Re: garch residuals

Daan Taks <[EMAIL PROTECTED]> wrote: >I have a question about my residuals. When testing for autocorrelation >I come to the conclusion that the models (garch, Egarch, GJR a.k.a. >Tarch) remove the correlation from the squared standardized residuals >but not from the standardized residuals. Jus

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

Greetings ! Just reviewed your extensive experience with scientific publications and would appreciate a response to my dilemma. I'm not an academic and am attempting to [hopefully] efficiently cover several surveys in math, physics, astronomy, etc. and need access to online repositories of pu

Re: garch residuals

That stock market returns follow a Martingale in general has been pretty well disproved. See the survey literature in The Econometrics of Financial Markets by Campbell, Lo and MacKinlay and A Non-Random Walk down wall street by Andrew Lo. Index returns show quite significant lag correlations which

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

Herman Rubin <[EMAIL PROTECTED]> wrote in message a4u99j$[EMAIL PROTECTED]">news:a4u99j$[EMAIL PROTECTED]... > In article <[EMAIL PROTECTED]>, > Radford Neal <[EMAIL PROTECTED]> wrote: > >>Box-Muller does not work for real time requirements. > > >This isn't true, of course. A "real time" applica

Re: Numerical recipes in statistics ???

The Truth <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > Glen Barnett <[EMAIL PROTECTED]> wrote in message news:<[EMAIL PROTECTED]>... > > The Truth wrote: > > > > > > Are there any "Numerical Recipes" like textbook on statistics and probability ? > > > Just w

Re: Numerical recipes in statistics ???

Charles Metz <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > The Truth wrote: > > > I suppose I should have been more clear with my question. What > > I essentially require is a textbook which presents algorithms > > like Monte Carlo, Principal Component Ana

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

Ian Buckner <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > "Glen Barnett" <[EMAIL PROTECTED]> wrote in message > [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > > Ian Buckner wrote: > > > > > > We generate pairs of properly distributed Gaussian variables at > >

Re: Numerical recipes in statistics ???

The Truth wrote: > I suppose I should have been more clear with my question. What > I essentially require is a textbook which presents algorithms > like Monte Carlo, Principal Component Analysis, Clustering > methods, MANOVA/MANACOVA methods etc. and provides source code > (in C , C++ or

Re: Numerical recipes in statistics ???

On 19 Feb 2002 13:13:08 -0800, [EMAIL PROTECTED] (The Truth) wrote: > Glen Barnett <[EMAIL PROTECTED]> wrote in message >news:<[EMAIL PROTECTED]>... > > The Truth wrote: > > > Are there any "Numerical Recipes" like textbook on statistics and probability ? > > > Just wondering.. > > > > What do

Re: Evaluation of skating

Title: Re: Evaluation of skating At 3:49 PM -0500 19/2/02, Dennis Roberts wrote: One list I am on, we were having a discussion about how it would be possible to make changes to the methods used in the judging of Olympic Figure Skating, so as to make it less possible for collusion in the judging t

Re: garch residuals

Stock market returns usually satisfy martingale property, and are uncorrelated. I think you should check your calculations again for errors. Are you sure that you are working with returns and not prices? I guess that by "heavy correlation" you mean that estimated autoregressive coefficient is clos

Re: Statistical Distributions

In article <[EMAIL PROTECTED]>, Dennis Roberts <[EMAIL PROTECTED]> wrote: >At 07:34 AM 2/19/02 -0500, Herman Rubin wrote: >>I do not see this. The binomial distribution is a natural >>one; the normal distribution, while it has lots of mathematical >>properties, is not. >i don't know of any "dis

Re: Numerical recipes in statistics ???

Glen Barnett <[EMAIL PROTECTED]> wrote in message news:<[EMAIL PROTECTED]>... > The Truth wrote: > > > > Are there any "Numerical Recipes" like textbook on statistics and probability ? > > Just wondering.. > > What do you mean, a book with algorithms for statistics and probability > or a handbo

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

In article <[EMAIL PROTECTED]>, Radford Neal <[EMAIL PROTECTED]> wrote: >>Box-Muller does not work for real time requirements. >This isn't true, of course. A "real time" application is one where >one must guarantee that an operation takes no more than some specified >maximum time. The Box-Mulle

Re: can multicollinearity force a correlation?

On 18 Feb 2002 16:29:27 -0800, [EMAIL PROTECTED] (Wuzzy) wrote: > > You should take note that R^2 is *not* a very good measure > > of 'effect size.' > > Hi Rich, you asked to see my data, - I don't remember doing that - >i've posted the visu

Re: covariates !!

On Mon, 18 Feb 2002 20:57:36 +0100, "jan plessers" <[EMAIL PROTECTED]> wrote: > Hello, > > I did a likert on 2 groups, a Mann-whitney showed that ther was a > significant difference between the 2 groups. If 'did a Likert' means what I expect, and the scaling was decent enough to be worth com

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

>Box-Muller does not work for real time requirements. This isn't true, of course. A "real time" application is one where one must guarantee that an operation takes no more than some specified maximum time. The Box-Muller method for generating normal random variates does not involve any operatio

Questions about Estimated SE in Emmeans Tables

Hello All, I'm using SPSS, and I have a question concerning the estimated standard errors that are reported with the emmeans in an unbalanced design (ANOVA) when using SSTYPE(3). First, I want to make sure I'm fully understanding how they're computed, and then I want to see if I can then make a

Re: Statistical Distributions

At 07:34 AM 2/19/02 -0500, Herman Rubin wrote: >I do not see this. The binomial distribution is a natural >one; the normal distribution, while it has lots of mathematical >properties, is not. i don't know of any "distribution" that is natural ... what does that mean? inherent in the universe?

Distance Learning

Thanks to all who have recommended directories of distance learning courses for statistics. I have posted links at http://core.ecu.edu/psyc/wuenschk/DistanceEd.htm . ~~~ Karl L. Wuensch, Departm

Re: Question on random number generator

In article <[EMAIL PROTECTED]>, Robert J. MacG. Dawson <[EMAIL PROTECTED]> wrote: >Linda wrote: >> I want to generate a series of random variables, X with exponential >> PDF with a given mean,MU value. However, I only want X to be in some >> specified lower and upper limit?? Say between 0 -> 15

Re: Statistical Distributions

In article <[EMAIL PROTECTED]>, Dennis Roberts <[EMAIL PROTECTED]> wrote: >addendum >if one manipulates n and p in a binomial and, gets to a point where a >person would say (or we would say as the instructor) that what you see is >very similar to ... and might even be approximated well by ... t

garch residuals

I have a question about my residuals. When testing for autocorrelation I come to the conclusion that the models (garch, Egarch, GJR a.k.a. Tarch) remove the correlation from the squared standardized residuals but not from the standardized residuals. Are my models misspecified?? I use returns from

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Re: Statistical Distributions

In article <[EMAIL PROTECTED]>, Dennis Roberts <[EMAIL PROTECTED]> wrote: >not to disagree with alan but, my goal was to parallel what glass and >stanley did and that is all ...seems like there are all kinds of >distributions one might discuss AND, there may be more than one order that >is acce

Re: Which is faster? ziggurat or Monty Python (or maybe something else?)

Generated on custom silicon (surprise). Box-Muller does not work for real time requirements. Ian "Glen Barnett" <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > Ian Buckner wrote: > > > > We generate pairs of properly distributed Gaussian variables at > > down