test-statistic
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Inconsistent test-statistic formula between Jorion (Market Risk) and Bodie (Investments)
Why is it that the test stat for VaR backtesting (Jorion) equals the sample estimate minus the population estimate divided by the standard error, while in Bodie, it equals the sample estimate times (n^.5) divided by the standard error? In other words - Jorion: (actual exceptions - expected...- kchristo
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- test-statistic
- Replies: 2
- Forum: P2.T9. Risk Management and Investment Management
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YouTube T2-10 Test of sample mean (Confidence interval, test statistic and p-value)
The explores the answer to Miller's EOC Question #2: "You are given the following sample of annual returns for a portfolio manager. If you believe that the distribution of returns has been stable over time and will continue to be stable over time, how confident should you be that the portfolio...- Nicole Seaman
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- confidence-interval p-value sample-mean t-statistic test-statistic youtube
- Replies: 0
- Forum: P1.T2 Quantitative Analysis