Abstract
Mathematical statistics has paid little attention to the processing of random complex values; however, such statistical processing is crucial for models and methods of complex variables to be used in practical economics. That is why in this chapter we propose principles of a new mathematical apparatus for statistical processing of economic data, namely, principles of complex-valued econometrics – regression and correlation analysis – and adapt the least-squares method to complex random variables. We also derive the formula for a pair correlation coefficient for two random complex variables and provide an interpretation of its values. The method of estimation of confidence limits of complex-valued econometric models is also provided.
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Svetunkov, S. (2012). Principles of Complex-Valued Econometrics. In: Complex-Valued Modeling in Economics and Finance. Springer, New York, NY. https://doi.org/10.1007/978-1-4614-5876-0_4
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DOI: https://doi.org/10.1007/978-1-4614-5876-0_4
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