objective criterion for classifying measurements on concentration of atmospheric aerosol particles and build a mathematical model that helps us to understand variations in weekly aerosol concentrations in terms of their severity. We also construct an index of severity which when applied to different seasons under the study period indicates that precipitation significantly scavenges atmospheric aerosols.

Research paper thumbnail of A new method of quantifying aerosol concentrations in atmosphere

Meteorology and Atmospheric Physics, 2014

Research paper thumbnail of Evaluation of Tomato Varieties for Pest and Disease Adaptation and Productivity in Botswana

International Journal of Agricultural and Food Research

Six varieties of tomato were evaluated for pest and disease adaptation and productivity in Botswa... more Six varieties of tomato were evaluated for pest and disease adaptation and productivity in Botswana. Tomato varieties were planted under a complete randomized block design experiment with four replications at farmers' field in Maun, Botswana (Southern Africa). Tomato varieties were evaluated for yield, nematode and late blight resistance. The quantitative data on yield of tomato and qualitative data on nematode and late blight resistance and farmers perception on the varieties were collected. Inferential and descriptive statistical methods were used for data analysis where two ways analysis of variance and ranking scales were applied. Harvested fruits of tomato were graded into six categories of fruits namely, marketable, small, cracked, cat face, rotten and pest damaged. Tomato variety Zeal produced the highest total yield whereas Six Pack variety gave the lowest total yield. Heinz 1370 was the highest severely affected tomato variety by nematodes as well as by the late blight disease and thus produced the lowest marketable fruit percentage. On an average, FA 593 was the least affected variety by nematode and late blight. None of the six tomato varieties was found resistant to nematode pest and late blight disease. Therefore, there is a need to develop nematode and late blight resistant tomato varieties. Farmers' preferred tomato variety Zeal followed by FA 593. Based on the yield performance, nematode and late blight resistance rating and the farmer's perception, Zeal was found to be the best tomato variety followed by FA 593 for pest and disease adaption and productivity in Botswana.

Research paper thumbnail of A one- sample test based on subsamples medians

Communications in Statistics Theory and Methods, 1990

Nonparametric test statistics are constructed by considering the medians in subsamples of appropr... more Nonparametric test statistics are constructed by considering the medians in subsamples of appropriate size taken -from n independent observations. These tests are shown to be sensitive to both heavy and moderate tailed distributions.

Research paper thumbnail of A Markovian Approach for Market Sentiments of DCI of Botswana Stock Exchange

Research paper thumbnail of Distribution-free tests for linearity of regression

Research paper thumbnail of Sign and Wilcoxon tests for quadratic versus cubic regression

Trabajos de Estadistica y de Investigacion Operativa, 1984

Research paper thumbnail of Nonparametric Tests for Intercept in Linear Regression Problems

Australian Journal of Statistics, 1982

ABSTRACT

Research paper thumbnail of A Class of Nonparametric Tests for the One-Sample Location Problem

Australian Journal of Statistics, 1990

ABSTRACT SummaryA class of “optimal”U-statistics type nonparametric test statistics is proposed f... more ABSTRACT SummaryA class of “optimal”U-statistics type nonparametric test statistics is proposed for the one-sample location problem by considering a kernel depending on a constant a and all possible (distinct) subsamples of size two from a sample of n independent and identically distributed observations. The “optimal” choice of a is determined by the underlying distribution. The proposed class includes the Sign and the modified Wilcoxon signed-rank statistics as special cases. It is shown that any “optimal” member of the class performs better in terms of Pitman efficiency relative to the Sign and Wilcoxon-signed rank statistics. The effect of deviation of chosen a from the “optimal” a on Pitman efficiency is also examined. A Hodges-Lehmann type point estimator of the location parameter corresponding to the proposed “optimal” test-statistics is also defined and studied in this paper.

