- Kurtosis is really a measure of the outliers (tails) of the distribution. Kurtosis is really a measure of the outliers (tails) of the distribution. ... Low kurtosis, rather than being a measure of “flatness,” indicates a distribution that is less outlier-prone than is the normal distribution
- Standard deviation / variance to the mean
- 1 standard deviation is 68%
- 2 standard deviation is 95.5%
- 3 standard deviation is 97%
- Covariance measures the degree to which the two variables move together, eg. age and income
- Sum((X-mean X) (Y-mean Y)) / (n-1)
- R, the correlation coefficient measures the strength of the linear relationship between two variables
- Sum((X-mean X) (Y-mean Y)) / Square of ((Sum(X-mean X)^2 * Sum(Y-mean Y)^2)
- R close to zero, no correlation
- Regression analysis is a set of processes to estimate the relationships amongst variables
- Random error in linear regression after intercept and slope
- = Actual - estimated using the linear regression
- Types of regression
- linear regression, most common in business analysis
- logistic regression, most common in business analysis
- polynominal regression
- stepwise regression
- ridge regression
- lasso regression
- elastic net regression
- ANOVA, analysis of variance
- SST, total sum of squares, Sum (actual y - mean of y)^2
- SSE, total of sum of error, Sum (actual y - estimated y)^2
- SSR, total of sum of regression, Sum (estimated y - mean of y)^2
- SST = SSR + SSE
- Standard error of estimate SEE = square (MSE) = square (SSE / N-2)
- R squared = explained variation / total variation
- F test measures how well the dependent variable is explained by the independent variables collectively
- MSR, MSE, N (number of observations), K (number of independent variables)
- Decisioning rules
- reject null hypothesis if F statistics > critical value
- Weight of evidence
- Log (distribution of good/distribution of bad)
- Information value
- Sum ((DG-DB)*WOE)
- VIF, multiple variable
Sunday, June 16, 2019
|| Refreshing the statistical tools for business analytics
51. Refreshing the statistical tools for business analytics
Labels:
365 Stories,
Risk Management,
Skills and Development
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