Anti-robust and tonsured statistics

Issue title: Statistical Models in Finance and Insurance

Guest editors: Arkady Shemyakin and Vladimir Ladyzhets

Article type: Research Article

Authors: Goldberg, Martin J.

Affiliations: 92 Farrington Road, Validationquant, LLC, Matawan, NJ 07747, USA | Tel.: +1 732 742 8977; E-mail: [email protected]; http://validationquant.com

Abstract: This describes a statistical technique called “tonsuring” for exploratory data analysis in finance. Instead of rejecting “outlier” data that conflicts with the model, this strips out “inlier” data to get a clearer picture of how the market changes for larger moves.

Keywords: Copula, tonsuring, outliers, inliers, exploratory data analysis, correlation

DOI: 10.3233/MAS-170411

Journal: Model Assisted Statistics and Applications, vol. 12, no. 4, pp. 387-398, 2017