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410140980 · 2022年03月18日

QQ plot 图

  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

老师D选项的表述如果不考虑题干信息，本身描述是对的吧？

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品职答疑小助手雍 · 2022年03月19日

同学你好， 不对啊，D说的是：把这个分布进行线性变换（也就是等比例的变大变小），则分布近似正态。

只是等比例变换了大小，它原来是什么分布还是什么分布，不会变成正态。（copula那种mapping到正态的方式不是线性变换了。我就是关联一个其他的知识点，如果你学到了那部分知识的话）

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