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Noise Modeling

Richard McCleary, David McDowall, and Bradley J. Bartos

in Design and Analysis of Time Series Experiments

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190661557
eISBN:
9780190661595
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190661557.003.0003
Subject:
Sociology, Methodology and Statistics

Chapter 3 introduces the Box-Jenkins AutoRegressive Integrated Moving Average (ARIMA) noise modeling strategy. The strategy begins with a test of the Normality assumption using a Kolomogov-Smirnov ... More


Risk Management in a Normal World

Gilles Bénéplanc and Jean-Charles Rochet

in Risk Management in Turbulent Times

Published in print:
2011
Published Online:
April 2015
ISBN:
9780199774081
eISBN:
9780190258474
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:osobl/9780199774081.003.0010
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter explores risk management in the Normal world. A Normal world where the mean-variance criterion can be used safely, portfolio choice is easy, the diversification principle works well, and ... More


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