shrinkage

问题如下：

The approach taken by Rogers’s team to calculate the correlation matrix is best described as which type of estimator?

选项：

A.Shrinkage

B.Time series

C.Historical

解释：

A is correct. To determine the correlation matrix in the different energy sectors, Rogers’s team relies on a weighted average of correlations derived from multifactor models and historical correlations. A shrinkage estimator is a weighted average of correlation (or covariance) matrices created from at least two different correlation (or covariance) matrices generated from different sources.

C is incorrect because historical estimators are not reduced on analyst opinion; shrinkage estimators are.

B is incorrect because time-series estimators are not reduced based on analyst opinion; shrinkage estimators are.

本题考查的是Shrinkage

A是正确的。为了确定不同能源部门的相关矩阵，Rogers的团队依赖于多因素模型和历史相关性得出了加权平均相关性。收缩估计是对相关系数(或协方差)矩阵做加权平均得出，这些相关性(或协方差)矩阵至少产生于两个不同来源余不同相关(或协方差)矩阵。

C是不正确的，因为历史估计者不会根据分析师的意见而被认为降低。

B是不正确的，因为时间序列估计量不会根据分析师的意见而被认为降低。