Anti-Robust and Tonsured Statistics
Statistical Finance
2011-10-24 v1 Risk Management
Methodology
Abstract
This describes a statistical technique called "tonsuring" for exploratory data analysis in finance. Instead of rejecting "outlier" data that conflicts with the model, this strips out "inlier" data to get a clearer picture of how the market changes for larger moves.
Cite
@article{arxiv.1110.4648,
title = {Anti-Robust and Tonsured Statistics},
author = {Martin Goldberg},
journal= {arXiv preprint arXiv:1110.4648},
year = {2011}
}
Comments
18 pages, 9 figures