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kanjani · 2024年03月12日

怎么判断是尖峰肥尾？为什么不是痩尾？

  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

题干的表述只能看出是尖峰啊，为什么是肥尾呢？qq图里是能看出肥尾属性的

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1 个答案

pzqa27 · 2024年03月12日

嗨，爱思考的PZer你好：


 leptokurtosis最正确的翻译其实应该是厚尾的意思而不应该翻译成尖峰，它的本意指的是峰比较高而不是比较尖，所以峰高自然尾厚。

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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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