Research paper thumbnail of Reponse of Different Combinations of Manure and Fertilizers to the Yield of Rape Crop

International Journal of Agricultural Research, Innovation and Technology, 2013

This study was an attempt to determine the effect of different combinations of manure and fertili... more This study was an attempt to determine the effect of different combinations of manure and fertilizers on the yield of rape crop so as to improve yield by recommending the best combination of manure and fertilizers to the rape growers in Botswana. Rape crop was planted on farmers field in a complete randomized block design where nine different combinations of manure and fertilizers, namely, chicken manure (Ch); Ch and NPK (2:3:2); Ch and Fe (Iron); Ch, NPK and Fe; Ch and Urea; Ch, NPK and Urea; Ch, Urea and Fe; Ch, NPK, Urea and Fe; and control (No application of manure and fertilizer) were considered. Each fertilizer combination was replicated four times in a total of thirty six plots in the layout of the experiment. The data on rape yield was collected. The leaves of rape were harvested three times a month and the rape yield (in kg) was recorded in a harvest sheet. A two way analysis of variance (ANOVA) was performed using the SPSS software. The results indicated that fertilizer combination of chicken manure, NPK and Urea produced the highest yield of rape which was 2.61 times higher than the yield produced by the control plots (where no manure and fertilizer was applied) and therefore, a fertilizer combination of chicken manure, NPK and Urea was recommended to the rape growers. Suggested future studies included the comparative profitability of different fertilizer combinations as well as the effects of different doses of the organic and inorganic fertilizers on rape production.

Research paper thumbnail of Exchange Rate Market Sentiment Analysis of Major Global Currencies

Open Journal of Statistics, 2014

The paper deals with the analysis of market sentiments in exchange rates which are of great inter... more The paper deals with the analysis of market sentiments in exchange rates which are of great interest to trading individuals and institutional investors. For example, an institutional investor or a trading individual makes better investments and minimizes losses when equipped with an understanding of market sentiments in weekly or monthly exchange returns. In the approach suggested here, a typical market sentiment is defined on the basis of the certain function of the mean and the standard error of the logarithm of the ratio of successive daily exchange rates. Based on this surmise, the market sentiments are classified into various states, whereby states are defined according to the perceptions of the market player. A multinomial probability model is built to capture the uncertainties in market sentiments. Two asymptotically distribution-free tests, namely the chi-square and the likelihood ratio test of goodness of fit for the hypothesis of the symmetry in market sentiments are suggested. Two different measures of market sentiments are proposed. The approach advocated here will be of interest to researchers, exchange rate traders and financial analysts. As an application of the proposed line of approach, we analyze weekly market sentiments that govern exchange rates of the major global currencies-EUR, GBP, SDR, YEN, ZAR, USD, data from 2001-2012. Some interesting conclusions are revealed based on the data analysis.

Research paper thumbnail of Testing concurrence and parallelism of several sample regressions against ordered alternatives

Series Statistics, 1984

ABSTRACT

Research paper thumbnail of Analysing Volatility in Equity Indices – a Markov Approach for Botswana Domestic Company Indices

The South African Journal of Industrial Engineering, 2012

In financial economics, forecasting volatility in stock indices and currency returns has received... more In financial economics, forecasting volatility in stock indices and currency returns has received considerable attention in the last two decades. Many traditional econometric methods forecast asset returns by a point prediction of volatility. The central contribution of this paper is to suggest an alternative approach for modelling and related analysis of asset returns. In this approach, the volatility in stock returns is defined in terms of categories depending on the mean of stock returns and its standard error. This classification naturally allows the study of volatility in terms of a Markov model. The approach suggested here will be of interest to academics, stock market investors, and analysts. OPSOMMING Op die terrein van die finansiële ekonomie het die vooruitskatting van volatiliteit in die aandeelindekse en wisselkoerse baie aandag getrek oor die afgelope twee dekades. Verskeie tradisionele ekonometriese vooruitskattingsmodelle baseer die vooruitskatting van opbrengste op 'n puntvooruitskatting van die wisselvalligheid. Die bydrae van hierdie artikel is om 'n alternatiewe metode voor te stel vir die modellering. Volgens die model word die volatiliteit van opbrengste gekategoriseer op grond van die gemiddelde opbrengste en die standaardfout. Dit skep geleetheid vir die toepassing van 'n Markov-model. Die model sal akademici, beleggers en analiste interesseer.

Research paper thumbnail of A simple nonparametric test for bivariate symmetry about a line

Journal of Statistical Planning and Inference, 2012

ABSTRACT

Research paper thumbnail of Distribution-free tests for parallelism and concurrence in two-sample regression problem

Journal of Statistical Planning and Inference, 1981

by PX* Scrr some distib&on-free methods for testing hypothesis of parallelism ressions. We assume... more by PX* Scrr some distib&on-free methods for testing hypothesis of parallelism ressions. We assume that the independent variable x is equally PCS a~ e compared with nonparametric competitors and the rzormal S&@&t tXk@,/MM Nu~16L?rs= Primary 62010; Secondary 62305.