A new explicit quadratic radical function is found by numerical experiments,which is simpler and has only 70.778%of the maximal distance error compared with the Fisher z transformation.Furthermore,a piecewise function...A new explicit quadratic radical function is found by numerical experiments,which is simpler and has only 70.778%of the maximal distance error compared with the Fisher z transformation.Furthermore,a piecewise function is constructed for the standard normal distribution:if the independent variable falls in the interval(-1.519,1.519),the proposed function is employed;otherwise,the Fisher z transformation is used.Compared with the Fisher z transformation,this piecewise function has only 38.206%of the total error.The new function is more exact to estimate the confidence intervals of Pearson product moment correlation coefficient and Dickinson best weights for the linear combination of forecasts.展开更多
This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical propertie...This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.展开更多
Let X=Σ_(i=1)^(n)a_(i)ξ_(i)be a Rademacher sum with Var(X)=1 and Z be a standard normal random variable.This paper concerns the upper bound of|P(X≤x)−P(Z≤x)|for any x∈R.Using the symmetric properties and R softwa...Let X=Σ_(i=1)^(n)a_(i)ξ_(i)be a Rademacher sum with Var(X)=1 and Z be a standard normal random variable.This paper concerns the upper bound of|P(X≤x)−P(Z≤x)|for any x∈R.Using the symmetric properties and R software,this paper gets the following improved Berry-Esseen type bound under some conditions,|P(X≤x)−P(Z≤x)|≤P(Z∈(0,a1)),∀x∈R,which is one of the modified conjecture proposed by Nathan K.and Ohad K.展开更多
基金Supported by Natural Science Foundation of Tianjin(No.09JCYBJC07700)
文摘A new explicit quadratic radical function is found by numerical experiments,which is simpler and has only 70.778%of the maximal distance error compared with the Fisher z transformation.Furthermore,a piecewise function is constructed for the standard normal distribution:if the independent variable falls in the interval(-1.519,1.519),the proposed function is employed;otherwise,the Fisher z transformation is used.Compared with the Fisher z transformation,this piecewise function has only 38.206%of the total error.The new function is more exact to estimate the confidence intervals of Pearson product moment correlation coefficient and Dickinson best weights for the linear combination of forecasts.
文摘This study investigates calendar anomalies： day-of-the-week effect and seasonal effect in the Value-at-Risk （VaR） analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.
基金supported by the National Natural Science Foundation of China(Grant No.11861029)the Hainan Provincial Natural Science Foundation of China(Grants Nos.122MS056,124MS056).
文摘Let X=Σ_(i=1)^(n)a_(i)ξ_(i)be a Rademacher sum with Var(X)=1 and Z be a standard normal random variable.This paper concerns the upper bound of|P(X≤x)−P(Z≤x)|for any x∈R.Using the symmetric properties and R software,this paper gets the following improved Berry-Esseen type bound under some conditions,|P(X≤x)−P(Z≤x)|≤P(Z∈(0,a1)),∀x∈R,which is one of the modified conjecture proposed by Nathan K.and Ohad K.
