Ngā Tatauranga i roto i te Tātaritanga Mōrearea
I tēnei ao kī tonu i te koretake—mai i ngā piki me ngā heke o te mākete me te huringa āhuarangi ki ngā mōrearea hauora me ngā raruraru o te mekameka tuku—me whai huarahi pūnaha tātou ki te mārama me te whakahaere i te mōrearea. Koinei te wāhi e whai wāhi nui ai ngā tatauranga. Ehara i te mea he kohinga tātai noa iho ngā tatauranga, engari he huinga tikanga hei huri i ngā raraunga hei mōhiohio ka taea te whakamahi hei whakatau tata i te tūponotanga o tētahi huihuinga, hei ine i tōna pānga, me te hoahoa rautaki whakaiti i te mōrearea. Ka matapakihia e tēnei tuhinga te whakamahinga o ngā tatauranga i roto i te tātari mōrearea, ōna ariā matua, me ngā tauira o tōna whakamahinga i roto i ngā momo mara.
Te Mārama ki te Mōrearea: Ngā Huarahi me ngā Pānga
I te nuinga o te wā, ka taea te mārama ki te mōrearea hei huinga o te tūponotanga o tētahi huihuinga me tōna pānga. Hei tauira, ko te mōrearea o te waipuke i tētahi rohe ka pāngia e te auau o te waipuke (tūponotanga) me te whānuitanga o te kino (pānga). Mā ngā tatauranga tātou e āwhina ki te ine mā roto i ngā raraunga hītori, te whakatauira, me te whakatau whakatau.
Heoi, kāore e taea te ine ngāwari i ngā mōrearea katoa. I roto i te nuinga o ngā wā, ka iti pea ngā raraunga, ka kore e oti, ka pāngia rānei. Nō reira, he maha ngā wā ka whakakotahihia e te tātari mōrearea hou ngā tatauranga tawhito me ngā huarahi tūponotanga, te whakatauira, me te ako mīhini hei whakaputa i ngā whakatau tata pono ake.
Te Tūranga o ngā Raraunga me tōna Kounga i roto i te Tātaritanga Mōrearea
Ko te taahiraa tino taketake o te tātari mōrearea ko te kohikohi i ngā raraunga e tika ana. Ka uru atu pea ki roto i ēnei raraunga ngā tuhinga o ngā huihuinga o mua (hei tauira, ngā raraunga aituā i te wāhi mahi), ngā inenga ā-wā (hei tauira, te ua o ia rā), ngā raraunga rangahau rānei (hei tauira, te tutuki a ngā kaiwhakamahi i ngā tikanga haumaru). Ko te kounga o ngā raraunga te mea e whakatau ana i te kounga o te tātari. Mā ngā tatauranga ka taea te whakamahi i ngā taputapu mō:
1. Te horoi raraunga: te kimi i ngā mea o waho, ngā uara ngaro, me ngā taupatupatu.
2. Whakaahuatanga raraunga (tatauranga whakaahua): e whakarāpopoto ana i ngā raraunga me ngā inenga o te ia matua me te tohatoha.
3. Aromatawai whakaaro pōhēhē: hei tauira, te whakaaro pōhēhē i roto i ngā raraunga rangahau, te iti rānei o te pūrongo i roto i ngā raraunga aituā.
Ki te kore he raraunga pai, ka taea e ngā tauira mōrearea te whakapohehe. Nō reira, he wāhanga nui o te tātari te mārama ki ngā pūtake raraunga, ngā whakamāramatanga taurangi, me ngā tikanga tuhi.
Ngā Ine o te Pokapū me te Marara: Te Ine i te Korekore
I roto i te tātaritanga mōrearea, kāore e maha ana te hiahia ki te "uara toharite" anake. Ko te mea nui ake ko te mārama ki te rerekētanga. Hei tauira, ka taea e ngā putea haumi e rua te whai i te hokinga toharite ōrite engari he rerekē ngā taumata o te piki me te heke; ko te putea he nui ake te piki me te heke ka kiia he mōrearea ake.
Ko ētahi ariā tatauranga e whakamahia whānuitia ana:
– Toharite (toharite): te whakatau tata mō te uara e tumanakohia ana o tētahi taurangi.
– Tau waenga: he mea whai hua ina he tino hē te raraunga, hei tauira te tohatoha o ngā mate nā ngā āhuatanga āwhati.
– Te rerekētanga me te paerewa rerekētanga: te ine i te horapa o ngā raraunga, e whakamahia ana hei tohu piki me te heke.
