statistics, standard deviation

Discussion in 'Trading' started by Gordon Gekko, Jun 10, 2003.

  1. This is the process of eliminating outliers. In fact this is essential before using statistical calculation because all inferential (deduction) is false if your datas don't eliminate exceptional cases: statistics are about common cases not exception. But statistic can be used to detect outliers. There are more or less complex procedure. For most simplest procedure datas above 3 standard deviations should be considered as outliers. Also 2 consecutive datas above two standard deviations should also be suspicious. This presuppose that the mother population is normal. If it is not the case transformation like log-normal should be applied before. If it is difficult to normalise at least it is possible to make groups and whatever the law th mean of a group even as small as 4 should follow rather well the normal law.

     
    #11     Jun 11, 2003