### Article

## Статистические процедуры со многими решениями в задаче анализа итогов приема в филиалы ВУЗа

Problem of multiple comparisons of several populations on small samples and specificity of the method of it solution are analyzed. It is proposed to extend a classical method for constructing statistical tests by the use of information preprocessing. Examples of the application of the proposed method are given.

Research into the market graph is attracting increasing attention in stock market analysis. One of the important problems connected with the market graph is its identification from observations. The standard way of identifying the market graph is to use a simple procedure based on statistical estimations of Pearson correlations between pairs of stocks. Recently a new class of statistical procedures for market graph identification was introduced and the optimality of these procedures in the Pearson correlation Gaussian network was proved. However, the procedures obtained have a high reliability only for Gaussian multivariate distributions of stock attributes. One of the ways to correct this problem is to consider different networks generated by different measures of pairwise similarity of stocks. A new and promising model in this context is the sign similarity network. In this paper the market graph identification problem in the sign similarity network is reviewed. A new class of statistical procedures for the market graph identification is introduced and the optimality of these procedures is proved. Numerical experiments reveal an essential difference in the quality between optimal procedures in sign similarity and Pearson correlation networks. In particular, it is observed that the quality of the optimal identification procedure in the sign similarity network is not sensitive to the assumptions on the distribution of stock attributes.

Problem of construction of the market graph as a multiple decision statistical problem is considered. Detailed description of a optimal unbiased multiple decision statistical procedure is given. This procedure is constructed using the Lehmann’s theory of multiple decision statistical procedures and the conditional tests of the Neyman structures. The equations for thresholds calculation for the tests of the Neyman structure are presented and analyzed.

The main goal of the present paper is the development of a general framework of multivariate network analysis of statistical data sets. A general method of multivariate network construction, on the basis of measures of association, is proposed. In this paper we consider Pearson correlation network, sign similarity network, Fechner correlation network, Kruskal correlation network, Kendall correlation network, and the Spearman correlation network. The problem of identification of the threshold graph in these networks is discussed. Different multiple decision statistical procedures are proposed. It is shown that a statistical procedure used for threshold graph identification in one network can be efficiently used for any other network. Our approach allows us to obtain statistical procedures with desired properties for any network. © 2015 Springer International Publishing Switzerland.

The paper deal with uncertainty in market network analysis. The main problem addressed is to investigate statistical uncertainty of Kruskal algorithm for the minimum spanning tree in market network. Uncertainty of Kruskal algorithm is measured by the probability of q incorrectly included edges. Numerical experiments are conducted with the returns of a set of 100 financial instruments traded in the US stock market over a period of 250 days in 2014. Obtained results help to estimate the reliability of minimum spanning tree in market network analysis.

Market network analysis attracts a growing attention last decade. Important component of the market network is a model of stock returns distribution. Elliptically contoured distributions are popular as probability model of stock returns. The question of adequacy of this model to real market data is open. There are known results that reject such model and at the same time there are results that approve such model. Obtained results are concerned to testing some properties of elliptical model. In the paper another property of elliptical model namely property of symmetry condition of tails of 2-dimentional distribution is considered. Multiple statistical procedure for testing elliptical model for stock returns distribution is proposed. Sign symmetry conditions of tails distribution are chosen as individual hypotheses for multiple testing. Uniformly most powerful tests of Neyman structure are constructed for individual hypotheses testing. Associated stepwise multiple testing procedure is applied for the real market data. To visualize the results a rejection graph is constructed. The main result is that under some conditions tail symmetry hypothesis is not rejected if one remove a few number of hubs from the rejection graph.

I give the explicit formula for the (set-theoretical) system of Resultants of m+1 homogeneous polynomials in n+1 variables