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Publications / Presentations

 

DataMineIt professionals have published award-winning papers on statistical computation and optimization techniques that have wide ranging applicability; they provide actionable, testable solutions to concrete and often urgent business problems in Corporate Banking/OpRisk, Venture Capital, Mortgage Banking/Credit Risk, Financial Services, Retail Pricing and Marketing, Telecommunications, Pharmaceuticals, and just about any data rich field.


 

Opdyke, J.D., (2012), "OpRisk Capital Estimation and Planning: Exact Sensitivity Analysis and Business Decision Making Using the Influence Function," with Alex Cavallo, forthcoming in Operational Risk: New Frontiers Explored, Davis E., ed., Risk Books, London.

 

 

Opdyke, J.D., (2012), Estimating Operational Risk Capital: the Challenges of Truncation, the Hazards of MLE, and the Promise of Robust Statistics, with Alex Cavallo, forthcoming.  (preprint download, SSRN download, Scrib download).

 

 

Opdyke, J.D., (2011), Robust Statistics vs. MLE for OpRisk Severity Distribution Parameter Estimation (With and Without Truncation), ORX Analytics Forum, San Francisco, California, September 27-29, 2011, current downloads: ABSTRACT, .pps, .pdf, scrib.


 

Opdyke, J.D., (2011), Robust Statistics vs. MLE for OpRisk Severity Distribution Parameter Estimation, American Bankers Association: ABA Operational Risk Modeling Forum, Charlotte, North Carolina, August 10-11, 2011, current downloads .pps, .pdf, scrib.


 

Opdyke, J.D., (2011), Bootstraps, Permutation Tests, and Sampling With and Without Replacement Orders of Magnitude Faster Using SAS®, American Statistical Association Proceedings - JSM2011, Section on Statistical Computing, download .pps, .pdf, scrib.


 

Opdyke, J.D., January (2011), Permutation Tests (and Sampling Without Replacement) Orders of Magnitude Faster Using SAS®, InterStat. (preprint download, SSRN download, Scribe download, Text file containing  code MFPTUS.sas)

 

        [download even faster, proprietary versions of these Bootstrap, Permutation Test, and Sampling
         With and Without Replacement algorithms, saved as compiled SAS® macros, at
          http://www.DataMineIt.com/DMI_software.htm]


 

Opdyke, J.D., September (2010), Much Faster Bootstraps Using SAS®,  InterStat.
(preprint download, Scribe download, SSRN download, Text file containing SAS® code MFBUS.sas)


 

Opdyke, J.D., March (2010), A Unified Approach to Algorithms Generating Unrestricted and Restricted Integer Compositions and Integer Partitions, Journal of Mathematical Modelling and Algorithms, Vol. 9, No. 1, 53-97. (preprint-direct download, SSRN.com download, including SAS® code, Scribe download with SAS® code, Mathematica® code implementing counting formulae: zipped Mathematica® notebook .nb, .html)

 

    ALREADY USED/CITED IN:

Opdyke, J.D., September (2009), A Powerful and Robust Nonparametric Statistic for Joint Mean-Variance Quality Control, InterStat.  (preprint download, Scribe download, SSRN download)


 

Opdyke, J.D., December (2007), Comparing Sharpe Ratios:  So where are the p-values?, Journal of Asset Management, Vol. 8, No. 5. 
(preprint, SSRN.com download, Hedge Funds Consistency Index download).
    - SAS Program (email for 1-time password) - p-values from Sharpe Ratio comparisons and Mutual Fund Rankings (.pdf results)

    - Excel Workbook (.xls- 1.4MB) (email for 1-time password) p-values from Sharpe Ratio comparisons and Mutual Fund Rankings

    - JSM2006 PowerPoint Presentation

 

    SELECTED REVIEW QUOTES:

  • “This is a comprehensive, authoritative, scholarly study of the topic." –  tenured economics Professor with over 100 peer-reviewed articles in top journals.

  • "Amazing scholarship ... magnum opus. ...excellent paper." –  tenured statistics Professor with numerous seminal papers and several statistical textbooks that are bibles in the field.
     

  • "I congratulate you ... on a paper that needed to be written." –  Senior Analyst at one of the top investment rating firms with over 20 years of experience.
     

Opdyke, J.D., August (2006), Easily Implemented Confidence Intervals and Hypothesis Tests for Sharpe Ratios Under General Conditions, American Statistical Association Proceedings - JSM2006, Business and Economics Statistics Section.


 

Opdyke, J.D., (2005), A Single, Powerful, Nonparametric Statistic for Continuous-data Telecommunications ‘Parity Testing,’ Journal of Modern Applied Statistical Methods, Vol. 4, No. 2.


 

Opdyke, J.D., (2005), A Nonparametric Statistic for Joint Mean-Variance Quality Control, American Statistical Association Proceedings - JSM2005, Section on Quality and Productivity, copyrighted presentation.


 

Opdyke, J.D., October (2004), Misuse of the ‘modified’ t statistic in Regulatory Telecommunications, Telecommunications Policy, Vol. 28, No. 11, 821-866. (REVIEW: http://askdavid.com/reviews/books/telecommunications/150)


 

Opdyke, J.D., August (2003), Misuse of the ‘modified’ t-statistic in Regulatory Telecommunications, American Statistical Association Proceedings - JSM2003, Business and Economics Statistics Section.


 

Opdyke, J.D., May (2003), Fast Permutation Tests that Maximize Power Under Conventional Monte Carlo Sampling for Pairwise and Multiple Comparisons, Journal of Modern Applied Statistical Methods, Vol. 2, No. 1.


 

Opdyke, J.D., August (2002), Fast Two-Sample Permutation Tests, Especially for Multiple Comparisons and Even When One Sample is Large, That Efficiently Maximize Power Under Conventional Monte Carlo Sampling and Allow for Simultaneous Permutation-Style P-value Adjustments, MCP 2002 – The 3rd International Conference on Multiple Comparisons, Bethesda, Maryland. (.pps)


 

Opdyke, J.D., May (2002), Fast Two-Sample Permutation Tests, Even When One Sample is Large, That Efficiently Maximize Power Under Crude Monte Carlo Sampling, PharmaSUG 2002 -- National Conference of the Pharmaceutical SAS Users Group.
Winner – Voted Best Paper, Statistics and Pharmacokinetics – Reporting and Analysis Section

 

Opdyke, J.D., April (2000), authored a 100-page proposal to perform a comprehensive, multi-state telecommunications Operations Support Services (OSS) performance measurement audit of a Regional Bell Operating Company, and presented the executive summary before 35 selected members of i) the Public Service Commissions of twelve states, ii) a regulatory research institute with oversight authority, and iii) a telecommunications consulting firm with administrative oversight authority


 

Opdyke, J.D., authored and presented before 20 representatives of four Regional Bell Operating Companies the statistical foundations, application, and regulatory remedy (fine) implications of utilizing permutation tests in telecommunications OSS performance measurement “parity testing.”


 

Opdyke, J.D., with Raymond S. Hartman and Deloris W. Wright, July (1996), The Use of Regression Techniques in Transfer Pricing Analysis, International Bureau of Fiscal Documentation – Tax Treatment of Transfer Pricing, Supplement No. 18.