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Tuneman March 16th, 2009 08:32 AM

Chi Squared Question
I am trying model some price data. I have decided that I think that the model should be a mean reversion one, with 1 deterministic term and a random term.

I run a simulation that gives me a normally distributed number, I stick that into my model, and it gives me 3000 randomly generated prices. I want to compare that to my actual data and see if I am using the right model..

I think the Chi-Squared test is most appropriate for this... Am I right?

CRGreathouse March 17th, 2009 06:14 AM

Re: Chi Squared Question

Tuneman March 17th, 2009 03:05 PM

Re: Chi Squared Question
One problem I am having however, is that I hear the Chi squared distribution is only good when your data values are generally greater than 5. Since mine are returns, they are rarely greater than 1... Any suggesitons?

CRGreathouse March 18th, 2009 10:14 AM

Re: Chi Squared Question
Maybe you should have mentioned that above! :D

Can you give some examples?

Tuneman March 18th, 2009 10:37 AM

Re: Chi Squared Question
Well my data points are differences in the percent change of two price returns... so most of them are from -.4 to 4.

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