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Mathematics and Statistics for Financial Risk Management by Michael B. Miller

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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

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