May 17, 2016
R | Statistics | ST433 COMPUTATIONAL METHODS IN FINANCE AND INSURANCE

Your project must be submitted to the Departmental Office COL
6.11 by
16 May 2016, 10:30am.
All consequences regarding late submission can be found on the School’s website
http://www.lse.ac.uk/resources/calendar/academicRegulations/
regulationsForTaughtMastersDegrees.htm
In particular “five marks out of 100 will be deducted for coursework submitted within 24 hours of the deadline and a further five marks will be deducted for each subsequent 24-hour period (working days only) until the coursework is submitted. After five working days, coursework will only be accepted with the permission of the Chair of the Sub-Board of Examiners”.
• Please submit two spiral bound copies of your project report. In addition, please upload your report as a PDF-file and all other files containing your computer codes, figures, etc. via Moodle. If your candidate number is 123456 then name your PDF file CN123456report.pdf. You can check your candidate number on ‘LSE for You’. Name the other electronic files similarly and make sure that none of the electronic files contains your name.

May 16, 2016
R | 线性回归

分位数回归是对以古典条件均值模型为基础的最小二乘法的延伸,它用几个分位函数来估计整体模型。分位数回归更能精确地描述自变量X对于因变量Y的变化范围以及条件分布形状的影响。分位数回归能够捕捉分布的尾部特征,当自变量对不同部分的因变量的分布产生不同的影响时。【10】
分位数回归模型的建立:对一个连续随机变量y,如果y小于等于的概率是,则我们说y的分位值是,或者说就称作y的第分位数。类似地,如果我们将被解释变量y表示为一系列解释变量X的线性表达式(又称为拟和值),并使得该表达式满足小于等于的概率是,就称为分位数回归。
对于分位数回归模型,则可采取线性规划法(LP)估计其最小加权绝对偏差,从而得到解释变量的回归系数,可表示如下:

May 9, 2016
ST433 COMPUTATIONAL METHODS IN FINANCE AND INSURANCE

1. Project guidelines
Your project must be submitted to the Departmental O ce COL
6.11 by
16 May 2016, 10:30am.
All consequences regarding late submission can be found on the School’s website
http://www.lse.ac.uk/resources/calendar/academicRegulations/
regulationsForTaughtMastersDegrees.htm
In particular “five marks out of 100 will be deducted for coursework submitted within 24 hours of the deadline and a further five marks will be deducted for each subsequent 24-hour period (working days only) until the coursework is submitted. After five working days, coursework will only be accepted with the permission of the Chair of the Sub-Board of Examiners”.