NO.PZ2023091601000047
问题如下:
For a sample of the past 30
monthly stock returns for McCreary, Inc., the mean return is 4% and the sample
standard deviation is 20%. Since the population variance is unknown, the
standard error of the sample is estimated to be:
The related
t-table values are (ti,j denotes the (100-j)th percentile of t-distribution value with i degrees of freedom):
What
is the 95% confidence interval for the mean monthly return?
选项:
A.
[-3.453%, 11.453%]
B.
[-2.201%, 10.201%]
C.
[-2.194%, 10.194%]
D.
[-3.464%, 11.464%]
解释:
Here the
t-reliability factor is used since the population variance is unknown. Since
there are 30 observations, the degrees of freedom are 30 – 1 = 29. The t-test
is a two-tailed test. So the correct critical t-value is t29.25 =2.045, thus the 95% confidence interval for
the mean return is:
老师,在学数量和VaR时常用到置信区间,但是VaR一提到95%,就是单尾5%,双尾10%,对应90%的置信区间,所以分位点是-1.65和1.65。
但是这里提到95%的置信区间就是双尾5%,单尾2.5%,看了别的同学同样问题提问的解答,仍然不理解如何判断单尾双尾,有什么技巧吗?