Quant Sampling And Estimation Flashcards
Data Mining
The practice of determine a model by extensive searching through a data set for statistically significant patterns
Degree of Confidence
The probability that a confidence interval includes the unknown population parameter
Degrees of Freedom (df)
The number of independent observations used
Estimate
The particular value calculated from sample observations using an estimator
Estimator
An estimation formula; the formula used to compute the sample mean and other sample statistics are examples of estimators
Indexing
An investment strategy in which an investor constructs a portfolio to mirror the performance of a specified index
Inter generation data mining
A form of data mining that applies information developed by previous researchers using a dataset to guide current research using the same or related data set
Longitudinal data
Observations on characteristics of same observational unit through time
Look ahead bias
A bias caused by using information that was unavailable on the test date
Lower bound
The lowest possible value of an option
Monetary policy
Actions taken by a nations central bank to affect aggregate output and prices though changes in bank reserves, reserve requirements, or its target interest rate
Out of sample test
A test of a strategy or model using a sample outside the time period on which the strategy or model was developed
Panel data
Observations through time on a single characteristic of multiple observational units
Parameter
A descriptive measure computed from or used to describe a populating of data, conventionally represented by Greek letters
Point estimate
A single numerical estimate of an unknown quantity, such as a population parameter
Sample selection Bias
Bias introduced by systematically excluding some members of the population according to a particular attribute - for example, the bias introduced when data availability less to certain observations being excluded from the analysis
Sampling
The process of obtaining a sample
Sampling distribution
The distribution of all distinct possible values that a statistic can assume when computed from samples of the same size randomly drawn from
The same population
Sampling error
The difference between the observed value of a statistic and the quantity it is intended to estimate
Sampling plan
The set of rules used to select a sample
Sharpe ratio
The average return in excess of the risk free rate divided by the standard deviation of return; a measure of the average excess return earned per unit of standard deviation of return
Simple random sample
A subset of a larger population created in such a way that each element of the population has an equal probability of being selected to the subset
Simple random sampling
The procedure of drawing a sample to satisfy the definition of a simple random sample
Statistic
A quantity computed from or used to describe a sample of data
Survivorship bias
The bias resulting from a test designed that fails to account for that gone bankrupt, merged or are otherwise no longer reported in a database
Systematic sampling
A procedure of selecting every kth member until reaching a sample of the desired size. The sample that results from this procedure should be approximately random
Time period bias
The possibility that when we use a time series sample our statistics conclusion may be sensitive to the starting and ending dates of the sample
