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Results tagged with statistics
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user 1800
The study of the collection, organization, analysis, and interpretation of data. Questions may deal with descriptive statistics, probability distributions, random variables, sampling, regression, density estimation, filtering, inference, estimation theory, or computational statistics.
12
votes
How to group timeseries showing similar curve
If the means are similar, then K-means will not do a great job. I would generate new features, perhaps based on higher moments of the distribution or some other properties (auto-correlation, summary o …
- 13.5k
10
votes
Accepted
What is the precision of standard deviation estimates with small samples?
Then you can bootstap the sample estimate and generate t-statistics and associated confidence intervals for your statistics. I describe a generic boostrap process on this post. …
- 13.5k
3
votes
Accepted
How to interpolate gaps in a time series using closely related time series?
You must apply the E-M algorithm to an invariant (time-homogenous i.i.d. variable) such as log-returns -- not prices.
The key to the E-M is is the simplifying assumption that the invariant (namely th …
- 13.5k
6
votes
What is the best way to forecast prepayment rate in an emerging market mortgage loan portfolio?
Pre-payment rates are difficult to forecast because of path dependency. The historical interest rate path - not just current market conditions and borrower characteristics - matters because borrowers …
- 13.5k
5
votes
How random are financial data series?
All the ideas above are great ideas.
Another kind of test would be an idea borrowed from Random Matrix Theory.
Assemble your time-series into a matrix. Evaluate the distribution of the eigenvalues …
- 13.5k
9
votes
Accepted
How to test for and how to simulate price rise/fall asymmetry in the stock market
"Treshold Garch" or T-Garch models are designed to capture this asymmetry. See this exposition by U. Chicago's Ruey Tsay who has a terrific text on time-series models in "Analysis of Financial Time Se …
- 13.5k
31
votes
Accepted
Why is the first principal component a proxy for the market portfolio, and what other proxie...
Yes, the weights of the first eigenvector of a covariance matrix represent the market factor and also the largest source of systematic risk (variation of returns).
Why PCA? Well, PCA simply identifie …
- 13.5k
2
votes
Efficiency vs. Robustness - To use a constant or not in single factor time-series regression?
Here's an answer from a purely statistical point of view:
http://www.duke.edu/~rnau/regnotes.htm#constant
And another from Cross Validated:
https://stats.stackexchange.com/questions/7948/when-is-it- …
- 13.5k
7
votes
Accepted
Are shorter holding period strategies better?
This is a partial explanation in that trading strategies with longer horizons have higher information ratios, t-statistics, slope coefficients, and R^2 in general. …
- 13.5k