– Ngā Hauwhā me te IQR: ka āwhina i te mārama ki te tohatoha me te kore e tino pāngia e ngā mea o waho.
I roto i te mahi whakahaere mōrearea, he maha ngā wā ka whakamahia ngā mehua pēnei i te paerewa rerekētanga hei whakaahua i te "hurihuri", ko ngā tau waenga, ko ngā inenga rānei hei whakaahua i ngā horopaki matawhānui ake.
Ngā Tohatoha Tūponotanga: Te Pūtake o te Whakatauira Mōrearea
Mā ngā tatauranga ka whakauruhia te ariā o ngā tohatoha tūponotanga, arā, ngā huarahi hei whakaahua i te tūponotanga o ngā uara ka puta. He mea nui te whiriwhiri i te tohatoha tika nā te mea ka pā ki te whakatau tata mōrearea.
Ko ētahi tohatoha e puta pinepine ana i roto i te horopaki o te mōrearea:
– Te tohatoha noa: e whakamahia ana mō ngā āhuatanga e puta mai ana i ngā āhuatanga iti maha. Heoi, i roto i te nuinga o ngā wā he tino mōrearea, ka taea e te tohatoha noa te whakaiti i te tūponotanga o tētahi huihuinga nui.
– Te tohatoha tūponotanga: e whakamahia ana mō ngā mate pūtea, mō te roa rānei o te otinga o te kaupapa.
– Te tohatoha Poisson: he pai mō te tatau i te maha o ngā aituā i roto i tētahi wā, hei tauira te maha o ngā aituā ia marama.
– Ngā tohatoha taupū me Weibull: e whakamahia whānuitia ana i roto i te pono me te tātaritanga roa o ngā wāhanga mīhini.
Mā te whakamahi i ngā tohatoha, ka taea e ngā kaitātari te tatau i te tūponotanga o tētahi huihuinga e puta ana i runga ake i tētahi paepae, hei tauira, te tūponotanga o tētahi mate e neke ake ana i tētahi rohe i roto i te tau kotahi.
Te Whakatau Tawhā me te Whakatau: Mai i te Tauira ki te Taupori
He maha ngā wā he tauira raraunga anake tā mātou, ehara i te huinga katoa. Mā te whakatau tatauranga ka taea e mātou te whakatau i ngā whakatau mō te taupori i runga i te tauira. I roto i te tātari mōrearea, he mea nui tēnei mō:
– te whakatau tata i ngā reiti rahunga o te mīhini mai i ngā raraunga tirotiro,
– te whakatau tata i ngā reiti nama kore e tika ana mai i ngā raraunga nama,
– te aromatawai rānei i te whai huatanga o tētahi wawaotanga whakaiti mōrearea.
Mā ngā tikanga pēnei i ngā wā whakawhirinaki ka āwhina i te tohu i te whānuitanga o ngā uara whaitake mō tētahi tawhā (hei tauira, te mate toharite), ā, ka taea te whakamahi i ngā whakamātautau whakapae hei whakatairite i ngā kaupapa here whakaiti e rua: ka whakaitihia rānei e te kaupapa here hou te reiti aituā?
Te Uara i te Mōrearea (VaR) me ngā Inenga Mōrearea Ine
I roto i te pūtea, ko tētahi inenga rongonui mō te mōrearea ko te Uara i te Mōrearea (VaR). Ka whakautua e te VaR te pātai: "He aha te mate nui rawa atu ka taea i tētahi taumata whakapono i roto i tētahi wā kua whakaritea?" Hei tauira, ko te 95% o te VaR o ia rā o te IDR 1 piriona te tikanga he 95% te whakapono kāore te mate o ia rā e neke ake i te IDR 1 piriona (ahakoa kei te 5% tonu te tūponotanga o tētahi mate nui ake).
Ahakoa e whakamahia whānuitia ana te VaR, he iti noa iho ōna herenga, inā koa ki te aro atu ki te mōrearea hiku. Nō reira, he maha ngā wā ka whakamahia ētahi atu inenga pēnei i te Expectated Shortfall (CVaR), e whakaatu ana i te toharite o te mate i roto i te horopaki kino rawa atu i tua atu i te VaR.
He mea nui anō hoki tēnei ariā ine ine i ētahi atu wāhi, hei tauira, te whakatau i ngā rohe haumaru mō te parahanga o te hau, te whakatakoto rānei i ngā rahui taonga hei whakaiti i te mōrearea o te paunga o ngā taonga.
