Xplore-Learning Guide: Learning Guide

by Hardle, Wolfgang; Klinke, S.; Muller, M.

• ISBN13: 9783540662075
• ISBN10: 3540662073
• Format: Paperback
• Copyright: 1999-12-01
• Publisher: Springer Verlag

Summary

This is the comprehensive handbook to XploRe - the interactive statistical environment, a versatile tool for data analysis. XploRe combines classical techniques with high end statistical procedures and is the ideal solution for data exploration. The user-friendly graphics provide an effective basis for large-scale statistical analysis, computer intensive research and interactive knowledge discovery. The open architecture and the Auto Pilot Support System (APSS) guarantees smooth integration of future methods and updated data analysis techniques.

Table of Contents

Preface	15	(4)
Part I: First Steps	19	(148)
Getting Started	21	(22)
Using XploRe	21	(8)
Input and Output Windows	21	(1)
Simple Computations	22	(1)
First Data Analysis	23	(1)
Exploring Data	24	(3)
Printing Graphics	27	(2)
Quantlet Examples	29	(5)
Summary Statistics	30	(1)
Histograms	30	(1)
2D Density Estimation	31	(2)
Interactive Kernel Regression	33	(1)
Getting Help	34	(2)
Basic XploRe Syntax	36	(7)
Operators	36	(2)
Variables	38	(1)
Variable Names	38	(1)
Functions	39	(1)
Quantlet files	40	(3)
Descriptive Statistics	43	(26)
Marlene Muller
Data Matrices	43	(6)
Creating Data Matrices	44	(2)
Loading Data Files	46	(1)
Matrix Operations	47	(2)
Computing Statistical Characteristics	49	(14)
Minimum and Maximum	50	(1)
Mean, Variance and Other Moments	51	(1)
Median and Quantiles	52	(3)
Covariance and Correlation	55	(2)
Categorical Data	57	(2)
Missing Values and Infinite Values	59	(4)
Summarizing Statistical Information	63	(6)
Summarizing Metric Data	63	(3)
Summarizing Categorical Data	66	(3)
Graphics	69	(60)
Sigbert Klinke
Basic Plotting	70	(9)
Plotting a Data Set	70	(1)
Plotting a Function	71	(1)
Plotting Several Functions	72	(1)
Coloring Data Sets	73	(1)
Plotting Lines from Data Sets	74	(2)
Several Plots	76	(3)
Univariate Graphics	79	(11)
Boxplots	80	(2)
Dotplots	82	(1)
Bar Charts	83	(2)
Quantile-Quantile Plots	85	(1)
Histograms	86	(4)
Multivariate Graphics	90	(15)
Three-Dimensional Plots	91	(1)
Surface Plots	92	(1)
Contour Plots	92	(2)
Sunflower Plots	94	(1)
Linear Regression	95	(2)
Bivariate Plots	97	(2)
Star Diagrams	99	(1)
Scatter-Plot Matrices	100	(2)
Andrews Curves	102	(1)
Parallel Coordinate Plots	103	(2)
Advanced Graphics	105	(4)
Moving and Rotating	105	(1)
Simple Predefined Graphic Primitives	106	(2)
Color Models	108	(1)
Graphic Commands	109	(20)
Controlling Data Points	110	(1)
Color of Data Points	111	(2)
Symbol of Data Points	113	(2)
Size of Data Points	115	(1)
Connection of Data Points	116	(5)
Label of Data Points	121	(3)
Title and Axes Labels	124	(1)
Axes Layout	125	(4)
Regression Methods	129	(18)
Jorg Aßmus
Simple Linear Regression	131	(6)
Multiple Linear Regression	137	(6)
Nonlinear Regression	143	(4)
Teachware Quantlets	147	(20)
Nathaniel Derby
Visualizing Data	149	(1)
Random Sampling	150	(3)
The p-Value in Hypothesis Testing	153	(2)
Approximating the Binomial by the Normal Distribution	155	(2)
The Central Limit Theorem	157	(2)
The Pearson Correlation Coefficient	159	(3)
Linear Regression	162	(5)
Bibliography	165	(2)
Part II: Statistical Libraries	167	(242)
Smoothing Methods	169	(36)
Marlene Muller
Kernel Density Estimation	169	(16)
Computational Aspects	171	(2)
