APPLIED STAT.IN BUS.+ECONOMICS
6th Edition
ISBN: 9781259957598
Author: DOANE
Publisher: RENT MCG
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Chapter 9.2, Problem 6SE
To determine
Explain the consequences of a false positive in a weekly inspection of a nuclear plant’s cooling system.
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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).
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• 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
APPLIED STAT.IN BUS.+ECONOMICS
Ch. 9.2 - If you repealed a hypothesis test 1,000 times (in...Ch. 9.2 - Define Type I and Type II errors for each...Ch. 9.2 - A firm decides to test its employees for illegal...Ch. 9.2 - A hotel installs smoke detectors with adjustable...Ch. 9.2 - What is the consequence of a false negative in an...Ch. 9.2 - Prob. 6SECh. 9.3 - A manufacturer claims that its compact fluorescent...Ch. 9.3 - Prob. 8SECh. 9.3 - Prob. 9SECh. 9.3 - The average age of a part-time seasonal employee...
Ch. 9.3 - Prob. 11SECh. 9.3 - Prob. 12SECh. 9.4 - Find the zcalc test statistic for each hypothesis...Ch. 9.4 - Prob. 14SECh. 9.4 - Prob. 15SECh. 9.4 - Prob. 16SECh. 9.4 - Green Beam Ltd. claims that its compact...Ch. 9.4 - The mean potassium content of a popular sports...Ch. 9.4 - Calculate the test statistic and p-value for each...Ch. 9.4 - Determine the p-value for each test statistic. a....Ch. 9.4 - Procyon Mfg. produces tennis balls. Weights are...Ch. 9.4 - The mean arrival rate of flights at OHare Airport...Ch. 9.4 - Prob. 23SECh. 9.4 - The Scottsdale fire department aims to respond to...Ch. 9.4 - The lifespan of xenon metal halide arc-discharge...Ch. 9.4 - Discuss the issues of statistical significance and...Ch. 9.4 - The target activation force of the buttons on a...Ch. 9.5 - Find the tcalc test statistic for each hypothesis...Ch. 9.5 - Find the critical value of Students t for each...Ch. 9.5 - Find the critical value of Students t for each...Ch. 9.5 - Find the tcalc test statistic for each hypothesis...Ch. 9.5 - Estimate the p-value as a range using Appendix D...Ch. 9.5 - Prob. 33SECh. 9.5 - Prob. 34SECh. 9.5 - Prob. 35SECh. 9.5 - The manufacturer of an airport baggage scanning...Ch. 9.5 - Prob. 37SECh. 9.5 - The average weight of a package of rolled oats is...Ch. 9.5 - Prob. 39SECh. 9.5 - Prob. 40SECh. 9.5 - Prob. 41SECh. 9.5 - Prob. 42SECh. 9.5 - Prob. 43SECh. 9.6 - Interpret each p-value in your own words: a....Ch. 9.6 - Prob. 45SECh. 9.6 - Prob. 46SECh. 9.6 - May normality of the sample proportion p be...Ch. 9.6 - Prob. 48SECh. 9.6 - In a hospitals shipment of 3,500 insulin syringes,...Ch. 9.6 - Prob. 50SECh. 9.6 - Prob. 51SECh. 9.6 - The recent default rate on all student loans is...Ch. 9.6 - Prob. 53SECh. 9.6 - A Realtor claims that no more than half of the...Ch. 9.6 - BriteScreen, a manufacturer of 19-inch LCD...Ch. 9.6 - Perfect pitch is the ability to identify musical...Ch. 9.7 - A quality expert insects 400 items to test whether...Ch. 9.7 - Prob. 58SECh. 9.7 - For a certain wine, the mean pH (a measure of...Ch. 9.7 - Repeat the previous exercise, using = .05. For...Ch. 9.8 - A sample of size n = 15 has variance s2 = .35. At ...Ch. 9.8 - Prob. 62SECh. 