Quote:
Originally Posted by DeltaLover
As I answered to Al, I think it depends and the correct answer is more of a trial and error process than a clear analytical prove.
Yes ChiSqured is a more accurate test than the one I described and I am extensively using it in other models... It happened that the one I described here is using this method...
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Fair enough. I'm sure you are using it in the proper context.
Takes me back to the first time I tried something like that. Just seemed so simple. How do I know if a factor is different enough? Just look at a huge number of factors and calculate the ROI's standard deviation, so > 2 dev's is 95% sure its different!
Then someone pointed out that measurements of > 2 deviations were
expected in any random process, it was really whether they happened
more often than chance would predict (more than 95% of the time). But that just describes whether your sample distribution resembles a normal distribution, not to give you a means of filtering out particular samples, especially without a time dimension of some kind.
Seductive in its simplicity, though...