Computing Kernel Density Estimates	173	(3)
Kernel Choice	176	(1)
Bandwidth Selection	177	(4)
Confidence Intervals and Bands	181	(4)
Kernel Regression	185	(12)
Computational Aspects	185	(1)
Computing Kernel Regression Estimates	186	(2)
Bandwidth Selection	188	(4)
Confidence Intervals and Bands	192	(2)
Local Polynomial Regression and Derivative Estimation	194	(3)
Multivariate Density and Regression Functions	197	(8)
Computational Aspects	197	(1)
Multivariate Density Estimation	197	(4)
Multivariate Regression	201	(2)
Bibliography	203	(2)
Generalized Linear Models	205	(24)
Marlene Muller
Estimating GLMs	206	(2)
Models	206	(2)
Maximum-Likelihood Estimation	208	(1)
Computing GLM Estimates	208	(7)
Data Preparation	208	(1)
Interactive Estimation	209	(4)
Noninteractive Estimation	213	(2)
Weights & Constraints	215	(3)
Prior Weights	216	(1)
Replications in Data	217	(1)
Constrained Estimation	217	(1)
Options	218	(3)
Setting Options	219	(1)
Weights and Offsets	219	(1)
Control Parameters	219	(2)
Output Modification	221	(1)
Statistical Evaluation and Presentation	221	(8)
Statistical Characteristics	221	(2)
Output Display	223	(1)
Significance of Parameters	223	(2)
Likelihood Ratio Tests for Comparing Nested Models	225	(1)
Subset Selection	226	(2)
Bibliography	228	(1)
Neural Networks	229	(18)
Wolfgang Hardle
Heiko Lehmann
Feed-Forword Networks	231	(1)
Computing a Neural Network	232	(4)
Controlling the Parameters of the Neural Network	234	(1)
The Resulting Neural Network	235	(1)
Running a Neural Network	236	(11)
Implementing a Simple Discriminant Analysis	237	(4)
Implementing a More Complex Discriminant Analysis	241	(5)
Bibliography	246	(1)
Time Series	247	(26)
Petr Franek
Wolfgang Hardle
Time Domain and Frequency Domain Analysis	247	(6)
Autocovariance and Autocorrelation Function	248	(3)
The Periodogram and the Spectrum of a Series	251	(2)
Linear Models	253	(6)
Autoregressive Models	253	(1)
Autoregressive Moving Average Models	254	(2)
Estimating ARMA Processes	256	(3)
Nonlinear Models	259	(14)
Several Examples of Nonlinear Models	259	(5)
Nonlinearity in the Conditional Second Moments	264	(2)
Estimating ARCH Models	266	(1)
Testing for ARCH	267	(3)
Bibliography	270	(3)
Kalman Filtering	273	(12)
Petr Franek
State--Space Models	273	(4)
Examples of State--Space Models	275	(1)
Modeling State--Space Models in XploRe	276	(1)
Kalman Filtering and Smoothing	277	(3)
Parameter Estimation in State--Space Models	280	(5)
Bibliography	283	(2)
Finance	285	(22)
Stefan Sperlich
Wolfgang Hardle
Outline of the Theory	286	(3)
Some History	286	(1)
The Black--Scholes Formula	287	(2)
Assets	289	(5)
Stock Simulation	290	(2)
Stock Estimation	292	(1)
Stock Estimation and Simulation	292	(2)
Options	294	(10)
Calculation of Option Prices and Implied Volatilities	294	(4)
Option Price Determining Factors	298	(3)
Greeks	301	(3)
Portfolios and Hedging	304	(3)
Calculation of Arbitrage	304	(1)
Bull-Call Spreads	305	(2)
Microeconometrics and Panel Data	307	(46)
Jorg Breitung
Axel Werwatz
Limited-Dependent and Qualitative Dependent Variables	308	(12)
Probit, Logit and Tobit	308	(2)
Single Index Models	310	(1)
Average Derivatives	311	(1)
Average Derivative Estimation	312	(2)
Weighted Average Derivative Estimation	314	(1)
Average Derivatives and Discrete Variables	315	(3)
Parametric versus Semiparametric Single Index Models	318	(2)
Multiple Index Models	320	(4)
Sliced Inverse Regression	321	(1)
Testing Parametric Multiple Index Models	322	(2)
