| Title |
Pusiau empirinių robastinių algoritmų taikymas investicinio portfelio sudarymui / |
| Translation of Title |
Semiempirical robust algorithm for investment portfolio formation. |
| Authors |
Kaskevič, Natalja ; Raudys, Šarūnas ; Denisov, Vitalij |
| Full Text |
|
| Is Part of |
Computational science and techniques: Special issue for research innovations fundamentals.. Klaipėda : Klaipėda University. 2013, vol. 1, no. 1, p. 30-35.. eISSN 2029-9966 |
| Keywords [eng] |
data outliers ; robust estimators ; breakdown value ; stock portfolio |
| Abstract [eng] |
When analyzing stock market data, it is common to encounter observations that differ from the overall pattern. It is known as the problem of robustness. Presence of outlying observations in different data sets may strongly influence the result of classical (mean and standard deviation based) analysis methods or models based on this data. The problem of outliers can be handled by using robust estimators, therefore making aberrations less influential or ignoring them completely. An example of applying such procedures for outlier elimination in stock trading system optimization process is presented. |
| Published |
Klaipėda : Klaipėda University |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2013 |
| CC license |
|
