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柚柚_柚 · 2020年06月01日

问一道题:NO.PZ2019040801000069 [ FRM I ]

问题如下:

Analyst Underwood is using Monte Carlo simulation to test the robustness of the Dickey-Fuller test by changing the drift parameter for several different experiments, Reusing sets of random number draws will most likely result in:

选项:

A.

increasing the sampling variance across experiments, increasing the accuracy of the drift estimates for each experiment.

B.

increasing the sampling variance across experiments, not changing the accuracy of the drift estimates for each experiment.

C.

reducing the sampling variance across experiments, reducing the accuracy of the drift estimates for each experiment.

D.

reducing the sampling variance across experiments, not changing the accuracy of the drift estimates for each experiment.

解释:

D is correct

考点:Monte Carlo simulation

解析:如果重复使用一样的随机数进行蒙特卡洛模拟的话会减少结果的波动,不过虽然波动降低了,每次试验的准确性并没有被影响。当成结论记一下就好,比较偏的知识点。

请问什么是dicky fuller test?
1 个答案
已采纳答案

品职答疑小助手雍 · 2020年06月01日

嗨,从没放弃的小努力你好:


迪克福勒检验是用来检验自回归模型是否存在单位根的检验,不过这题考察重点是重复使用随机数对蒙特卡洛模拟的影响,别的检验模型这样做也会产生降波动但不增加准确性的影响。


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