Self-Selection Models	324	(6)
Parametric Model	325	(2)
Semiparametric Model	327	(3)
Panel Data Analysis	330	(13)
The Data Set	333	(2)
Time Effects	335	(1)
Model Specification	336	(2)
Estimation	338	(1)
An Example	339	(4)
Dynamic Panel Data Models	343	(4)
Unit Root Tests for Panel Data	347	(6)
Bibliography	349	(4)
Extreme Value Analysis	353	(22)
Rolf-Dieter Reiss
Michael Thomas
Extreme Value Models	354	(2)
Generalized Pareto Distributions	356	(2)
Assessing the Adequacy: Mean Excess Functions	358	(1)
Estimation in EV Models	359	(2)
Linear Combination of Rations of Spacings (LRS)	359	(1)
ML Estimator in the EV Model	360	(1)
ML Estimator in the Gumbel Model	360	(1)
Fitting GP Distributions to the Upper Tail	361	(1)
Parametric Estimators for GP Models	362	(6)
Moment Estimator	363	(1)
ML Estimator in the GP Model	364	(1)
Pickands Estimator	364	(1)
Drees--Pickands Estimator	365	(1)
Hill Estimator	366	(1)
ML Estimator for Exponential Distributions	366	(1)
Selecting a Threshold by Means of a Diagram	367	(1)
Graphical User Interface	368	(1)
Example	369	(6)
Bibliography	373	(2)
Wavelets	375	(34)
Yuri Golubev
Wolfgang Hardle
Zdenek Hlavka
Sigbert Klinke
Michael H. Neumann
Stefan Sperlich
Quantlib twave	377	(4)
Change Basis	378	(1)
Change Function	379	(1)
Change View	380	(1)
Discrete Wavelet Transform	381	(2)
Function Approximation	383	(2)
Data Compression	385	(3)
Two Sines	388	(1)
Frequency Shift	389	(3)
Thresholding	392	(10)
Hard Thresholding	393	(2)
Soft Thresholding	395	(2)
Adaptive Thresholding	397	(5)
Translation Invariance	402	(2)
Image Denoising	404	(5)
Bibliography	407	(2)
Part III: Programming	409	(94)
Reading and Writing Data	411	(18)
Sigbert Klinke
Jurgen Symanzik
Marlene Muller
Reading and Writing Data Files	411	(3)
Input Format Strings	414	(3)
Output Format Strings	417	(2)
Customizing the Output Window	419	(10)
Headline Style	421	(1)
Layer Style	422	(2)
Line Number Style	424	(1)
Value Formats and Lengths	425	(1)
Saving Output to a File	426	(3)
Matrix Handling	429	(36)
Yasemin Boztug
Marlene Muller
Basic Operations	429	(11)
Creating Matrices and Arrays	430	(5)
Operators for Numeric Matrices	435	(5)
Comparison Operators	440	(2)
Matrix Manipulation	442	(6)
Extraction of Elements	442	(3)
Matrix Transformation	445	(3)
Sums and Products	448	(2)
Distance function	450	(1)
Decompositions	451	(6)
Spectral Decomposition	451	(3)
Singular Value Decomposition	454	(1)
LU Decomposition	455	(1)
Cholesky Decomposition	456	(1)
Lists	457	(8)
Creating Lists	457	(2)
Handling Lists	459	(3)
Getting Information on Lists	462	(3)
Quantlets and Quantlibs	465	(38)
Wolfgang Hardle
Zdenek Hlavka
Sigbert Klinke
Quantlets	465	(11)
Flow Control	476	(12)
Local and Global Variables	476	(2)
Conditioning	478	(2)
Branching	480	(1)
While-Loop	481	(1)
Do-Loop	482	(1)
Optional Input and Output in Procedures	483	(3)
Errors and Warnings	486	(2)
User Interaction	488	(7)
APSS	495	(4)
Quantlibs	499	(4)
Appendix	503	(13)
A Customizing XploRe	505	(4)
A.1 XploRe.ini	505	(1)
A.1.1 The ini File	505	(2)
A.1.2 Composing Paths	507	(1)
A.2 startup.xpl	508	(1)
B Data Sets	509	(7)
B.1 Netincome--Food Expenditures	509	(1)
B.2 U.S. Companies	509	(1)
B.3 CPS 1985	510	(1)
B.4 Boston Housing	510	(1)
B.5 Lizard Data	511	(1)
B.6 Kyphosis Data	512	(1)
B.7 Swiss Bank Notes	513	(1)
B.8 Earnings Data	513	(1)
B.9 Westwood Data	514	(1)
B.10 Pullover Data	514	(1)
B.11 Geyser Data	514	(1)
Bibliography	515	(1)
Index	516