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欢欢 · 2021年08月18日

99%对应的cv不是2.58吗?

NO.PZ2015120604000131

问题如下:

Which of the following descriptions is the least accurate about hypothesis testing?

选项:

A.

A Type II error refers to accept the null when it is false.

B.

A one-tailed test with a significance level of 1% has z-critical values of 2.58.

C.

One minus the probability of a Type II error equals the power of test .

解释:

B is correct.

A one-tailed test with a significance level of 1% has z-critical values of 2.33

99%对应的cv不是2.58吗?
2 个答案
已采纳答案

星星_品职助教 · 2021年08月19日

同学你好,

“A one-tailed test with a significance level of 1% ...”说明是单尾的面积就是1%。这个对应的关键值是2.33。建议也记一下,二级还会用到。

而±2.58是正态分布下99%置信区间的关键值,对应的是双尾总面积为1%,也等价于单尾面积为0.5%.


欢欢 · 2021年08月20日

好的谢谢。那我可不可以理解为,对于置信度是98%的双尾z分布,它的置信区间就是(-2.33,2.33)

星星_品职助教 · 2021年08月20日

@欢欢

理解基本是对的。规范的说法是:对于正态分布下置信度为98%的置信区间,或significance level为2%的双尾检验,对应的关键值为±2.33.

但考试从没有从双尾98%的角度出过题。所以这个点建议掌握的是:正态分布下,(无论是置信区间还是假设检验)总之单尾面积1%对应的关键值(的绝对值)是2.33。这点在一二级的组合里求VaR的时候也会频繁的应用到。

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