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Re: st: ksmirnov


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ksmirnov
Date   Tue, 21 Aug 2012 15:43:54 +0100

You have not answered my previous question on the precise generating
process you envisage, including dependence structure. Nor have you
commented on my previous suggestion to look at -arch-.

This is no more precise: "more powerful" and "best fit" are not well defined.

On Tue, Aug 21, 2012 at 3:30 PM, Guessab Houda
<houda.guessab@gre.generali.com> wrote:
> Nick
>
> I already fitted a Student t-distribution to my historic returns with the degrees of freedom selected so that the kurtosis of the Student t-distribution matches that of the sample kurtosis. I just wanted to know if there is a more powerful method to do it in STATA. In fact, i was wondering also if I could do it with other methodologies (ex:MLE) in order to take the best fit applying komogolov smirnov!
>
> Houda GUESSAB
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: mardi 21 août 2012 15:45
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: ksmirnov
>
> As usual, I agree with Maarten when he agrees with me, and versa vice.
> The strategic issues in my view include attempting to summarize lack
> of fit in one number and conflating an estimation problem with a
> decision problem.
>
> About a decade ago I persuaded StataCorp to include a quotation from
> Rupert Miller on the limitations of Kolmogorov-Smirnov  within the
> manual entry [R] diagplots. That quotation still seems cogent to me.
>
> It's quite widely documented that K-S with parameters estimated from
> the data is problematic. Houda started this thread apparently
> _knowing_ that df = 8 but ended it wanting to know how to estimate it,
> so the aims here are a moving target.
>
> Incidentally, fashions change on transliteration, but as far as I know
> Kolmogorov or possibly Kolmogoroff (resp. Smirnov and Smirnoff)  are
> the only widely accepted renderings of those names in English. (I am
> not ignoring other languages; I just don't know anything about their
> rules here.) At least hereabouts there is a vodka brand named
> Smirnoff. There are several Russian speakers on this list (e.g Stas
> Kolenikov) who may be able to comment.
>
> Nick
>
> On Tue, Aug 21, 2012 at 1:55 PM, Maarten Buis <maartenlbuis@gmail.com> wrote:
>> On Tue, Aug 21, 2012 at 1:59 PM, Guessab Houda wrote:
>>> Nick told me that it's not correct to use kormogolv smirnov to compare the shape of series with a student distribution, is there another numerical method (not graphical)to do that?
>>
>> Long standing members of this list will not be surprised that Nick and
>> I agree on this point. To put it in another way, you seem to want to
>> summarize difference between the shape of a variable and a theoretical
>> curve in one number. By necessity this will throw away a huge amount
>> of information. Even if you thought that that was acceptable, than
>> you'd still have to consider very carefully what that number is
>> measuring and what it is not measuring. In all likelihood it is not
>> measuring what you think it measures.
>>
>> -- Maarten
>>
>> ---------------------------------
>> Maarten L. Buis
>> WZB
>> Reichpietschufer 50
>> 10785 Berlin
>> Germany
>>
>> http://www.maartenbuis.nl
>> ---------------------------------
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>
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