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JLMSim: Estimates Output Description


One of the output files produced by the run with input to be found in

JLMSimInput for Case M23a NrS16NrIT8_1000_50_200NL -1.txt

is the Estimates File

 Estimates During Case M23a NrS16NrIT8_1000_50_200NL -1.csv
The Estimates File shows the estimated means and standard deviations of each statistician for each security as of the end of each month. Following are the first few rows and columns from this file.

Estimates During Case M23a NrS16NrIT8_1000_50_200NL -1.csv

Month S0:Mean[0] S0:Mean[1] S0:Mean[2] S0:Mean[3] S0:Mean[4] S0:Mean[5]
1 0.057 0.110 0.053 0.105 0.056 0.103
2 0.052 0.095 0.049 0.090 0.048 0.086
3 0.052 0.096 0.048 0.092 0.060 0.083
4 0.049 0.091 0.050 0.088 0.056 0.092
5 0.051 0.107 0.043 0.103 0.055 0.095

When examining this file, it is a good idea to freeze the pane with the cursor at the intersection of "Month 1" and "S0:Mean[0]." The extracts, above and below, reflect some adjustments to cell and column formats.

"S0" refers to Statistician 0. "Mean[0]" refers to Security 0. Thus the above extract shows the estimated means for the first five securities by Statistician 0 as of the ends of the first five months. Successive columns show estimates of all means, then all standard deviations, for each Statistician in turn. The first extract below shows estimates by Statistician 0 of the standard deviations of the first six securities as of the end of the first five months. The following two extracts show estimates of means and standard deviations, respectively, for Statistician 1.

 
S0:Std[0] S0:Std[1] S0:Std[2] S0:Std[3] S0:Std[4] S0:Std[5]
0.146 0.177 0.162 0.154 0.161 0.071
0.237 0.295 0.241 0.190 0.249 0.076
0.328 0.426 0.329 0.296 0.260 0.146
0.434 0.549 0.380 0.388 0.377 0.201
0.539 0.595 0.477 0.459 0.459 0.268


 
S1:Mean[0] S1:Mean[1] S1:Mean[2] S1:Mean[3] S1:Mean[4] S1:Mean[5]
0.086 0.088 0.080 0.084 0.084 0.082
0.078 0.076 0.073 0.072 0.073 0.069
0.078 0.076 0.071 0.074 0.089 0.067
0.073 0.072 0.075 0.070 0.085 0.074
0.076 0.085 0.064 0.083 0.082 0.076

 

S1:Std[0] S1:Std[1] S1:Std[2] S1:Std[3] S1:Std[4] S1:Std[5]
0.070 0.081 0.043 0.100 0.059 0.104
0.083 0.103 0.056 0.120 0.092 0.132
0.082 0.103 0.057 0.121 0.125 0.132
0.086 0.105 0.062 0.122 0.128 0.142
0.088 0.127 0.095 0.142 0.128 0.143



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Last updated: June 30, 2005