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 . They can be formulated as the null that and tested against the alternative . This can be implemented as a simple test of a mean by defining the random variable and then testing the null using a standard test of a mean.
请问超纲吗?哪里讲过?