A Look at Sequential Normal Scores and How They Apply to Financial Data Analysis

• 作者: Alvaro E. Cordero-Franco Víctor G. Tercero-G?mez W. J. Conover
• 来源期刊: 应用数学与应用物理(英文)
• 学科: 医学
• 关键词: SEQUENTIAL Analysis SEQUENTIAL RANKS Transformation Extreme Values OUTLIERS
• 年，卷（期）: 2018,（4）
• 页码范围: 787-816
• 页数: 30页
• 分类号: R73

摘要

Statistical methods for analyzing economic data need to be timely, accurate and easy to compute. To accomplish this, parametric models are often assumed, but they are at best approximate, and often lack a good fit in the tails of the distribution where much of the interesting data are concentrated. Therefore, nonparametric methods have been extensively examined as alternatives to the constrictive assumptions of parametric models. This paper examines the use of Sequential Normal Scores (SNS) for transforming time series data with unknown distributions into time series data that are approximately standard-normally distributed. Particular attention is directed toward detecting outliers (out-of-control values), and applying subsequent analytic methods such as CUSUMs and Exponentially Weighted Moving Average (EWMA) schemes. Two examples of stock market data are presented for illustration.