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 |
