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ivywang · 2023年07月29日

知识回顾

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000024

问题如下：

Consider the following QQ plot:

Empirical Quantiles

Which is the most likely true statement about the QQ plot?

选项：

A.

The empirical distribution is actually parametric.

B.

The empirical distribution has positive skew.

C.

The empirical distribution has leptokurtosis (excess kurtosis>0)

D.

If we perform a linear transformation of location and scale, the distribution is approximately normal.

解释：

C is correct.

考点 ： Quantile-Quantile Plots

解析 ： Heavy tails: the steeper slope - i.e., greater than 1.0 - at the tails indicates the tails are heavier than the reference distribution

尖峰肥尾、矮峰瘦尾的分布图能画下吗？以及对应的英文，忘记了

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1 个答案

李坏_品职助教 · 2023年07月29日

嗨，努力学习的PZer你好：


尖峰肥尾（leptokurtic, fat-tail）就是虚线部分（实线部分是正态分布）：虚线部分均值附近分布数量多，两边尾部也比正态分布的数量多。



低峰瘦尾（ platykurtic，thin-tail）是绿色这部分，尾部极端值比正态分布（红色）少，靠近均值的部分也少：

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