RE: st: ksmirnov

["Guessab Houda" <houda.guessab@gre.generali.com>]

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
> ---------------------------------
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

 
Ai sensi del D.Lgs. 196/2003 si precisa che le informazioni contenute in questo messaggio sono riservate ed a uso esclusivo del destinatario. Qualora il messaggio in parola Le fosse pervenuto per errore, La invitiamo ad eliminarlo senza copiarlo e a non inoltrarlo a terzi, dandocene gentilmente comunicazione. Grazie.

Pursuant to Legislative Decree No. 196/2003, you are hereby informed that this message contains confidential information intended only for the use of the addressee. If you are not the addressee, and have received this message by mistake, please delete it and immediately notify us. You may not copy or disseminate this message to anyone. Thank you.

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/