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Author: Sander Gerber
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Book Description
We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their amplitudes exceed data-dependent thresholds. This is unlike the standard Pearson correlation that is sensitive to outliers or the Spearman correlation that relies on ranking observations. Since the statistic is neither affected by extremely large or extremely small movements, it is especially suited to financial time series since these can exhibit extreme movements as well as a great amount of noise. Therefore, the statistic can advantageously be converted into a robust estimate of a covariance matrix that is suitable for portfolio optimization.
Author: Sander Gerber
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Book Description
We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their amplitudes exceed data-dependent thresholds. This is unlike the standard Pearson correlation that is sensitive to outliers or the Spearman correlation that relies on ranking observations. Since the statistic is neither affected by extremely large or extremely small movements, it is especially suited to financial time series since these can exhibit extreme movements as well as a great amount of noise. Therefore, the statistic can advantageously be converted into a robust estimate of a covariance matrix that is suitable for portfolio optimization.
Author: Yasutaka Shimizu
Publisher: Springer Nature
ISBN: 981169284X
Category : Business & Economics
Languages : en
Pages : 119
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Book Description
This book begins with the fundamental large sample theory, estimating ruin probability, and ends by dealing with the latest issues of estimating the Gerber–Shiu function. This book is the first to introduce the recent development of statistical methodologies in risk theory (ruin theory) as well as their mathematical validities. Asymptotic theory of parametric and nonparametric inference for the ruin-related quantities is discussed under the setting of not only classical compound Poisson risk processes (Cramér–Lundberg model) but also more general Lévy insurance risk processes. The recent development of risk theory can deal with many kinds of ruin-related quantities: the probability of ruin as well as Gerber–Shiu’s discounted penalty function, both of which are useful in insurance risk management and in financial credit risk analysis. In those areas, the common stochastic models are used in the context of the structural approach of companies’ default. So far, the probabilistic point of view has been the main concern for academic researchers. However, this book emphasizes the statistical point of view because identifying the risk model is always necessary and is crucial in the final step of practical risk management.
Author: Chelsea Myers
Publisher: CRC Press
ISBN: 1000329895
Category : Education
Languages : en
Pages : 185
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Book Description
Project-Based R Companion to Introductory Statistics is envisioned as a companion to a traditional statistics or biostatistics textbook, with each chapter covering traditional topics such as descriptive statistics, regression, and hypothesis testing. However, unlike a traditional textbook, each chapter will present its material using a complete step-by-step analysis of a real publicly available dataset, with an emphasis on the practical skills of testing assumptions, data exploration, and forming conclusions. The chapters in the main body of the book include a worked example showing the R code used at each step followed by a multi-part project for students to complete. These projects, which could serve as alternatives to traditional discrete homework problems, will illustrate how to "put the pieces together" and conduct a complete start-to-finish data analysis using the R statistical software package. At the end of the book, there are several projects that require the use of multiple statistical techniques that could be used as a take-home final exam or final project for a class. Key features of the text: Organized in chapters focusing on the same topics found in typical introductory statistics textbooks (descriptive statistics, regression, two-way tables, hypothesis testing for means and proportions, etc.) so instructors can easily pair this supplementary material with course plans Includes student projects for each chapter which can be assigned as laboratory exercises or homework assignments to supplement traditional homework Features real-world datasets from scientific publications in the fields of history, pop culture, business, medicine, and forensics for students to analyze Allows students to gain experience working through a variety of statistical analyses from start to finish The book is written at the undergraduate level to be used in an introductory statistical methods course or subject-specific research methods course such as biostatistics or research methods for psychology or business analytics. Author After a 10-year career as a research biostatistician in the Department of Ophthalmology and Visual Sciences at the University of Wisconsin-Madison, Chelsea Myers teaches statistics and biostatistics at Rollins College and Valencia College in Central Florida. She has authored or co-authored more than 30 scientific papers and presentations and is the creator of the MCAT preparation website MCATMath.com.
