Post Profile






Uncertainty Wednesday: Suppressed Volatility

Last Uncertainty Wednesday provided a recap on our adventures with sample means and what those implied about the difficulties of inference. Now we will look at another equally fascinating complication: inferring volatility. As the title of this initial post gives away, we will see that it is easy to make large inference errors when we are dealing with situations in which volatility is somehow suppressed.
read more

share

Related Posts


Last Uncertainty Wednesday we dug deeper into understanding the distribution of sample means. I...

Business & Finance / Venture Capital : Continuations

Last Uncertainty Wednesday we dug deeper into understanding the distribution of sample means. I ended with asking why the chart for 100,000 samples of size 10 looked smoother than then one for samples of size 100 (just as a refreshe...

Uncertainty Wednesday: Sample Mean (Cont’d)

Business & Finance / Venture Capital : Continuations

Last Uncertainty Wednesday, we started to look at the behavior of the mean of a sample by repeatedly drawing samples. We used a sample of 10 rolls of a fair die. We know that the expected value of the probability distribution is 3.5...

Bayesian nonparametric weighted sampling inference

Academics / Mathematics : Statistical Modeling, Causal Inference, and Social Science

Yajuan Si, Natesh Pillai, and I write: It has historically been a challenge to perform Bayesian inference in a design-based survey context. The present paper develops a Bayesian model for sampling inference using inverse-probability...

Citi: "Forget Decoupling" - Here Is How To Trade During The Sovereign Trauma

Business & Finance : Zero Hedge

We have been strong proponents of various relative-value (RV) trades as this highly volatile and increasingly binary world infers more Knightian uncertainty than any normal strategist, talking-head, fringe blog can cope with. What i...

Uncertainty Wednesday: Recap on Sample Behavior (Inference)

Business & Finance / Venture Capital : Continuations

The last few weeks in Uncertainty Wednesday, with the exception of my net neutrality post, we have been looking at the relationship between sample data and distributions. Today is a bit of a recap so that we know where we are. One o...

Comments


Copyright © 2016 Regator, LLC