Applied Multivariate Statistical Analysis
Most of the observable phenomena in the empirical sciences are of a multivariate nature.In financial studies, assets in stock markets are observed simultaneously and their joint development is analyzed to better understand general tendencies and to track
- PDF / 10,341,497 Bytes
- 455 Pages / 439.37 x 666.142 pts Page_size
- 111 Downloads / 223 Views
Wolfgang Härdle · Léopold Simar
Applied Multivariate Statistical Analysis Second Edition
123
Wolfgang Härdle Humboldt-Universität zu Berlin CASE - Center for Applied Statistics and Economics Institut für Statistik und Ökonometrie Spandauer Straße 1 10178 Berlin, Germany e-mail: [email protected] Léopold Simar Université Catholique Louvain Inst. Statistique voie du Roman Payas 20 1348 Louvain-la-Neuve, Belgium e-mail: [email protected]
Cover art: Detail of “Portrait of the Franciscan monk Luca Pacioli, humanist and mathematician (1445-1517)”by Jacopo de Barbari, Museo di Capodimonte, Naples, Italy
Library of Congress Control Number: 2007929787
ISBN 978-3-540-72243-4 Springer Berlin Heidelberg New York ISBN 978-3-540-03079-9
1st Edition Springer Berlin Heidelberg New York
Mathematics Subject Classification (2000): 62H10, 62H12, 62H15, 62H17, 62H20, 62H25, 62H30, 62F25 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com © Springer-Verlag Berlin Heidelberg 2003, 2007 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: LE-TEX Jelonek, Schmidt & V¨ ockler GbR, Leipzig Cover-design: WMX Design GmbH, Heidelberg SPIN 12057573
154/3180YL - 5 4 3 2 1 0
Printed on acid-free paper
Preface to the 2nd Edition The second edition of this book widens the scope of the methods and applications of Applied Multivariate Statistical Analysis. We have introduced more up to date data sets in our examples. These give the text a higher degree of timeliness and add an even more applied flavour. Since multivariate statistical methods are heavily used in quantitative finance and risk management we have put more weight on the presentation of distributions and their densities. We discuss in detail different families of heavy tailed distributions (Laplace, Generalized Hyperbolic). We also devoted a section on copulae, a new concept of dependency used in the financial risk management and credit scoring. In the chapter on computer intensive methods we have added support vector machines, a new classification technique from statistical learning theory. We apply this method to bankruptcy and rating analysis of firms. The very important CART (Classification and Regression Tree) technique is also now inserted into this chapter.
Data Loading...
