Six permutation test algorithms coded in SAS® are compared. The fastest (“OPDN”), which uses no modules beyond Base SAS®, achieves speed increases orders of magnitude faster than the relevant “built-in” SAS® procedures (over 215x faster than Proc SurveySelect, over 350x faster than...

Seven bootstrap algorithms coded in SAS® are compared. The fastest (“OPDY”), which uses no modules beyond Base SAS®, achieves speed increases almost two orders of magnitude faster (over 80x faster) than the relevant "built-in” SAS® procedure (Proc SurveySelect). It is even much faster...

For statistical process control, a number of single charts that jointly monitor both process mean and variability recently have been developed. For quality control-related hypothesis testing, however, there has been little analogous development of joint mean-variance tests: only one two-sample...

Financial institutions have invested tremendous resources to develop operational risk capital models within the framework of the Advanced Measurement Approach (AMA) of the Basel II Accord. Most of this effort has focused on satisfying evolving regulatory requirements in the near term rather than...

Until recently, since Jobson amp; Korkie (1981) derivations of the asymptotic distribution of the Sharpe ratio that are practically useable for generating confidence intervals or for conducting one- and two-sample hypothesis tests have relied on the restrictive, and now widely refuted,...

While permutation tests and bootstraps have very wide-ranging application, both share a common potential drawback: as data-intensive resampling methods, both can be runtime prohibitive when applied to large or even medium-sized data samples drawn from large datasets. The data explosion over the...

An original algorithm is presented that generates both restricted integer compositions and restricted integer partitions that can be constrained simultaneously by a) upper and lower bounds on the number of summands (ldquo;partsrdquo;) allowed, and b) upper and lower bounds on the values of those...

The largest US banks and Systemically Important Financial Institutions are required by regulatory mandate to estimate the operational risk capital they must hold using an Advanced Measurement Approach (AMA) as defined by the Basel II/III Accords. Most of these institutions use the Loss...