We showed that Singular Spectrum Analysis (SSA) applied to time series yields better correlations for risk simulations. This involved comparing SSA-based correlations with standard correlations and to noise, a zero correlation Wishart random matrix (WRM). We complete this testing here. We also...

In order to characterize a statistical probability distribution p(x) of a variable x, the moments of the distribution are used; the first two of which are the mean and standard deviation. The z-score is often used to characterize data points of x (e.g. outliers with large z-scores). Polynomials...