Statistics for the Behavioral Sciences
2nd Edition
ISBN: 9781452286907
Author: Gregory J. Privitera
Publisher: SAGE Publications, Inc
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Chapter 9, Problem 17CAP
(a)
To determine
Find the test statistic value and make a decision to retain or reject the null hypothesis
(b)
To determine
Find the value of estimated Cohen’s d to compute the effect size.
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A random variable X takes values 0 and 1 with probabilities q and p, respectively, with q+p=1. find the moment generating function of X and show that all the moments about the origin equal p. (Note- Please include as much detailed solution/steps in the solution to understand, Thank you!)
1 (Expected Shortfall)
Suppose the price of an asset Pt follows a normal random walk, i.e., Pt =
Po+r₁ + ... + rt with r₁, r2,... being IID N(μ, o²).
Po+r1+.
⚫ Suppose the VaR of rt is VaRq(rt) at level q, find the VaR of the price
in T days, i.e., VaRq(Pt – Pt–T).
-
• If ESq(rt) = A, find ES₁(Pt – Pt–T).
2 (Normal Distribution)
Let rt be a log return. Suppose that r₁, 2, ... are IID N(0.06, 0.47).
What is the distribution of rt (4) = rt + rt-1 + rt-2 + rt-3?
What is P(rt (4) < 2)?
What is the covariance between r2(2) = 1 + 12 and 13(2) = r² + 13?
• What is the conditional distribution of r₁(3) = rt + rt-1 + rt-2 given
rt-2 = 0.6?
Chapter 9 Solutions
Statistics for the Behavioral Sciences
Ch. 9.3 - Prob. 1.1LCCh. 9.3 - Prob. 1.2LCCh. 9.3 - Prob. 1.3LCCh. 9.3 - Prob. 1.4LCCh. 9.3 - Prob. 1.5LCCh. 9.3 - Prob. 1.6LCCh. 9.4 - Prob. 2.1LCCh. 9.4 - Prob. 2.2LCCh. 9.4 - Prob. 2.3LCCh. 9.5 - Prob. 3.1LC
Ch. 9.5 - Prob. 3.2LCCh. 9.5 - Prob. 3.3LCCh. 9.5 - Prob. 3.4LCCh. 9.5 - Prob. 3.5LCCh. 9.7 - Prob. 4.1LCCh. 9.7 - Prob. 4.2LCCh. 9.7 - Prob. 4.3LCCh. 9.7 - Prob. 4.4LCCh. 9.8 - Prob. 5.1LCCh. 9.8 - Prob. 5.2LCCh. 9.8 - Prob. 5.3LCCh. 9.8 - Prob. 5.4LCCh. 9 - Prob. 1FPCh. 9 - Prob. 2FPCh. 9 - Prob. 3FPCh. 9 - Prob. 4FPCh. 9 - Prob. 5FPCh. 9 - Prob. 6FPCh. 9 - Prob. 7FPCh. 9 - Prob. 8FPCh. 9 - Prob. 9FPCh. 9 - Prob. 10FPCh. 9 - Prob. 11CAPCh. 9 - Prob. 12CAPCh. 9 - Prob. 13CAPCh. 9 - Prob. 14CAPCh. 9 - Prob. 15CAPCh. 9 - Prob. 16CAPCh. 9 - Prob. 17CAPCh. 9 - Prob. 18CAPCh. 9 - Prob. 19CAPCh. 9 - Prob. 20CAPCh. 9 - Prob. 21CAPCh. 9 - Prob. 22CAPCh. 9 - Prob. 23CAPCh. 9 - Prob. 24CAPCh. 9 - Prob. 25CAPCh. 9 - Prob. 26PRCh. 9 - Prob. 27PRCh. 9 - Prob. 28PRCh. 9 - Prob. 29PRCh. 9 - Prob. 30PRCh. 9 - Prob. 31PRCh. 9 - Prob. 32PR
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