By Ren?? Carmona
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This publication constitutes the completely refereed post-proceedings of the ninth overseas convention on Real-Time and Embedded structures and functions, RTCSA 2003, held in Tainan, Taiwan, in February 2003. The 28 revised complete papers and nine revised brief papers offered have been rigorously reviewed and chosen for inclusion within the e-book.
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Extra info for Statistical analysis of financial data in S-PLUS
This choice should be driven by the following two seemingly contradictory requirements. The cut-off point should be large enough so that the behavior of the tail is homogeneous beyond this threshold. But at the same time, it should not be too large, as we need enough data points beyond the threshold to guarantee a reasonable estimation of ξ by the POT method. est which contains all we need to know about the estimation results. As a side effect, it also generates a plot. 16. We also give examples of ways to extract information from the objects thus created.
19. PCS original data (left) and simulated sample (right). 3 The Example of the Weekly S&P Returns The following analysis is very similar to the previous one, the main difference being the presence of two tails instead of one. e. when the distribution is unbounded above and below. 02. e. they do not need to have the 42 1 UNIVARIATE EXPLORATORY DATA ANALYSIS same absolute values. This is likely to be the case for symmetric distributions, but it does not have to be the case in general. tail=F in the command because this is done by default.
We have x− q = xq ) except for at most countably many q’s. For the sake of definiteness, for any of these countably many values of q, we shall use the left endpoint x− q of the interval as our definition of the percentile. Most of the cdf’s F used in this book are invertible. 15) can be rewritten as: πq = F −1 (q). 16) 24 1 UNIVARIATE EXPLORATORY DATA ANALYSIS As an illustration, let us consider the problem of the computation of the quantiles of the classical distributions introduced earlier in the chapter.
Statistical analysis of financial data in S-PLUS by Ren?? Carmona