开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

啊柚子熟了 · 2024年11月03日

为什么拒绝了原假设反而会犯一类错误,一类错误不是接受错误的假设么

NO.PZ2023100703000036

问题如下:

Basel II requires a backtest of a bank’s internal value at risk (VaR) model (IMA). Assume the bank’s ten-day 99% VaR is $1 million (minimum of 99% is hard-wired per Basel). The null hypothesis is: the VaR model is accurate. Out of 1,000 observations, 25 exceptions are observed (we saw the actual loss exceed the VaR 25 out of 1000 observations).

选项:

A.We will probably call the VaR model good (accurate) but we risk a Type I error.

B.We will probably call the VaR model good (accurate) but we risk a Type II error.

C.We will probably call the model bad (inaccurate) but we risk a Type I error.

D.We will probably call the model bad (inaccurate) but we risk a Type II error.

解释:

The probability of 25 or more exceptions will only be observed 1 – 99.996%. So, we reject the model. Null = good model. To decide the model is bad model is to reject null and this implies a risk of type I error.

为什么拒绝了原假设反而会犯一类错误,一类错误不是接受错误的假设么

1 个答案
已采纳答案

李坏_品职助教 · 2024年11月03日

嗨,从没放弃的小努力你好:


你记反了。


拒绝一个真命题:一类错误。

接受一个假命题:二类错误。


现在是要拒绝原假设,如果原假设是真命题,也就是拒绝了真命题,所以是一类错误。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 43

    浏览
相关问题

NO.PZ2023100703000036 问题如下 Basel II requires a backtest of a bank’s internvalue risk (VaR) mol (IMA). Assume the bank’s ten-y 99% Vis $1 million (minimum of 99% is harwireper Basel). The null hypothesis is: the Vmol is accurate. Out of 1,000 observations, 25 exceptions are observe(we sthe actuloss exceethe V25 out of 1000 observations). A.We will probably call the Vmol goo(accurate) but we risk a Type I error. B.We will probably call the Vmol goo(accurate) but we risk a Type II error. C.We will probably call the mol b(inaccurate) but we risk a Type I error. We will probably call the mol b(inaccurate) but we risk a Type II error. The probability of 25 or more exceptions will only observe1 – 99.996%. So, we rejethe mol. Null = goomol. To ci the mol is bmol is to rejenull anthis implies a risk of type I error. 如何判断的1-99.996%处于拒绝域内啊,题目也没给置信水平呀

2024-11-02 15:56 1 · 回答

NO.PZ2023100703000036 问题如下 Basel II requires a backtest of a bank’s internvalue risk (VaR) mol (IMA). Assume the bank’s ten-y 99% Vis $1 million (minimum of 99% is harwireper Basel). The null hypothesis is: the Vmol is accurate. Out of 1,000 observations, 25 exceptions are observe(we sthe actuloss exceethe V25 out of 1000 observations). A.We will probably call the Vmol goo(accurate) but we risk a Type I error. B.We will probably call the Vmol goo(accurate) but we risk a Type II error. C.We will probably call the mol b(inaccurate) but we risk a Type I error. We will probably call the mol b(inaccurate) but we risk a Type II error. The probability of 25 or more exceptions will only observe1 – 99.996%. So, we rejethe mol. Null = goomol. To ci the mol is bmol is to rejenull anthis implies a risk of type I error. 假设检验可以让我们拒绝了一个原本错误的假设,这什么错误也没范啊

2024-10-26 18:43 1 · 回答

NO.PZ2023100703000036问题如下 Basel II requires a backtest of a bank’s internvalue risk (VaR) mol (IMA). Assume the bank’s ten-y 99% Vis $1 million (minimum of 99% is harwireper Basel). The null hypothesis is: the Vmol is accurate. Out of 1,000 observations, 25 exceptions are observe(we sthe actuloss exceethe V25 out of 1000 observations).A.We will probably call the Vmol goo(accurate) but we risk a Type I error.B.We will probably call the Vmol goo(accurate) but we risk a Type II error.C.We will probably call the mol b(inaccurate) but we risk a Type I error.We will probably call the mol b(inaccurate) but we risk a Type II error.The probability of 25 or more exceptions will only observe1 – 99.996%. So, we rejethe mol. Null = goomol. To ci the mol is bmol is to rejenull anthis implies a risk of type I error.99% confinlevel就是1000个里面有10个exception,跟实际的25个相比,说明实际的confinlevel得是97.5%。那实际发生的有一部分本应该accept的被视为reject,也就是type I error变大,这样理解对不

2024-09-05 17:43 1 · 回答

NO.PZ2023100703000036问题如下Basel II requires a backtest of a bank’s internvalue risk (VaR) mol (IMA). Assume the bank’s ten-y 99% Vis $1 million (minimum of 99% is harwireper Basel). The null hypothesis is: the Vmol is accurate. Out of 1,000 observations, 25 exceptions are observe(we sthe actuloss exceethe V25 out of 1000 observations).A.We will probably call the Vmol goo(accurate) but we risk a Type I error.B.We will probably call the Vmol goo(accurate) but we risk a Type II error.C.We will probably call the mol b(inaccurate) but we risk a Type I error.We will probably call the mol b(inaccurate) but we risk a Type II error.The probability of 25 or more exceptions will only observe1 – 99.996%. So, we rejethe mol. Null = goomol. To ci the mol is bmol is to rejenull anthis implies a risk of type I error.请问下这里的99.996%是怎么求出来的

2023-11-14 22:19 1 · 回答