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SkipperLin · 2022年02月13日

Standard Error和Standard Deviation是怎么计算的

NO.PZ2020010304000050

问题如下:

If you are given a 99% confidence interval for the mean return on the Nasdaq 100 of [2.32%, 12.78%], what is the sample mean and standard error? If this confidence interval is based on 37 years of data, assumed to be iid, what is the sample standard deviation?

选项:

解释:

The mean is the midpoint of a symmetric confidence interval (the usual type), and so is 7.55%.

The 99% CI is constructed as [μcσ,μ+cσ]\left[\overset\wedge\mu-c*\overset\wedge\sigma, \overset\wedge\mu+c*\overset\wedge\sigma\right] and so cσc*\overset\wedge\sigma = 12.78% - 7.55% = 5.23%. The critical value for a 99% CI corresponds to the point where there is 0.5% in each tail, or 2.57, and so σ\overset\wedge\sigma =5.23% /2.57=2.03% needs to be surveyed.

If this confidence interval is based on 37 years of data, assumed to be iid, the sample standard deviation is 2.03%×37=12.34%2.03\%\times\sqrt{37}=12.34\%

老师好,想请问一下这个题的Standard Error和Standard Deviation是怎么计算的

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已采纳答案

李坏_品职助教 · 2022年02月13日

嗨,从没放弃的小努力你好:


首先题干给出了置信区间的具体数值, [2.32%, 12.78%], 说明μ - c * σ = 2.32%,μ + c * σ = 12.78%


所以c*σ = (12.78% - 2.32%)/ 2 = 5.23%


99%置信度水平下的critical value是2.57,所以σ = 5.23% / c = 5.23% / 2.57 = 2.03%


这里计算的σ就是standard error,也就是参数的估计标准误,它是等于标准差 / 根号n的 (n是样本数量)


所以标准差(standard deviation) = 2.03% * 根号37 = 0.1234


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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