Anon

Robust Statistics 411

we compute the mean, the trimmed mean, and the median, we obtain the
following results:

Mean = 3.8396e–005

Trimmed mean (20%)^4 = –4.5636e–004

Median = 0

In order to show the robustness properties of these estimators, let’s multiply
the 10% highest/lowest returns by 2. If we compute again the same quanti-
ties we obtain:

Mean = 4.4756e–004

Trimmed mean (20%) = –4.4936e–004

Median = 0

(^4) Trimmed mean (20%) means that we exclude the 20%/2 = 10% highest and lowest
observations.

0

–0.2

–0.15

–0.1

–0.05

0

0.05

0.1

0.15

1000 2000

Days

Return

3000 4000 5000 6000

FiGuRe F.1 Daily Returns Nippon Oil, 1986–2005