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2019 | OriginalPaper | Buchkapitel

21. Characteristics of Dichotomous Variable Estimators

verfasst von : Jan Purczyński

Erschienen in: Effective Investments on Capital Markets

Verlag: Springer International Publishing

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Abstract

The article covers the following probability models used in dichotomous variable analysis: logit, probit, and raybit—the last one proposed by the author. In the article, the following characteristics of estimators are derived: bias, variance, and mean squared error, which links them. The method of probability estimation which minimizes relative root mean squared error (RRMSE) is proposed. It is also shown that the goodness-of-fit measures of mean square error (MSE) and mean absolute error (MAE) models present in the field literature lead to the similar results.

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Titel: Characteristics of Dichotomous Variable Estimators
verfasst von: Jan Purczyński
Verlag: Springer International Publishing
Buch: Effective Investments on Capital Markets
Print ISBN: 978-3-030-21273-5

Electronic ISBN: 978-3-030-21274-2

Copyright-Jahr: 2019
DOI: https://doi.org/10.1007/978-3-030-21274-2_21