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Abraham Wald

Overview page. Subjects: Probability and Statistics — Economics.

(1902–50; b. Cluj, Romania; d. Travancore, India)

Hungarian geometer and statistician. Wald gained his PhD in geometry in 1931 from U Vienna. In 1938, on the Nazi seizure of...

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BLUE

Overview page. Subjects: Economics — Probability and Statistics.

(best linear unbiased estimator)

An estimator that is unbiased, is formed from a linear combination of the observations, and has the smallest variance of all such estimators.

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Box–Cox transformation

Overview page. Subjects: Probability and Statistics — Economics.

A transformation to normality suggested by Box and Sir David Cox in 1964. They proposed a family of transformations that might be used to convert a general set of *n* observations into a set...

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Box–Jenkins approach

Overview page. Subjects: Probability and Statistics — Economics.

A method of identification, estimation, and diagnostic checking of autoregressive integrated moving average (ARIMA) models. First, sample autocorrelation coefficients and partial...

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continuous random variable

Overview page. Subjects: Probability and Statistics — Economics.

A random variable is said to be continuous or have a continuous distribution if it can assume any value from a continuous range. The range can be infinite. The cumulative distribution...

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Dickey–Fuller test

Overview page. Subjects: Probability and Statistics — Economics.

A test of the null hypothesis that a stochastic process is a random walk (possibly with drift and/or deterministic trend) against the alternative that it is stationary, under the assumption...

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discrete random variable

Overview page. Subjects: Economics — Probability and Statistics.

A random variable is said to be discrete or have a discrete distribution if the set of its possible values is discrete, finite, or countably infinite. The cumulative distribution function...

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Durbin–Watson test

Overview page. Subjects: Economics — Probability and Statistics.

A test of the null hypothesis of no serial correlation against the alternative of first-order serial correlation in the error term in a linear regression. The test statistic is based on the...

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exponential smoothing

Overview page. Subjects: Probability and Statistics — Economics.

An econometric technique in which greater weight is accorded to more recent data in order to identify emerging trends.

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gamma distribution

Overview page. Subjects: Economics — Probability and Statistics.

A frequency distribution often used to characterize the distribution of financial returns. It differs from a normal distribution in its skewness (lack of symmetry). Compare leptokurtic...