Portfolio and Investment Analysis with SAS

Chapter 6: Data Mining Corrections

6.1 Introduction to Data Mining

6.2 Single Performance Measurement and Testing

6.3 Multiple Hypothesis Testing and False Discovery Rate

6.4 Multiple Mean Comparison Test with ANOVA

6.5 Regression to the Mean

6.6 Empirical Bayes Estimation and Hypothesis Testing

6.7 Summary and Conclusions

 

6.1 Introduction to Data Mining

Scientific research is usually a multi-stage process involving:

1.       collecting data

2.       analyzing collected data

3.       finding truth or patterns

Traditional statisticians perform scientific research differently. They will propose the truth first (prior-hypothesis), then collect data and analyze it. Statisticians either reject the prior-hypothesis or shift the hypothesis through ...