Sharif, Shamshuritawati and Djauhari, Maman. A. and Yusoff, Nur Syahidah (2013) Multivariate outlier detection in currency exchange rate. International Journal of Basic & Applied Sciences, 13 (1). pp. 1-5. ISSN 2077-1223
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Official URL: http://www.ijens.org/Vol_13_I_01/1215906-1301-4747...
Abstract
In correlation networks analysis, the influential currencies is usually identified by using minimal spanning tree (MST) to filter the important information followed by the centrality measures analysis.In this paper, we introduce an analysis to identify the currencies that might have different behaviour compared to the others which is also conducted based on MST by using outlier labelling and testing.A case study on 78 currency exchange rate will be reported and discussed.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | correlation matrix; distance matrix; gamma distribution; Kruskal’s Algorithm |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | School of Quantitative Sciences |
| Depositing User: | Dr. Shamshuritawati Sharif |
| Date Deposited: | 16 Apr 2017 02:17 |
| Last Modified: | 16 Apr 2017 02:17 |
| URI: | https://repo.uum.edu.my/id/eprint/21567 |
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