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rikkisong72 · 2023年06月14日

shrinkage estimate出现在哪个知识点?

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NO.PZ202206070100000204

问题如下:

Cortez’s statement of how the covariance estimate is to be calculated is most likely an example of:

选项:

A.nonstationarity. B.a shrinkage estimate. C.a prudence trap.

解释:

Solution

B is correct. Cortez’s statement to calculate a weighted average for the covariance estimate is an example of shrinkage estimation. Shrinkage estimation involves taking a weighted average of a historical estimate of a parameter and some other parameter estimate, in which the weights reflect the analyst’s relative belief in the estimates. A shrinkage estimator of the covariance matrix is a weighted average of the historical covariance matrix and an alternative estimator of the covariance matrix.

A is incorrect. Nonstationarity is a statistical problem meaning that different parts of a data series reflect different underlying statistical properties. There is no evidence of this.

C is incorrect. A prudence trap is the tendency to temper forecasts so that they do not appear too extreme. There is no evidence of this.

题目考察的是shrinkage estimationCortez关于协方差估计计算加权平均值的说法正是shrinkage estimation的一个例子。shrinkage estimation涉及对参数的历史估计和其他一些参数估计的加权平均,其中权重反映了分析师对估计的相对信心。协方差矩阵的shrinkage estimator是历史协方差矩阵和协方差矩阵备选估计量的加权平均。

如题,请问shrinkage estimate出现在哪个知识点?

1 个答案

笛子_品职助教 · 2023年06月15日

嗨,从没放弃的小努力你好:


如题,请问shrinkage estimate出现在哪个知识点?


Hello,亲爱的同学~

在风险预测的VCV方法这里。具体来说,是基础讲义205-206页。



同学可以先看一看基础班对应的视频。如果仍有问题,欢迎随时提问。

祝学习顺利~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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