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pengyaning · 2023年10月15日

关于原假设和单双尾判断的问题

NO.PZ2023091601000063

问题如下:

A senior manager on the proprietary trading desk of an investment bank is evaluating the performance of two fixed-income traders, trader A and trader B, using their annual performance over the last 10 years. Trader A generated an average return of 7% with a standard deviation of 15%, while trader B generated an average return of 12% with a standard deviation of 20%. The manager tests the null hypothesis that the traders performed equally well against the alternative hypothesis that the average return of trader B is higher than the average return of trader A. Assuming the performances of each trader are independent, which of the following correctly identifies the test statistic and the 5% critical value corresponding to this alternative hypothesis?

选项:

A.

The test statistic is -0.63 and the critical value is 2.31.

B.

The test statistic is -0.27 and the critical value is 2.31.

C.

The test statistic is 0.27 and the critical value is 1.86.

D.

The test statistic is 0.63 and the critical value is 1.86.

解释:

D is correct. If we let X and Y denote traders B and A respectively (noting that it is safest to work with proportions rather than percentages) the test statistic for testing that the means are equal (i.e., 𝐻0:𝜇𝑋=𝜇𝑌) is:


Note that the denominator no longer has the (2σXY/n) component in the calculation; this is because the two performance results are independent – as such, the correlation between X and Y is 0. The statistic 0.63 follows a t-distribution with 8 degrees of freedom and a 5% (one-sided) size of test uses the critical value of 1.86.

题目中“ the null hypothesis that the traders performed equally well”原假设显示此题是双尾,5%显著性水平,因此我理解关键值应该对应2.5% one side? 还有分子是12%-7%,为什们不是7%-12%?

2 个答案

李坏_品职助教 · 2024年10月29日

嗨,从没放弃的小努力你好:


对的,只要是比较大小,就是用单尾检验。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

品职答疑小助手雍 · 2023年10月16日

同学你好,这题本质还是比较均值大小的情况,备择假设也是比大小的,所以用单尾。

至于分子谁减谁,结果上用绝对值就好。

Timedbean · 2024年10月29日

请问是否可以这样理解,只要是比大小就看单位?

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