Statistics 712

Announcements

• Grades:
  The average overall score for the class (HW + Final + Class) was 80, with a standard deviation of about 8. The final and homework each received a 40% weight, with class participation making up the other 20%, as promised in the syllabus.

• Final:
  The average score on the final exam was 71 with an SD of 11. The scores were roughly normally distributed, so can use these summary statistics to see where you stand. You can pick up your graded final from the filing cabinets outside of my office. A solution set is also available for the curious.

• Homework:
  The average homework grade was 66 out of a max of 80, with a standard deviation of around 10. The range is 42 to 79. When computing the final class grade, I dropped the lowest and averaged the rest.

Most of the class hand-outs are available from this page as PDF files. You'll need to have the Adobe Acrobat viewer to read these documents; it's available all over the web.

Syllabus

A previous version of this was distributed in the first class. It gives the class schedule, grading requirements, and ways to contact me. Its been revised to fit what we have done so far (1/28).

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Class lecture material

This material is a combination of pdf files of the class lecture notes, JMP data files, and occasional handouts.

1. Introduction
2. Confidence intervals and tests, review
   • Raw NYSE market data, 1990-1997
   • JMP version of NYSE market data, 1990-1997
3. Combining information sources
   • JMP store sample data
4. Combining multiple sources
   • Samples from intervals
5. Handling dependence
   • Samples for 3 intervals
6. Handling bias
   • Biased sources
7. Multiplicity issues
   • Excel pooling spreadsheet
   • Bias as a ratio factor
   • Repair data
8. More on multiplicity
   • Illinois breast cancer data
9. Multiplicity in regression
   • 1990 stock market data (nineties.jmp)
10. Lecture 10 was done together with lecture 9.
11. Extrapolation with regression
    • Store sales data (display.jmp)
12. Lecture 12 covers material from the prior notes.
13. Extrapolation with time series
    • Computer sales
    • Cellular telephone subscribers series
14. Calibrated forecasts
    • Exponential smoothing cellular telephone subscribers
    • Exponential smoothing in Excel
    • GDP and calibration
15. Utility
16. Certainty equivalent value
    • CEV Excel spreadsheet
17. Another approach to CEV
    • Utilities JMP file
    • Simulation of utilities JMP file
18. Risk in financial markets
    • Stock market JMP file
19. Leverage and allocation methods
    • Revised stock market JMP file
20. More complex examples with principal components
21. Introduction to hedging
    • Corn data file
22. Regression and hedging
23. Subjective confidence intervals
    • Speed of light intervals
24. Pooling subjective intervals
    • Cauchy simulation examples (JMP)
25. Introduction to game theory; finish subjective intervals
    • Density plots (JMP)
26. More game theory
27. Auctions
    • Jar auction results (JMP)

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Data sets from the casebook

You can get the data for the casebook examples either as a single zip file or as individual JMP files from this link.

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Assignments and Exams

Each assignment is accompanied by one or more data files, in JMP format. Solutions are added after the due date.

• Assignment 1
  Solutions
• Assignment 2
  Solutions text and associated JMP data file
  
• Assignment 3 and needed car sales JMP data file
  Solutions
• Assignment 4 and a new verion of the nineties JMP data file . Further information about the economic variables used to define the columns in this data are in this text file.
  Solutions
• Assignment 5 and New version of the cellular JMP data file
  Solutions and associated simulation JMP data file
• Assignment 6
  Solutions for this assignment are included in the notes for Lecture 20.
• Assignment 7 and the needed JMP data file
  Solutions
• Assignment 8
  Solutions
• Final Exam and the associated JMP data file
  Solution set

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