Statistics
Explore statistical methods, their assumptions, interpretation and limitations.
Research field
Method family
Abusive Supervision Scale
The Abusive Supervision Scale measures subordinates' perceptions of the extent to which their supervisors engage in sustained displays of hostile verbal and nonverbal behaviors, excluding physical contact. Bennett Tepper introduced both the...
Almost Ideal Demand System
The Almost Ideal Demand System (AIDS), introduced by Angus Deaton and John Muellbauer in 1980, is the workhorse flexible demand system in applied microeconomics. It models each good's budget share as a linear function of the logarithms of a...
Altman Z-Score
The Altman Z-Score is a linear discriminant model developed by Edward I. Altman in 1968 to predict corporate bankruptcy using five accounting-based financial ratios. Derived through multiple discriminant analysis on a matched sample of 66 U...
Attraction Market-Share Model
The attraction market-share model expresses each brand's market share as its own 'attraction' divided by the total attraction of all brands competing in the market, guaranteeing shares that are non-negative and sum to one by construction. I...
Authentic Leadership Questionnaire
The Authentic Leadership Questionnaire (ALQ) is the dominant instrument for measuring authentic leadership, a positive leadership construct developed in the mid-2000s by Bruce Avolio, William Gardner, Fred Luthans, and colleagues. Authentic...
BG/NBD Model
The BG/NBD (Beta-Geometric/Negative Binomial Distribution) model is a probabilistic buy-till-you-die model that predicts how many times a customer will transact in the future and whether that customer is still active, using only their past...
Bates Model
The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson ju...
Beneish M-Score
The Beneish M-Score is a statistical model developed by Messod Beneish in 1999 to identify whether a company has manipulated its reported earnings. The model combines eight financial-statement ratios into a single composite score using coef...
Binomial Option Pricing
The binomial option pricing model, introduced by John Cox, Stephen Ross, and Mark Rubinstein in 1979, prices options by modelling the underlying as a discrete tree in which the price moves up or down by fixed factors at each step. Working b...
Black-Litterman Model
The Black-Litterman model, introduced by Fischer Black and Robert Litterman in 1992, is a Bayesian portfolio allocation framework that blends market-equilibrium returns with an investor's own views to produce more stable, intuitive portfoli...
Black-Scholes Model
The Black-Scholes-Merton model, published by Fischer Black and Myron Scholes in 1973 with the theoretical framework extended by Robert Merton, gives a closed-form no-arbitrage price for European options. By assuming the underlying asset fol...
Brand-Switching Markov Model
The brand-switching Markov model treats a consumer's sequence of brand purchases as a Markov chain, in which the probability of buying a given brand next depends only on the brand bought last. Its central object is the brand-to-brand transi...
CAPM
The Capital Asset Pricing Model (CAPM), developed by William Sharpe and John Lintner in the mid-1960s, links the expected return of an asset to its systematic risk, measured by beta. It states that in equilibrium investors are rewarded only...
Change of Numeraire
Change of numeraire is a mathematical technique for simplifying option pricing by changing the choice of discount factor (numeraire). By selecting a numeraire aligned with the payoff structure, complex problems become simple. The technique...
Choice-Based Conjoint
Choice-based conjoint analysis (CBC) measures how consumers value the features of a product by observing the choices they make among competing, attribute-defined profiles rather than by asking them to rate attributes directly. Each responde...
Conditional Value-at-Risk
Conditional Value-at-Risk (CVaR), also called Expected Shortfall, is a coherent tail-risk measure that quantifies the conditional expectation of losses beyond the Value-at-Risk threshold. It was introduced for optimization by Rockafellar an...
Consideration-Set Model
Consideration-set models formalize the empirical fact that consumers do not evaluate every available brand but choose from a small subset they actively consider. Choice is decomposed into two stages: first a brand is screened into the consi...
Copula CDO Model
The copula CDO model (Li 2000) uses Gaussian copulas to price collateralized debt obligations (CDOs) by modeling joint default probabilities across a portfolio of bonds. The model became the industry standard for CDO pricing but was heavily...
Copula Models
Copula models are a family of functions that describe the dependence structure between variables separately from their individual (marginal) distributions. The foundation is Sklar's theorem (1959), which shows that any multivariate distribu...
Credit Risk Models
Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its asset...
Credit Scoring
Credit scoring is a statistical technique that estimates the probability that a borrower will default on a financial obligation. Using Weight of Evidence (WoE) binning, Information Value (IV) variable selection, and logistic regression, it...
Credit Valuation Adjustment
Credit Valuation Adjustment (CVA) is the market price of counterparty credit risk embedded in over-the-counter (OTC) derivatives. CVA measures the loss from counterparty default, accounting for both the probability of default and the exposu...
DCC-GARCH
DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated i...
DINESERV Restaurant Service Quality Scale
DINESERV is a 29-item instrument developed by Stevens, Knutson, and Patton in 1995 to measure perceived service quality in restaurants. It adapts the five generic SERVQUAL dimensions of Parasuraman, Zeithaml, and Berry — tangibles, reliabil...