- Which of the following statements about type I error is the most accurate one?
A. The probability of type I error is equal to the significance level.
B. The probability of type I error is equal to the power of test.
C. The increase of sample size will not change the probability of type I error.
答案A
Type I and Type II error 是一级Quant里的一个难点。
Type I error是指错误的拒绝正确的 Ho. The probability of type I error 可以是Sinificance level也可以是 P-value.
Power of Test = 1- Probability of Type II Error.B错误。
如果Sample Size N 增大，检验一定会更精确。type I error, type II error 的概率都会减少。C错误。
- Compared with historical simulation, Monte Carlo simulation is most appropriate when:
A. "what if" analysis is required.
B. analytical methods are required.
C. probability distributions are unavailable.
蒙特卡罗模拟法是给定一概率分布，通过不停产生随机数的方法来模拟真实的情况，再根据结果进行分析的模拟方法。蒙特卡罗需要 What-if Analysis和前提的probability distribution。本身就是分析方法因此不需要其他分析方法。
9.Event X and Event Y are independent events. The probability of X is 0.2 [P(X) =0.2] and the probability of Y is 0.5 [P(Y) = 0.5]. The joint probability of X and Y,
P(XY), is closest to:
A 0.7.
B 0.3.
C 0.1.
答案C
Independent events 说明XY相互独立，P(XY)=P(X)*P(Y)
因此0.1
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