问一道题：NO.PZ2016070201000008

问题如下：

Which of the following statements about age-weighting is most accurate?

选项：

The age-weighting procedure incorporates estimates from GARCH models.

If the decay factor in the model is close to l, there is persistence within the data set.

When using this approach, the weight assigned on day i is equal to: $w{(i)}=\lambda^{i-1}\times{(1-\lambda)}/{(1-\lambda^i)}$

The number of observations should at least exceed 250.

解释：

If the intensity parameter (i.e., decay factor) is close to l, there will be persistence (i.e., slow decay) in the estimate. The expression for the weight on day i has i in the exponent when it should be n. While a large sample size is generally preferred, some of the data may no longer be representative in a large sample.

1、请问权重衰减的快慢对历史数据的影响是什么呢？

2、decay factor，是不是就是入？

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1 个答案

品职答疑小助手雍 · 2020年04月13日

同学你好，1.衰减的越快，那老的数据占的权重就会越小，近期的数据权重会比较大。

2.是的

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C哪错了呀

2020-07-06 00:16 1 · 回答

If the cfactor in the mol is close to l, there is persistenwithin the ta set. When using this approach, the weight assigneon y i is equto: w(i)=λi−1×(1−λ)/(1−λi)w{(i)}=\lamb^{i-1}\times{(1-\lamb)}/{(1-\lamb^i)}w(i)=λi−1×(1−λ)/(1−λi) The number of observations shoulleast excee250. If the intensity parameter (i.e., cfactor) is close to l, there will persisten(i.e., slow cay) in the estimate. The expression for the weight on y i hi in the exponent when it shouln. While a large sample size is generally preferre some of the ta mno longer representative in a large sample. 如果a改成ewma是不是就是对的呢

2020-04-25 18:32 1 · 回答

a为什么错了

2020-01-16 07:19 1 · 回答

如果兰塔等于1不再衰减，是不是对权重没有调整作用，回到了1/n

2019-10-29 14:02 1 · 回答

问一道题：NO.PZ2016070201000008

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