|
1. |
Some Quantitative Tests for Stock Price Generating Models and Trading Folklore |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 321-340
M.F. M. Osborne,
Preview
|
PDF (1282KB)
|
|
摘要:
Five stock price sequences are examined quantitatively for structure as predicated by: 1) a random walk model; 2) a continuously differentiable price process; 3) a dynamic model consisting of transients of a discrete process. The first and third models also make predictions in agreement with trading lore. The data are examined by the method of coincident events. Positive evidence is found for both the random walk and discrete transient model, and slightly against the continuous price process. The theoretical predictions seems better confirmed by data at price minima than price maxima. The data are in partial disagreement with the predictions of both the random walk and discrete transient model that large volume and large second differences of price should tend to occur at the same time. Some confirmation is found for items of trading lore not predicted by theory. The non-random properties of stock prices are primarily found in short interval data (daily and weekly) and in individual stock prices as opposed to an average.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482912
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
2. |
A Procedure for Automatic Data Editing |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 341-352
R.J. Freund,
H.O. Hartley,
Preview
|
PDF (677KB)
|
|
摘要:
Since raw data from sample surveys and experiments often contain errors, attempts are usually made to edit data to make them more useful for analytic purposes. Increasing portions of this editing are now being accomplished by high speed computers. The great variety of such procedures reflects the conflicting desires of providing editing procedures which recognize peculiarities of particular data sets and yet are easily programmed and implemented. This paper proposes a scheme which is hoped to be suitable for a large variety of sample and survey data and yet be relatively easy to implement once a general program has been written.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482913
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
3. |
Robust Estimation of Location |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 353-389
EdwinL. Crow,
M.M. Siddiqui,
Preview
|
PDF (1661KB)
|
|
摘要:
The problem of estimating a location parameter from a random sample when the form of distribution is unknown or there is contamination of the target distribution is attacked by deriving estimators which are efficient over a class of two or more forms (“pencils”) of continuous symmetric unimodal distributions. The pencils considered are the normal, double exponential, Cauchy, parabolic, triangular, and rectangular (a limiting case). The estimators considered are special symmetrical linear combinations of order statistics: trimmed means, Winsorized means, “linearly weighted” means, and a combination of the median and two other order statistics. These are also compared asymptotically with a Hodges-Lehmann estimator. The theory required for deriving asymptotic variances is outlined. Efficiences are tabulated for sample sizes of 4 or 5, 8 or 9, 16 or 17, and ∞. Asymptotic efficiences of at least 0.82 relative to the best estimator for any single pencil are achieved by using the best trimmed mean or linearly weighted mean over a range of pencils of distributions from the normal to the Cauchy. However, the combination of the median and two other order statistics is almost as efficient (0.80) over the same range.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482914
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
4. |
Goodness of Fit |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 390-398
Hans Riedwyl,
Preview
|
PDF (283KB)
|
|
摘要:
This Paper defines a class of distribution free measures of goodness of fit; their exact distribution for small samples can be calculated by means of a computer. Two of them have the same asymptotic distribution as the Kolmogorov-Smirnov statistic.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482915
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
5. |
On the Kolmogorov-Smirnov Test for Normality with Mean and Variance Unknown |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 399-402
HubertW. Lilliefors,
Preview
|
PDF (240KB)
|
|
摘要:
The standard tables used for the Kolmogorov-Smirnov test are valid when testing whether a set of observations are from a completely-specified continuous distribution. If one or more parameters must be estimated from the sample then the tables are no longer valid.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482916
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
6. |
Linear Segment Confidence Bands for Simple Linear Models |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 403-408
FranklinA. Graybill,
DavidC. Bowden,
Preview
|
PDF (196KB)
|
|
摘要:
In this paper confidence bands are given for the entire line for simple linear regressions. The conventional bands that have been given in the past are curvilinear. In this paper we consider confidence bands that are straight lines. It is shown that under certain conditions the “width” of these straight line bands is less than the width of the conventional curvilinear bands.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482917
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
7. |
On the Question of Whether a Disease is Familial |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 409-420
RuthZ. Gold,
SimeonM. Berman,
Agnes Berger,
Preview
|
PDF (653KB)
|
|
摘要:
In trying to determine whether a disease is familial, epidemiologists often locate a source of cases and compare the proportion of affected relatives of these cases with that of the relatives of controls by the usual fourfold table techniques. In the model considered here, following Haenszel [5], the probability of being affected is a random variable, ρ, which is constant for members of the same “family” but which may vary from family to family. The usual tests are examined under a sampling scheme designed to simulate actual epidemiological practice, and it is found that if ρ is the same for all families, the proportions of affected relatives in the two groups are distributed as binomial proportions from the same universe. If ρ is not constant, the proportions are no longer binomial, but the tests used are shown to be consistent nevertheless. A large sample confidence interval forEρ is derived.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482918
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
8. |
The New Design of the Canadian Labour Force Survey |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 421-453
I.P. Fellegi,
G.B. Gray,
R. Platek,
Preview
|
PDF (2009KB)
|
|
摘要:
The Canadian Labour Force Survey is the largest continuing field survey conducted by the Dominion Bureau of Statistics. It was established as a quarterly survey in 1945 and was altered to a monthly one in 1952. Changes in the basic needs of the users of the survey and changes in the characteristics of the country made it increasingly difficult to cope with the survey without a complete over-haul. The Canadian Labour Force Survey was completely redesigned over a two year period beginning early 1964 and ending December, 1965.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482919
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
9. |
Outcome Probabilities for a Record Matching Process with Complete Invariant Information |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 454-469
Gad Nathan,
Preview
|
PDF (814KB)
|
|
摘要:
Record matching processes, which compare sets of identifying information, to decide whether or not a pair of records relate to the same individual or population item, are basic in a wide range of applications in social research, maintenance of files and information retrieval. Such processes may be conveniently described in terms of matching a single incoming record against a master file or list. In order to evaluate different record matching processes, in terms of matching costs and error losses, it is necessary to evaluate the outcome probabilities. It is shown that this can be done for a simple model which assumes that the information used for matching is complete and invariant but, possibly, insufficient to distinguish between all population items, by considering only the class-size probability distributions. The latter can be estimated directly from the list or from a sub-sample drawn from it, by the application of Goodman's [2] results concerning the estimation of the number of classes in a population. The outcome probabilities can then be evaluated by considering the incoming record as randomly drawn from the list, if it should match some item on the list, and as added to the list, to form a new list with approximately the same classification probabilities, if it ought to match no item on the list. A numerical example illustrates an application of the model.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482920
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
10. |
Data Revisions and Economic Forecasting |
|
Journal of the American Statistical Association,
Volume 62,
Issue 318,
1967,
Page 470-483
H.O. Stekler,
Preview
|
PDF (818KB)
|
|
摘要:
The paper determines whether the earliest published indication of changes in GNP provide information which is useful in the interpretation of economic trends or whether subsequent revisions reveal that the true movements were radically different from those initially reported. An analysis of the provisional and advance data indicated that the initial changes differed from the final changes but still approximated the true pattern of the movements. Some of the data revisions, however, where unsuccessful. A further analysis of the temporal discrepancies in the yearly changes of one series indicates that there is not a wide degree of uncertainty about the actual movements. The combined evidence indicates that the early data are useful for economic analysis.
ISSN:0162-1459
DOI:10.1080/01621459.1967.10482921
出版商:Taylor & Francis Group
年代:1967
数据来源: Taylor
|
|