APPENDIX E

Common Abbreviations

Does your DGP produce a PDF that leads to an MSE of e? What follows are some common abbreviations from statistics and risk management:

avg.: | average |

BLUE: | best linear unbiased estimator |

CDF: | cumulative density function or cumulative distribution function |

ESS: | explained sum of squares |

EWMA: | exponentially weighted moving average |

DGP: | data generating process |

i.i.d.: | independent and identically distributed |

MSE: | mean squared error |

OLS: | ordinary least squares |

PDF: | probability density function or probability distribution function |

RNG: | random number generator |

RSS: | residual sum of squares |

std. dev. or s.d.: | standard deviation |

TSS: | total sum of squares |

Var: | variance |

VaR: | value at risk |