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PPE (stellenweise evtl. zu detailliert und auch evtl. irrelevanter Stoff mit dabei, entscheidet für euch selbst)
- "Fat Tails": Wie sehr ist ein zufällig verteilter Prozess von einer einzigen Beobachtung dominiert? Wie sehr kann eine einzige Zahl die Durchschnittswerte sprengen?
- Indikator von Fat Tails: Kurtosis und Wölbung
- Normalverteilung hat Kurtosis von 3
- Ökonomik von Fat Tails dominiert, d.h. Kurtosis meistens größer als 3
- Fat Tails für Vorhersagen großes Problem, weil keine richtigen Schätzfunktionen möglich bzw. verschiedene Stichproben liefern verschiedene Resultate + Zirkularität der Statistik
- "Fat Tails": Wie sehr ist ein zufällig verteilter Prozess von einer einzigen Beobachtung dominiert? Wie sehr kann eine einzige Zahl die Durchschnittswerte sprengen?
- Indikator von Fat Tails: Kurtosis und Wölbung
- Normalverteilung hat Kurtosis von 3
- Ökonomik von Fat Tails dominiert, d.h. Kurtosis meistens größer als 3
- Fat Tails für Vorhersagen großes Problem, weil keine richtigen Schätzfunktionen möglich bzw. verschiedene Stichproben liefern verschiedene Resultate + Zirkularität der Statistik
- "Fat Tails": Wie sehr ist ein zufällig verteilter Prozess von einer einzigen Beobachtung dominiert? Wie sehr kann eine einzige Zahl die Durchschnittswerte sprengen? - Indikator von Fat Tails: Kurtosis und Wölbung - Normalverteilung hat Kurtosis von 3 - Ökonomik von Fat Tails dominiert, d.h. Kurtosis meistens größer als 3 - Fat Tails für Vorhersagen großes Problem, weil keine richtigen Schätzfunktionen möglich bzw. verschiedene Stichproben liefern verschiedene Resultate + Zirkularität der Statistik
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