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H. · 2020年04月10日

是不是所有学过的参数检验的前提就是一定要符合正态分布？

  1. CFA I
  2. Quantitative

问题如下：

An analyst is examining the monthly returns for two funds over one year. Both funds’ returns are non-normally distributed. To test whether the mean return of one fund is greater than the mean return of the other fund, the analyst can use:

选项：

A.

a parametric test only.

B.

a nonparametric test only.

C.

both parametric and nonparametric tests.

解释：

B is correct.

There are only 12 (monthly) observations over the one year of the sample and thus the samples are small. Additionally, the funds’ returns are non-normally distributed. Therefore, the samples do not meet the distributional assumptions for a parametric test. The Mann–Whitney U test (a nonparametric test) could be used to test the differences between population means

是不是所有学过的参数检验的前提就是一定要符合正态分布？不符合的就是非参数检验，这样理解对吗？

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1 个答案

星星_品职助教 · 2020年04月10日

同学你好，

不一定非要正态分布，其余例如t分布等也很常见。这道题只是因为非正态总体又是小样本数据所以无法使用参数分布，才只能用非参数分布。

参数分布和非参数分布的差异这点视频里有总结。

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