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 estimation。Cortez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?