Statistics 471/701

(PRELIMINARY)

General information

• Stat lab 462 JMHH: Basically M-F, 3-6, (but Wed it finishes at 4:30)
• Office hours: Monday at 3:00 (Huntsman 472). Or email me for an appointment.
• Grading:
  • Homeworks (or more accurately, cases)
  • Final project
  • No final
• You can use either jmp ($60/3 years) or R (free) as our statistics package. I'll be using R mostly in class.

Current Data sets

• boston housing data (.txt, .jmp)
• New Hampshire Temp (.jmp) from Nature.
• Berndt data (for homework)
• baseball data (.jmp)
• Doing an infinite number of t-tests? (.jmp)
• Here is a simulation of an ideal hetroskadastic dataset.
• Online code for alpha investing (fast large variable selection).
• Loans (.csv)

Readings

• Richard Berk
• Berndt chapter 2

Schedule (from 2009: Material not to be covered this year has been deleted)

• Jan 14: Fitting with doglegs
  • Admistrivia: course goals, "who are you", web site, JMP, prerequisets
  • handout: Berndt chapter 2
  • notes

• Jan 20: Doglegs (continued)
• Jan 22: The residuals
  • notes (.pdf)
  • The t required for many t-tests (.jmp)

• Jan 27: standard errors
• Jan 29: Bootstrap
  • class notes
  • You should now have finished reading chapter 2 of Berndt.
  • Finish up the first homework) also.
  • To confirm you have understood the first 5 lectures, do HW 2. No write ups necessary--just JMP / R.

• Feb 3: Berndt Chapter 2 discussion
• Feb 5: Ponzironi (HW 1 due)

• Feb 10: Ponzi 2 (HW 2 due)
• Feb 12: Interlude: Darwin day (200th birthday of Darwin)

• Feb 17: Ponzi 3 (dice due)
• Feb 19: CAPM revisited (notes 1, notes 2)

• Feb 24: TBA
• Feb 26: TBA

• Mar 2: Introduction to high dimensional data
• Mar 4: Stepwise regression: the JMP interface
  • notes
  • assignment 3 due, or email / drop it off some time before Tuesday of break

• Mar 16th: Risk inflation Ed's notes (research paper with Edward)
• Mar 18th: Risk inflation continued
  • html version (Is this of any use to anyone?)

• Mar 24th: RIC / Alpha investing
  • research paper
  • You can run data through our code on line.
• Mar 26th: Paranoid statistics
  • book chapter
  • an entire wiki on this topic

• Mar 31st: Loss functions
  • lecture notes
  • More information
• Apr 2nd: Follow the leader and calibration assignment 4 due

• Apr 7:Regression for Calibration
  • about 1/4 of my research is on topic
• Apr 9: Calibration for regression
  • assignment 5 due (.html )

• Apr 14: (continuing) Partial F-statistics
• Apr 16: Boston housing (via jmp and auction)

• Apr 21: TBA
  • return HW 5.
  • Homework 5 discussion: Calibration curve in JMP.
• Apr 23: TBA

• Apr 28: TBA

Other Data sets of interest and some that will be used later

• palio global warming
• Display ft vs sales
• amazon data (from compscore)
• Population cohorts 1926 - 1979 (total .txt,.csv)
• DJIA (.txt, .csv)
• gold.jmp
• Homework 1: download Berndt data. (guidelines)
• Nerlov data (.jmp, .txt)
• learning model cars

• Berkshire Hathaway Inc (.JMP)
• info on hedge funds
• See the end of this page for other data sets of interest
• KOPCKE data for homework 4: (raw data) Note strange file format. You WILL need to edit it! If you read it into a text editor you will see that there are TWO different columns of number. Here are some comments on the file.
• Magic forecasting rule to generate excess returns
• IBM (.txt)
• value weighted.cvs
• Monthly T-bills, VW, inflation 1925 - 1995 (.jmp,.txt) suggestion: DJIA for homework. :-)
• Homework evaluations (.txt). Notice that no homework is statistically significantly worse than any other. Too bad!
• mink data (txt,txt, xls) documentation
• International Airline (.jmp)
• Unemployment (.csv)
• Live births in Pennsylvania 1915 - 1997 csv
• Fish (.jmp)
• Hurricane (Splus)