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2008 Jun 11
0
ETH Internship - Dynamic Portfolio Asset Allocation
Summer Internship at ETH Zurich
"Dynamic Portfolio Asset Allocation"
We offer a 3-months internship starting
midth July 2008. The topic addresses
"Dynamic Portfolio Asset Allocation"
including alternative instruments and
hedge funds. The goal will be to compare
the robust mean-variance, the lower partial
moment and the conditional value-at-risk
approaches for portfolio construction and
optimization us...
2011 Nov 03
0
Kolmogorov-Smirnov-Test on binned data, I guess gumbel-distributed data
...auer.net/downloads/kstest/rm2700-1000.txt
http://www.jochen-bauer.net/downloads/kstest/rcalc.R
The story about the data:
I am wondering what test I should choose if KS-Test is not appropriate? I
get real high p-Values for data-row-1-histogram-heights and
fitted-gumbel-distribution-function-to-bin-midth-vals. Most of the time,
KS-test results in distances of 0.01 and p-Values of 0.99 or 1. This sounds
strange to me, too high. Otherwise my plots are looking good and as you can
see, in my first experiment I sampled 1000 values. In a second experiment I
created only 50 random-values for the gumbel-pa...