For an estimator based on n data points, with a decay factor of , prove that the half life, h, is given by h In(0 5 0 58 ) In(8)...

For an estimator based on n data points, with a decay factor of , prove that the

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For an estimator based on n data points, with a decay factor of π, prove that the half-life, h, is given by: image text in transcribed

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Quantitative Financial Risk Management

ISBN: 9781119522201,9781119522263

1st Edition

Authors: Michael B. Miller

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Question Posted: Apr 16, 2024 07:00 AM

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For an estimator based on n data points, with a decay factor of , prove that the

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h= In(0.5 +0.58") In(8)

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Quantitative Financial Risk Management

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