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小小悟空yu · 2021年05月10日

b选项evt是非正太分布吗

NO.PZ2016070202000007

问题如下:

Extreme value theory (EVT) provides valuable insight about the tails of return distributions. Which of the following statements about EVT and its applications is incorrect?

选项:

A.

The peaks over threshold (POT) approach requires the selection of a reasonable threshold, which then determines the number of observed exceedances; the threshold must be sufficiently high to apply the theory, but sufficiently low so that the number of observed exceedances is a reliable estimate.

B.

EVT highlights that distributions justified by the central limit theorem (e.g., normal) can be used for extreme value estimation.

C.

EVT estimates are subject to considerable model risk, and EVT results are often very sensitive to the precise assumptions made.

D.

Because observed data in the tails of distribution is limited, EV estimates can be very sensitive to small sample effects and other biases.

解释:

EVT estimates are subject to estimation risk, so statement c. and d. are correct. However, EVT does not apply the central limit theorem (CLT), which states that the average (as opposed to the tail) of i.i.d. random variables is normal.

b选项evt是非正太分布吗
1 个答案

品职答疑小助手雍 · 2021年05月10日

对的,非正态。