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TZXคิดถึง · 2023年05月01日

可以详细解答一下这道题吗?

* 问题详情,请 查看题干

NO.PZ202304050200003207

问题如下:

Determine, using the significant variable(s) in Logistic Regression 2 and the information provided, which of the following is closest to the probability of the Alpha ETF being a winning fund and whether it would be classified as a winning fund.

Alpha ETF variable values: small_fund = 0, medium_fund = 0, portfolio_stocks= 99.3%, portfolio_bonds = 0.7%, price_earnings = 25.0, price_book =1.1, price_sales = 4.0, and price_cashflow = 5.7.

Use significance level of 5% and probability threshold for being a winner of 65%.

选项:

A.

27.4%, and the Alpha ETF is not classified as a winning fund

B.

36.0%, and the Alpha ETF is not classified as a winning fund

C.

82.2%, and the Alpha ETF is classified as a winning fund

解释:

B is correct. Besides the significant intercept, the only significant (at 5% level) variable in Logistic Regression 2 is price_sales. Using these factors, the probability of this ETF being a winning fund is calculated to be 35.95%, as follows:

Probability of being a winning fund = 0.3595 =

Because this probability is well below the 65% threshold for being a winner, the Alpha EFT would not be classified as a winning fund.

最后一问的计算没看懂,怎么计算出来35.95?解析给的答案又是什么意思?

1 个答案
已采纳答案

星星_品职助教 · 2023年05月02日

同学你好,

1)题干要求“using the significant variable”,所以根据p-value小于significance level 0.05,在logistic regression 2中只能代入significant的price_sale(和intercept)。计算出此时log odds=Ln p/(1-p)=-1.9585+0.3453×4.0=-0.5773.

据此解出p=0.3595 (细微差异来自四舍五入)

2)根据题干给出的probability threshold for being a winner of 65%,由于p=35.95%<65%,所以将该fund归类为not winning。

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