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S🍭🐾 · 2024年10月26日

如果时间过长,不是会产生nonstationay 的问题吗

* 问题详情,请 查看题干

NO.PZ202405210200000502

问题如下:

Snow's data evaluation period most likely helps reduce the potential existence of:

选项:

A.nonstationarity.

B.survivorship bias.

C.appraisal (smoothed) data

解释:

Changes in technological, political, legal, and regulatory environments; disruptions such as wars and other calamities; and changes in policy stances can all alter risk-return relationships. Such shifts are known as changes in regime. The statistical problem of nonstationarity occurs when different parts of a data series reflect different underlying statistical properties, regime shifts exist within the data.

By preferring asset classes with long periods of returns data and not emphasizing a specific period within that return series, Snow is trying to minimize the potential impact of nonstationarity in her CME process.

如果时间过长,不是会产生nonstationay 的问题吗

1 个答案

源_品职助教 · 2024年10月28日

嗨,爱思考的PZer你好:


题目原版项表达的意思应该是考察长期数据和非平稳的关系。

然后这题B和C又不太对,只有A适合非平稳相关的了。

但是就如同学立即的那样,数据越越容易出现非平稳的问题。

确实本题协会的确出的有问题,咱们这道题讲解的时候也提到了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!