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滴滴姐姐~ · 2021年09月07日

D选项何解~

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000024

问题如下：

Consider the following QQ plot:

Empirical Quantiles

Which is the most likely true statement about the QQ plot?

选项：

A.

The empirical distribution is actually parametric.

B.

The empirical distribution has positive skew.

C.

The empirical distribution has leptokurtosis (excess kurtosis>0)

D.

If we perform a linear transformation of location and scale, the distribution is approximately normal.

解释：

C is correct.

考点 ： Quantile-Quantile Plots

解析 ： Heavy tails: the steeper slope - i.e., greater than 1.0 - at the tails indicates the tails are heavier than the reference distribution

感觉好像mapping还是哪里（应该是extreme value）学了pareto 和最佳方块法提到了location 和scale？

和这里有啥关系吗 还是硬凑的呀

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李坏_品职助教 · 2021年09月08日

嗨，努力学习的PZer你好：


这个地方意思是如果做一个标准化处理，变量会大致服从正态分布。也就是把X变成（X-μ）/ σ。


mapping如果用到了normal distribution也是会用到标准化处理的

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滴滴姐姐~ · 2021年09月08日

所以是不是一个分布 线形变换前是啥分布 线性变换后就还是啥分布（比如线性变换前是正态 之后也是正态 之前是lognormal 之后也是lognormal？

李坏_品职助教 · 2021年09月08日

嗨，从没放弃的小努力你好：


标准化处理的目的是把数据的范围缩放到0附近，不改变原来的分布性质。


如果标准化之前是正态分布，那么标准化之后就是标准正态分布（均值为0，方差为1的标准正态分布）

如果标准化之前是对数正态，那么变化之后依然是对数正态。但是我们一般不会给对数正态做标准化。


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