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410140980 · 2022年03月04日

怎么判断经验分布的峰度？

  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

老师上课只说了分辨肥尾和瘦尾的方法，这个峰度怎么看？为什么就一定是尖峰肥尾？

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品职答疑小助手雍 · 2022年03月05日

同学你好，QQ图的斜率先小后大，是可以分析出先集中后分散的特点的，也就是尖峰肥尾的特点。判断方法参照上课的方法即可

当然也有矮峰肥尾的分布，不过考试一般都是尖峰肥尾或者矮峰瘦尾。

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