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Characteristics of Dichotomous Variable Estimators

In: Effective Investments on Capital Markets

Author

Listed:
  • Jan Purczyński

    (West Pomeranian University of Technology)

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.

Suggested Citation

  • Jan Purczyński, 2019. "Characteristics of Dichotomous Variable Estimators," Springer Proceedings in Business and Economics, in: Waldemar Tarczyński & Kesra Nermend (ed.), Effective Investments on Capital Markets, chapter 0, pages 301-321, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-21274-2_21
    DOI: 10.1007/978-3-030-21274-2_21
    as

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