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Fundamentals of Matrix Algebra 397 To determine the eigenvectors of a matrix and the relative eigenvalues, consider that the equ ...

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399 APPENDIX E Model Selection Criterion: AIC and BIC I n several chapters we have discussed goodness-of-fit tests to assess the ...

400 The Basics of financial economeTrics Akaike Information Criterion In 1951, Kullback and Leibler developed a measure to captu ...

Model Selection Criterion: AIC and BIC 401 For small sample sizes, the second-order Akaike information criterion (AICc) should b ...

402 The Basics of financial economeTrics in the relative value of the delta AIC. The Akaike weights, denoted by wm, are obtained ...

Model Selection Criterion: AIC and BIC 403 information criterion, is another model selection criterion based on infor- mation th ...

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405 Appendix F Robust Statistics R obust statistics addresses the problem of making estimates that are insen- sitive to small ch ...

406 The Basics of financial economeTrics of one single observation might have unbounded effects on the mean, while the median is ...

Robust Statistics 407 end we define the influence curve (IC), also called influence function, which measures the influence of a ...

408 The Basics of financial economeTrics local Shift Sensitivity The local shift sensitivity measures the effect of the removal ...

Robust Statistics 409 LMedS is unwieldy from a computational point of view because of its nondifferentiable form. This means tha ...

410 The Basics of financial economeTrics ■ (^) Median. The median Med(X) is defined as that value that occupies a central positi ...

Robust Statistics 411 we compute the mean, the trimmed mean, and the median, we obtain the following results: Mean = 3.8396e–005 ...

412 The Basics of financial economeTrics While the mean is largely affected, the median is not affected and the trimmed mean is ...

413 Index Absolute cumulative frequency, 327 Absolute deviation, 330 Absolute frequency, 323 Absolute joint frequency distributi ...

414 Index Augmented Dickey-Fuller statistic, 197 Augmented matrix, 389–390 Autocorrelation, 92 Autocorrelation function, 197 Aut ...

Index 415 Characteristic equation, 397 Characteristic exponent, 353 Characteristic line, 25, 76 Characteristic polynomial, 397 C ...

416 Index Data snooping, 292, 296–297 Data structure, 294 DataStream, 183 Decision rule, 372, 374 Decomposition, 104–108 Decompo ...