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Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets

Yukalov, Vyacheslav I. - 2012

A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the …, and other systems. Within our theory, the large outliers are interpreted as droplets of Bose-Einstein condensate: the …-king outliers). The theory thus provides a parsimonious description of the possible coexistence of a power law distribution of event …

Persistent link: https://www.econbiz.de/10013106909

Multivariate Statistical Analysis in Missing Skills Identification

Dziechciarz, Jozef Zbigniew - 2017

Persistent link: https://www.econbiz.de/10012963634

General Properties of Backtestable Statistics

Acerbi, Carlo - 2017

We propose a formal definition of backtestable statistic: a backtest is a null expected value involving only the statistic and its random variable, strictly monotonic in the former. We discuss the relationship with elicitability and identifiability which turn out being necessary conditions. The...

Persistent link: https://www.econbiz.de/10012964764

A Statistical Approach to Batched Prevalence Testing for Coronavirus

Berger, William - 2020

As cases of novel coronavirus mount, the ability to conduct expeditious prevalence testing becomes paramount. A statistical approach to batched prevalence testing offers a more rapid and efficient means of monitoring at-risk populations

Persistent link: https://www.econbiz.de/10012838312

A Statistical Methodology for Assessing the Maximal Strength of Tail Dependence

Sun, Ning - 2020

Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength of dependence is important...

Persistent link: https://www.econbiz.de/10012840560

Statistical Hedging

Buehler, Hans - 2019

This note presents an extension of the Markoviz-type "mean-variance" portfolio optimisation approach over one period to portfolios of derivatives. Most notably, we show that once "writing off" parts of the portfolio is allowed, we naturally arrive at using "cash-invariant monotone hulls" a'la...

Persistent link: https://www.econbiz.de/10012902331

Why Practitioners Should Use Bayesian Statistics

Harris, David E. - 2018

A 2017 paper by Harris argues that financial returns are a mixture distribution and that the dominant distribution is the truncated Cauchy distribution. Both the mixture nature and the poor properties of the truncated Cauchy distribution functionally exclude both the Frequentist and the...

Persistent link: https://www.econbiz.de/10012936979

A Behavioral Model of Forecasting : Naive Statistics on Mental Samples

Tong, Jordan - 2016

Most operations models assume individuals make decisions based on a perfect understanding of random variables or stochastic processes. In reality, however, individuals are subject to cognitive limitations and make systematic errors. We leverage established psychology on sample naivete to model...

Persistent link: https://www.econbiz.de/10013003416

Multivariate Statistical Analysis in Missing Skills Identification

Dziechciarz, Jozef Zbigniew - 2016

Persistent link: https://www.econbiz.de/10012991730

Multivariate Statistical Analysis in Missing Skills’ Identification

Dziechciarz, Jozef Zbigniew - 2016

The human capital development programs, partly financed by the means of European Social Fund, result in activities with the goal to equip students with skills not offered in traditional education and training system. Especially unique, so called soft skills seems to be necessary in contemporary...

Persistent link: https://www.econbiz.de/10012992485