Bootstrap sampling question (incorporating with higher moments?)
1 次查看(过去 30 天)
显示 更早的评论
I currently have an issue. I developed an asset allocation model based on some historical data, results were above average and now I want to confirm those results by doing a bootstrap sampling.
However, the asset allocation model im working with is based on mean, variance, skewness, and kurtosis.
If i do the bootstrap method provided in matlab,
the
[bootstat,bootsam] = bootstrp(10000 ....
I do gain 10000 timeseries of returns, but the 3rd and 4th moment are all over the place. For example my kurtosis varies between -1.5 and -0.5. Which is not even close to the kurtosis of the historical data.
Can someone help me?
1 个评论
Tom Lane
2012-7-9
Could you clarify what you are doing? If I generate x either from rand or from trnd(3,...) I get very different kurtosis values from them. But if I use bootstrp(10000,@kurtosis,x), in each case I get a mean value that is very similar to the sample kurtosis of x.
回答(0 个)
另请参阅
类别
在 Help Center 和 File Exchange 中查找有关 Financial Data Analytics 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!