Fachrichtung: Statistik
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Comparing the accuracy of default predictions in the rating industry
The case of Moody?s vs. S&P
We consider 1927 borrowers from 54 countries who had a credit rating by both Moody?s and S&P as of the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as (...)
Evaluating probability forecasts in terms of refinement and strictly proper scoring rules
This note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms of all strictly proper scoring (...)
Finite Sample Power of Cliff-Ord-Type Tests for Spatial Disturbance Correlation in Linear Regression
The paper considers tests against autocorrelation among the disturbances in linear regression models that can be expressed as ratios of quadratic forms. It shows that such tests are in general not (...)
How to confuse with statistics or: The use and misuse of conditional probabilities
The article shows by various examples how consumers of statistical information may be confused when this information is presented in terms of conditional probabilities. It also shows how this (...)
How to OverREACH oneself ? a Critical View on the EU Commisions?s Estimate of the Health Benefits of ist New Chemical Policy
The European Commision has recently agreed upon and put forward a proposal for a new EU regulatory framework for chemicals. The proposed new system, called REACH (Registration, Evaluation and (...)
Induktive Eigenschaften von Streuungsmaßen für nominale Merkmale
In der Arbeit "Induktive Eigenschaften von Streuungsmaßen für nominale Merkmale" werden zwei Streuungsmaße für nominale Merkmale (wie beispielsweise der Familienstand oder der Beruf oder die Art der (...)
Induktive Eigenschaften von Streuungsmaßen für ordinale Merkmale
In der Arbeit "Induktive Eigenschaften von Streuungsmaßen für ordinale Merkmale" werden, ausgehend von der Definition additiver Streuungsmaße, Maximum-Likelihood-Schätz-funktionen für additive (...)
Large-scale disasters and the insuranceindustry
We investigate the effect of the 20 largest ? in terms of insured losses ? man-made or natural disasters on the insurance industry. We show via an event study that insurance markets worldwide are (...)
On the ordering of probability forecasts
The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not (...)
Vom Geburtshelfer zum Bremser der Erkenntins in den Sozialwissenschaften
Die beschreibende und die schließende Statistik tragen unterschiedlich zur Erkenntnis in den Sozialwissenschaften bei. Während in der statistischen Lehre und Forschung die indkutiven, (...)
The Power of the KPSS?Test for Cointegration when Residuals are Fractionally Integrated
We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather (...)
The robustness of the F-test to spatial autocorrelation among regression disturbances
It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression disturbances. In particular, the true size of the test (...)
The weak Pareto law and regular variation in the tails
We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities, but that the reverse implication does not hold. We (...)