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lion · 2023年05月13日

求解释

  1. FRM I
  2. Quantitative

NO.PZ2016062402000036

问题如下：

The measurement error in VAR, due to sampling variation, should be greater with

选项：

A.

More observations and a high confidence level (e.g. , 99%)

B.

Fewer observations and a high confidence level

C.

More observations and a low confidence level (e.g. , 95%)

D.

Fewer observations and a low confidence level

解释：

Sampling variability (or imprecision) increases with (1) fewer observations and (2) greater confidence levels. To show (1), we can refer to the formula for the precision of the sample mean, which varies inversely with the square root of the number of data points. A similar reasoning applies to (2). A greater confidence level involves fewer observations in the left tails, from which VAR is computed.

是不是有个公式。，，

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1 个答案

DD仔_品职助教 · 2023年05月13日

嗨，爱思考的PZer你好：


同学你好，

可以根据置信区间的z值*标准误的公式来判断：

Zα*（σ²x/根号n）

1. 置信度越高，置信系数Zα越大，标准误σ²x/根号n越大。

2. 样本量越小，根号n越小，标准误σ²x/根号n越大

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