FIRST name: LAST name: Section: D1 D2 Problem 5: 16 points You collected 6 years of...
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FIRST name: LAST name: Section: D1 D2 Problem 5: 16 points You collected 6 years of i.i.d. monthly log-returns. You estimate o and find 0.0982. a) 8 points You are not willing to assume that the data is normally distributed, but you are willing to assume that your sample is large. What approximate distribution of ô can you use? Give a 95% confidence interval for o. Show your initial formula and all steps for computations. b) 8 points You are willing to assume normality of the data. What exact distribution can you use, for what quantity? Give an implied 95% confidence interval for o. Show initial formula and all intermediate steps. FIRST name: LAST name: Section: D1 D2 Problem 5: 16 points You collected 6 years of i.i.d. monthly log-returns. You estimate o and find 0.0982. a) 8 points You are not willing to assume that the data is normally distributed, but you are willing to assume that your sample is large. What approximate distribution of ô can you use? Give a 95% confidence interval for o. Show your initial formula and all steps for computations. b) 8 points You are willing to assume normality of the data. What exact distribution can you use, for what quantity? Give an implied 95% confidence interval for o. Show initial formula and all intermediate steps.
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Related Book For
Basic Statistics for the Behavioral Sciences
ISBN: 978-0840031433
6th edition
Authors: Gary W. Heiman
Posted Date:
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