Author: Derek L. Waller
Publisher: Taylor & Francis
ISBN: 1134504934
Category : Business & Economics
Languages : en
Pages : 673
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Book Description
Statistics for Business explains the fundamentals of statistical analysis in a lucid, pragmatic way. A thorough knowledge of statistics is essential for decision making in all corners of business and management. By collecting, organizing and analyzing statistical data you can express what you know, benchmark your current situation, and estimate future outcomes. Based entirely on Microsoft Excel, this book covers a spectrum of statistic fundamentals from basic principles, to probability, sampling, hypothesis testing, forecasting, statistical process control and six-sigma management. This second edition is packed with features to aid understanding and help ensure that every aspect of your knowledge of statistics is applicable to practice, including: Icebreakers introducing each chapter that relate statistics to the real world, drawn from management and hospitality situations Detailed worked examples in each chapter Over 140 case-exercises complete with objective, situation, requirements, and answers A complete glossary of key terminology and formulas, mathematical relationships, and Excel relationships and functions A brand new companion website containing slides, worked-out-solutions to the case-exercises, and a test bank [coming soon] With a clear and accessible style this book makes statistics easier to understand. It is ideal for business, management, tourism and hospitality students who want to learn how to apply statistics to the real world.
Author: Jamie Newbold
Publisher: McFarland
ISBN: 1476672679
Category : Literary Criticism
Languages : en
Pages : 271
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Book Description
A childhood comic book fan turned comic book retailer, the author soon discovered the prevalence of scams in the world of comics collecting. This book is his tutorial on how to collect wisely and reduce risks. Drawing on skills learned from twenty years with the San Diego Police Department and as a Comic-Con attendee since 1972, he covers in detail the history and culture of collecting comic books and describes the pitfalls, including common deceptions of grading and pricing, as well as theft, and mail and insurance fraud.
Author: Susan A. Nolan
Publisher: Macmillan
ISBN: 142923265X
Category : Mathematics
Languages : en
Pages : 710
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Book Description
Nolan and Heinzen’s engaging introduction to statistics has captivated students with its easy readability and vivid examples drawn from everyday life. The mathematics of statistical reasoning are made accessible with careful explanations and a helpful three-tier approach to working through exercises: Clarifying the Concepts, Calculating the Statistics, and Applying the Concepts. New pedagogy, end-of-chapter material, and the groundbreaking learning space StatsPortal give students even more tools to help them master statistics than ever before.
Author: United States. Bureau of Reclamation
Publisher:
ISBN:
Category : Irrigation
Languages : en
Pages : 454
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Book Description
Author:
Publisher:
ISBN:
Category : Bank accounts
Languages : en
Pages : 240
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Book Description
Author: David Ruppert
Publisher: Springer
ISBN: 1493926144
Category : Business & Economics
Languages : en
Pages : 736
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Book Description
The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.
Author: Matthew B. Robinson
Publisher: SUNY Press
ISBN: 1438448384
Category : Political Science
Languages : en
Pages : 330
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Book Description
Revised and updated edition that analyses how the Office of National Drug Control Policy employs statistics to misleadingly claim the War on Drugs is a success. First published in 2007, Lies, Damned Lies, and Drug War Statistics critically analyzed claims made by the Office of National Drug Control Policy (ONDCP), the White House agency of accountability in the nations drug war since 1989, as found in the six editions of the annual National Drug Control Strategy between 2000 and 2005. In this revised and updated second edition of their critically acclaimed work, Matthew B. Robinson and Renee G. Scherlen examine seven more recent editions (20062012) to once again determine if ONDCP accurately and honestly presents information or intentionally distorts evidence to justify continuing the drug war. They uncover the many ways in which ONDCP manipulates statistics and visually presents that information to the public. Their analysis demonstrates a drug war that consistently fails to reduce drug use, drug fatalities, or illnesses associated with drug use; fails to provide treatment for drug-dependent users; and drives up the prices of drugs. They conclude with policy recommendations for reforming ONDCPs use of statistics, as well as how the nation fights the war on drugs. Praise for the First Edition Lies, Damned Lies, and Drug War Statistics is surprisingly easy to read, and Robinson and Scherlen have done a huge favor not only to critics of current drug policy by compiling this damning critique of ONDCP claims, but also to anyone interested in how data is compiled, presented, and misused by bureaucrats attempting to guard their domains. It should be required reading for members of Congress. Drug War Chronicle Book Review The authors have performed a valuable service to our democracy with their meticulous analysis of the White House ONDCP public statements and reports. They have pulled the sheet off what appears to be an official policy of deception using clever and sometimes clumsy attempts at statistical manipulation. This document, at last, gives us a map of the truth. Mike Gray, author of Drug Crazy: How We Got into This Mess and How We Can Get Out Robinson and Scherlen make a valuable contribution to documenting how ONDCP fails to live up to basic standards of accountability and consistency. Ethan Nadelmann, Executive Director, Drug Policy Alliance
