Some Notes About Data

Some Notes About Data

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Unformatted text preview: - med ({x i } ) |,...,| x N - med ({x i } ) |÷ ÷ i =1 i =1 i =1 ø è N and g(N , aN ) is a number to be chosen See, Example 2.2 in Davies and Gather (1993) (pp. 783-784) for an example on how to use this filter RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS, VER. 11/11/2012. © P. KOLM. 6 References Laurie Davies and Ursula Gather (1993), "The Identification of Multiple Outliers," Journal of the American Statistical Association: 782-792 Erhard Rahm and Hong Hai Do (2000), "Data Cleaning: Problems and Current Approaches" RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS, VER. 11/11/2012. © P. KOLM. 7...
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This document was uploaded on 02/17/2014 for the course COURANT G63.2751.0 at NYU.

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