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claireteng · 2022年06月23日

请问这个超纲吗?

NO.PZ2020010304000052

问题如下:

If a p-VaR model is well specified, HITs should be iid Bernoulli(1 - p). What is the probability of observing two HITs in a row? Can you think of how this could be used to perform a test that the model is correct?

解释:

The probability of a HIT should be 1 - p if the model is correct. They should also be independent, and so the probability of observing two HITs in a row should be (1p)2(1 - p)^2. They can be formulated as the null that H0:E[HITiHITi+1]=(1p)2H_0: E[HIT_i * HIT_{i + 1}] = (1 - p)^2 and tested against the alternative H1:E[HITiHITi+1](1p)2H_1: E[HIT_i * HIT_{i + 1}] ≠ (1 - p)^2. This can be implemented as a simple test of a mean by defining the random variable Xi=HITiHITi+1X_i = HIT_i * HIT_{i + 1} and then testing the null H0:μX=(1p)2H_0: \mu_X = (1 - p)^2 using a standard test of a mean.

请问超纲吗?哪里讲过?
1 个答案

DD仔_品职助教 · 2022年06月24日

嗨,爱思考的PZer你好:


不超纲,就是假设检验的应用。

题目已经说了HITs发生的概率是1-p,根据这个条件来设定H0:HITs连续发生两次的概率是(1-p)^2,H1:HITs连续发生两次的概率不是(1-p)^2即可,然后说明假设检验步骤,不涉及任何计算,阐明步骤即可。

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