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小王爱学习 · 2022年01月18日

可以把每一个计算的过程写出来吗

NO.PZ2020010302000010

问题如下:

Suppose the return on an asset has the following distribution:

a. Compute the mean, variance, and standard deviation.

b. Verify your result in (a) by computing E[X2]E[X^2] directly and using the alternative expression for the variance.

c. Is this distribution skewed?

d. Does this distribution have excess kurtosis? e. What is the median of this distribution?

选项:

解释:

a. The mean is E[X] = Σx Pr(X = x) = 0.25%.

The variance is Var[X]=Σ(xE[X])2Pr(X=x)=0.000555Var[X] = Σ(x - E[X])^2 Pr(X = x) = 0.000555.

The standard deviation is Var[X]=2.355\sqrt {Var[X]} = 2.355%.

b. E[X2]=Σx2Pr(X=x)=.000561E[X^2] = Σx^2 Pr(X = x) = .000561 and so E[X2](E[X])2=0.000561(.0025)2=.000555E[X^2] - (E[X])^2 = 0.000561 - (.0025)^2 = .000555, which is the same.

c. The skewness requires computing

skew(X)=E[XE[X]]3/σ3=E[(Xμσ)3]=Σ(xμσ)3Pr(Xx)skew(X)=E[X-E[X]]^3/{\sigma^3}=E[(\frac{X-\mu}{\sigma})^3]=Σ(\frac{x-\mu}{\sigma})^3Pr(X-x)

Thus the skewness is 0.021, and the distribution has a mild positive skew.

d. The kurtosis requires computing

kurtosis(X)=E[(XE[X])4]σ4=E[(Xμσ)4]=Σ(xμσ)4Pr(Xx)kurtosis(X)=\frac{E[(X-E[X])^4]}{\sigma^4}=E[(\frac{X-\mu}{\sigma})^4]=Σ(\frac{x-\mu}{\sigma})^4Pr(X-x)

Thus the kurtosis is 2.24. The excess kurtosis is then 2.24 - 3 = -0.76. This distribution does not have excess kurtosis.

e. The median is the value where at least 50% probability lies to the left, and at least 50% probability lies to the right. Cumulating the probabilities into a CDF, this occurs at the return value of 0%.

可以写一下解题的公式吗?我自己算第一问=0.0049,不知道问题在哪里。请把每一问的具体解题数字都写一写,感谢。

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DD仔_品职助教 · 2022年01月18日

嗨,爱思考的PZer你好:


同学你好,具体计算如下图,此题仅供练习,考试不会出这样的题型的,计算器计算很麻烦,可以用excel来计算。


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加油吧,让我们一起遇见更好的自己!

小王爱学习 · 2022年01月20日

老师,E(x)是平方的意思,E(X)的平方是求来干嘛的?

flyingcolors · 2022年04月21日

老师,这个50%的概率,中位数不应该是0+1%=0.5%吗?

DD仔_品职助教 · 2022年04月22日

嗨,努力学习的PZer你好:


不用插值法计算中位数,直接找最相近的数据即可

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

DD仔_品职助教 · 2022年01月20日

嗨,从没放弃的小努力你好:


E(X)是X的expected value=X1出现的概率*X1+X2出现的概率*X2+。。。。(有多少数据就加几个)

E(X)^2就是上面算出来的数据E(X)*E(X)

E(X^2)=X1出现的概率*(X1^2)+X2出现的概率*(X2^2)+。。。。

可以通过这俩算X的方差:V(X)=E(X^2) - [E(X)^2]

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努力的时光都是限量版,加油!

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NO.PZ2020010302000010问题如下Suppose the return on asset hthe following stribution:Compute the mean, variance, anstanrviation.Verify your result in (computing E[X2]E[X^2]E[X2] rectly anusing the alternative expression for the variance.Is this stribution skewe es this stribution have excess kurtosis? e. Whis the meof this stribution?The meis E[X] = Σx Pr(X = x) = 0.25%.The varianis Var[X]=Σ(x−E[X])2Pr(X=x)=0.000555Var[X] = Σ(x - E[X])^2 Pr(X = x) = 0.000555Var[X]=Σ(x−E[X])2Pr(X=x)=0.000555.The stanrviation is Var[X]=2.355\sqrt {Var[X]} = 2.355%Var[X]​=2.355.E[X2]=Σx2Pr(X=x)=.000561E[X^2] = Σx^2 Pr(X = x) = .000561E[X2]=Σx2Pr(X=x)=.000561 anso E[X2]−(E[X])2=0.000561−(.0025)2=.000555E[X^2] - (E[X])^2 = 0.000561 - (.0025)^2 = .000555E[X2]−(E[X])2=0.000561−(.0025)2=.000555, whiis the same.The skewness requires computingskew(X)=E[X−E[X]]3/σ3=E[(X−μσ)3]=Σ(x−μσ)3Pr(X−x)skew(X)=E[X-E[X]]^3/{\sigma^3}=E[(\frac{X-\mu}{\sigma})^3]=Σ(\frac{x-\mu}{\sigma})^3Pr(X-x)skew(X)=E[X−E[X]]3/σ3=E[(σX−μ​)3]=Σ(σx−μ​)3Pr(X−x)Thus the skewness is 0.021, anthe stribution ha milpositive skew. The kurtosis requires computingkurtosis(X)=E[(X−E[X])4]σ4=E[(X−μσ)4]=Σ(x−μσ)4Pr(X−x)kurtosis(X)=\frac{E[(X-E[X])^4]}{\sigma^4}=E[(\frac{X-\mu}{\sigma})^4]=Σ(\frac{x-\mu}{\sigma})^4Pr(X-x)kurtosis(X)=σ4E[(X−E[X])4]​=E[(σX−μ​)4]=Σ(σx−μ​)4Pr(X−x)Thus the kurtosis is 2.24. The excess kurtosis is then 2.24 - 3 = -0.76. This stribution es not have excess kurtosis.e. The meis the value where least 50% probability lies to the left, anleast 50% probability lies to the right. Cumulating the probabilities into a C, this occurs the return value of 0%.1、老师,第一个和第二个红框是啥意思啊?2、为啥当X=0时,累积概率是52%,中位数不用线性插值法或者求X=0和X=-1的平均数呢?考试如果也是离散分布,累计概率超过50%,中位数也是取能概率一直累积超过50%的那个数?

2024-08-05 20:36 3 · 回答

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2024-04-29 20:07 1 · 回答

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2024-01-31 22:22 1 · 回答

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2024-01-30 12:48 2 · 回答