The analysis of transformations for profit‐and‐loss data

Anthony C. Atkinson, Marco Riani and Aldo Corbellini

Journal of the Royal Statistical Society Series C, 2020, vol. 69, issue 2, 251-275

Abstract: We analyse data on the performance of investment funds, 99 out of 309 of which report a loss, and on the profitability of 1405 firms, 407 of which report losses. The problem in both cases is to use regression to predict performance from sets of explanatory variables. In one case, it is clear from scatter plots of the data that the negative responses have a lower variance than the positive responses and a different relationship with the explanatory variables. Because the data include negative responses, the Box–Cox transformation cannot be used. We develop a robust version of an extension to the Yeo–Johnson transformation which allows different transformations for positive and negative responses. Tests and graphical methods from our robust analysis enable the detection of outliers, the assessment of values of the two transformation parameters and the building of simple regression models. Performance comparisons are made with non‐parametric transformations.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/rssc.12389

Related works:
Working Paper: The analysis of transformations for profit-and-loss data (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:69:y:2020:i:2:p:251-275

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9876

Access Statistics for this article

Journal of the Royal Statistical Society Series C is currently edited by R. Chandler and P. W. F. Smith

More articles in Journal of the Royal Statistical Society Series C from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().