Te Whakatauira Monte Carlo: Te Anga atu ki te Uauatanga
Mēnā he uaua rawa te pūnaha ki te tātari mā te tātari, he otinga te whakatauira Monte Carlo. Ka whakamahia e tēnei tikanga te tauira matapōkere mai i tētahi tohatoha whakauru hei whakaputa i ngā horopaki putanga maha. Hei tauira:
– Whakatauhia te mōrearea o ngā whakaroa kaupapa i runga i ngā rerekētanga o te roanga o ia mahi.
– Ka ine i te mōrearea o te ngaronga o te putea i runga i te koretake o ngā hokinga mai o ngā rawa maha.
– Te matapae i te mōrearea o te korenga o te tuku i runga i ngā rerekētanga o te tono me te wā arahi.
Me ngā mano ki te miriona o ngā whakatauira, ka taea e ngā kaitātari te hanga tohatoha o ngā putanga me te aromatawai i te tūponotanga o ngā takahanga tino kino, ehara i te uara toharite anake.
Te Hononga me te Whakawhirinakitanga: Kāore i te Tū Kotahi ngā Mōrearea
He maha ngā wā e hono tahi ana ngā mōrearea. Ka taea e te raruraru ōhanga te whakanui ake i te mōrearea o te korenga o te utu, ka piki ake te mōrearea o te moni whiwhi a te peeke, me ērā atu mea. Mā ngā tatauranga ka taea te ako i ngā whanaungatanga i waenga i ngā taurangi:
– Te hononga hei tiro i ngā whanaungatanga rārangi.
– Te whakamuri hei whakatauira i te pānga o ngā taurangi take ki ngā taurangi mōrearea.
– Te whakamahi i te Copula (i roto i te tātaritanga mōrearea matatau) hei whakatauira i ngā whakawhirinakitanga, tae atu ki ngā "hiku o te tohatoha" i te wā o te raruraru.
He hapa noa i roto i te tātari mōrearea ko te whakaaro he motuhake ngā taurangi. Heoi, i raro i ngā āhuatanga tino kino, ka piki ake ngā hononga, ka nui ake te mōrearea whakakotahi.
Ngā Whakamahinga o ngā Tatauranga i roto i ngā Rohe Rerekē
1. Hauora tūmatanui: te whakatauira i ngā mōrearea pakarutanga, te whakatau tata i ngā tere tuku, me te ine i te whai huatanga o te kano kano.
2. Te haumaru o te ahumahi me te mahi: te tātari i te auau o ngā aituā, te tautuhi i ngā take, me te aromatawai i ngā kaupapa K3.
3. Inihuarangatia: ka tatau i ngā utu piremi i runga i te tūponotanga o ngā kereme me te rahi o te kereme, tae atu ki ngā mōrearea āwhati.
4. Taiao: te matapae i te mōrearea o ngā waipuke, ngā horo whenua, te tauraki rānei i runga i ngā raraunga āhuarangi.
5. Haumarutanga ipurangi: te ine i te tūponotanga o ngā whakaekenga, te kite i ngā āhuatanga rerekē, me te whakatau tata i te pānga pūtea o ngā aituā.
Ko te kanorau o ēnei tono e whakaatu ana he maha ngā momo matauranga o ngā tatauranga: he rite tonu ngā mātāpono, engari he rerekē ngā horopaki me ngā momo raraunga.
Whakamutunga: Ko ngā Tatauranga hei Reo mō te Pōhēhē
Ko ngā tatauranga i roto i te tātari mōrearea he ngana ki te ine i te koretake. Mā te whakamahi i ngā raraunga, ngā tohatoha tūponotanga, te whakatau, me te whakatauira, ka taea e tātou te whakatau tata i te tūponotanga o tētahi huihuinga me tōna pānga, kātahi ka whakatau whakaaro nui ake. Ahakoa kāore e taea e ngā tatauranga te whakakore katoa i te mōrearea, ka āwhina i a tātou ki te karo i ngā whakataunga e hangai ana ki te whakaaro noa me te whakawhanake i ngā rautaki whakaiti kaha ake. I tēnei ao raraunga o ēnei rā, ehara i te mea he painga hangarau noa te kaha ki te mārama me te whakamahi i ngā tatauranga, engari he mea nui kia ora ai, kia tupu ai hoki i roto i ngā āhuatanga koretake.
