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Statistical analysis of financial data in S-PLUS - download pdf or read online

By Ren?? Carmona

ISBN-10: 0387202862

ISBN-13: 9780387202860

This e-book introduces scholars to trendy day research ideas, with an emphasis on a website of purposes of curiosity to monetary engineering. it really is either computational and mathematical in nature. such a lot difficulties thought of are formulated in a rigorous demeanour. The publication is split in to 3 elements; half I: Exploratory facts research, half II: Regression, and half III: Time sequence and kingdom area versions.

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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.

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Statistical analysis of financial data in S-PLUS by Ren?? Carmona

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