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啊柚子熟了 · 2024年11月03日

为什么拒绝了原假设反而会犯一类错误,一类错误不是接受错误的假设么

NO.PZ2023100703000036

问题如下:

Basel II requires a backtest of a bank’s internal value at risk (VaR) model (IMA). Assume the bank’s ten-day 99% VaR is $1 million (minimum of 99% is hard-wired per Basel). The null hypothesis is: the VaR model is accurate. Out of 1,000 observations, 25 exceptions are observed (we saw the actual loss exceed the VaR 25 out of 1000 observations).

选项:

A.We will probably call the VaR model good (accurate) but we risk a Type I error.

B.We will probably call the VaR model good (accurate) but we risk a Type II error.

C.We will probably call the model bad (inaccurate) but we risk a Type I error.

D.We will probably call the model bad (inaccurate) but we risk a Type II error.

解释:

The probability of 25 or more exceptions will only be observed 1 – 99.996%. So, we reject the model. Null = good model. To decide the model is bad model is to reject null and this implies a risk of type I error.

为什么拒绝了原假设反而会犯一类错误,一类错误不是接受错误的假设么

1 个答案
已采纳答案

李坏_品职助教 · 2024年11月03日

嗨,从没放弃的小努力你好:


你记反了。


拒绝一个真命题:一类错误。

接受一个假命题:二类错误。


现在是要拒绝原假设,如果原假设是真命题,也就是拒绝了真命题,所以是一类错误。

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