问题如下图:
请问答案是否有误?d.f.= n-1,应该分别为5和4?
NO.PZ2020010303000013 问题如下 If the kurtosis of some returns on a small-cstoportfolio w6, whwoulthe grees of freem parameter if they were generatea generalizeStunt’s tυt_\upsilontυ? Whif the kurtosis w9? In a Stunt’s t, the kurtosis pen only on the gree of freem anis k = 3(v-2)/( v-4).This csolveso thk(v - 4) = 3(v - 2) so thkv - 4k = 3v - 6 ankv - 3v = 4k - 6.Finally, solving for v, v =(4k-6)/ (k-3)Plugging in v =(24-6)/(6-3)=18/3=6 anv =(36-6)/ (9-3)= 5.The gree of freem is v-1.The kurtosis falls rapiy v grows.For example, if v = 12 then k = 3.75, whiis only slightly higher ththe kurtosis of a norm(3). plugging in 那一行里的计算是什么意思?
NO.PZ2020010303000013 问题如下 If the kurtosis of some returns on a small-cstoportfolio w6, whwoulthe grees of freem parameter if they were generatea generalizeStunt’s tυt_\upsilontυ? Whif the kurtosis w9? In a Stunt’s t, the kurtosis pen only on the gree of freem anis k = 3(v-2)/( v-4).This csolveso thk(v - 4) = 3(v - 2) so thkv - 4k = 3v - 6 ankv - 3v = 4k - 6.Finally, solving for v, v =(4k-6)/ (k-3)Plugging in v =(24-6)/(6-3)=18/3=6 anv =(36-6)/ (9-3)= 5.The gree of freem is v-1.The kurtosis falls rapiy v grows.For example, if v = 12 then k = 3.75, whiis only slightly higher ththe kurtosis of a norm(3). 这题在新考纲范围内嘛
NO.PZ2020010303000013 问题如下 If the kurtosis of some returns on a small-cstoportfolio w6, whwoulthe grees of freem parameter if they were generatea generalizeStunt’s tυt_\upsilontυ? Whif the kurtosis w9? In a Stunt’s t, the kurtosis pen only on the gree of freem anis k = 3(v-2)/( v-4).This csolveso thk(v - 4) = 3(v - 2) so thkv - 4k = 3v - 6 ankv - 3v = 4k - 6.Finally, solving for v, v =(4k-6)/ (k-3)Plugging in v =(24-6)/(6-3)=18/3=6 anv =(36-6)/ (9-3)= 5.The gree of freem is v-1.The kurtosis falls rapiy v grows.For example, if v = 12 then k = 3.75, whiis only slightly higher ththe kurtosis of a norm(3). 请问这里自由度是n-1,是因为题干中提到是some of the returns么
NO.PZ2020010303000013 问题如下 If the kurtosis of some returns on a small-cstoportfolio w6, whwoulthe grees of freem parameter if they were generatea generalizeStunt’s tυt_\upsilontυ? Whif the kurtosis w9? In a Stunt’s t, the kurtosis pen only on the gree of freem anis k = 3(v-2)/( v-4).This csolveso thk(v - 4) = 3(v - 2) so thkv - 4k = 3v - 6 ankv - 3v = 4k - 6.Finally, solving for v, v =(4k-6)/ (k-3)Plugging in v =(24-6)/(6-3)=18/3=6 anv =(36-6)/ (9-3)= 5.The gree of freem is v-1.The kurtosis falls rapiy v grows.For example, if v = 12 then k = 3.75, whiis only slightly higher ththe kurtosis of a norm(3). 根据公式T分布的kurtosis=3(n-2)/(n-4),=n-1两个问题分别为当K-6和5时,为多少,不是依次代入公式算得分别为5和4吗?
请问t分布的kurtosis算法需要记住吗?考试会考吗?