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Anti-Robust and Tonsured Statistics

This describes a statistical technique called "tonsuring" for exploratory data analysis in finance. Instead of rejecting "outlier" data that conflicts with the model, this strips out "inlier" data to get a clearer picture of how the market changes for larger moves.
Year of publication:
2011-10
Authors: Goldberg, Martin
Institutions: arXiv.org
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Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Source:
Persistent link: https://www.econbiz.de/10009325492
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