9.8 - A sample of size n = 19 has variance s2 = .1.96....Ch. 9.8 - Prob. 64SECh. 9.8 - Prob. 65SECh. 9 - (a) List the steps in testing a hypothesis, (b)...Ch. 9 - (a) Explain the difference between the null...Ch. 9 - (a) Why do we say fail to reject H0 instead of...Ch. 9 - (a) Define Type I error and Type II error. (b)...Ch. 9 - (a) Explain the difference between a left-tailed...Ch. 9 - Prob. 6CRCh. 9 - Prob. 7CRCh. 9 - (a) Why do we prefer low values for and ? (b) For...Ch. 9 - Prob. 10CRCh. 9 - Prob. 11CRCh. 9 - (a) Explain what a p-value means. Give an example...Ch. 9 - Prob. 13CRCh. 9 - (a) What does a power curve show? (b) What factors...Ch. 9 - (a) In testing a hypothesis about a variance, what...Ch. 9 - Suppose you always reject the null hypothesis,...Ch. 9 - Suppose the judge decides to acquit all...Ch. 9 - High blood pressure, if untreated, can lead to...Ch. 9 - A nuclear power plant replaces its ID card...Ch. 9 - A test-preparation company advertises that its...Ch. 9 - Prob. 71CECh. 9 - Prob. 72CECh. 9 - Prob. 73CECh. 9 - Pap smears are a test for abnormal cancerous and...Ch. 9 - Prob. 75CECh. 9 - Prob. 76CECh. 9 - Malcheon Health Clinic claims that the average...Ch. 9 - The sodium content of a popular sports drink is...Ch. 9 - A can of peeled whole tomatoes is supposed to...Ch. 9 - At Ajax Spring Water, a half-liter bottle of soft...Ch. 9 - Prob. 81CECh. 9 - Prob. 82CECh. 9 - A U.S. dime weighs 2.268 grams when minted. A...Ch. 9 - A coin was flipped 60 times and came up heads 38...Ch. 9 - Prob. 85CECh. 9 - Prob. 86CECh. 9 - Prob. 87CECh. 9 - Prob. 88CECh. 9 - Prob. 89CECh. 9 - Prob. 90CECh. 9 - Prob. 91CECh. 9 - Prob. 92CECh. 9 - The average service time at a Noodles Company...Ch. 9 - Prob. 94CECh. 9 - Prob. 95CECh. 9 - Beer shelf life is a problem for brewers and...Ch. 9 - Prob. 97CECh. 9 - Prob. 99CECh. 9 - Prob. 100CECh. 9 - Prob. 101CECh. 9 - Prob. 102CECh. 9 - An experimental medication is administered to 16...Ch. 9 - The historical on-time percentage for Amtraks...Ch. 9 - After 7 months, none of 238 angioplasty patients...Ch. 9 - A certain brand of flat white interior latex paint...Ch. 9 - Prob. 107CECh. 9 - Prob. 108CECh. 9 - Prob. 109CE
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- 3 (Sharpe-ratio) Suppose that X1, X2,..., is a lognormal geometric random walk with parameters (μ, o²). Specifically, suppose that X = Xo exp(rı + ...Tk), where Xo is a fixed constant and r1, T2, ... are IID N(μ, o²). Find the Sharpe-ratios of rk and log(Xk) — log(Xo) respectively, assuming the risk free return is 0.arrow_forwardi need help with question 2arrow_forward4 (Value-at-Risk and Expected Shortfall) Suppose X Find VaR0.02(X) and ES0.02 (X). ~ Uniform(-1, 1).arrow_forward
- 亚 ח Variables Name avgdr employ educ exerany Label AVG ALCOHOLIC DRINKS PER DAY IN PAST 30 EMPLOYMENT STATUS EDUCATION LEVEL EXERCISE IN PAST 30 DAYSarrow_forwardVariables Name wage hours IQ KWW educ exper tenure age married black south urban sibs brthord meduc feduc Label monthly earnings average weekly hours IQ score knowledge of world work score years of education years of work experience years with current employer age in years =1 if married =1 if black =1 if live in south =1 if live in SMSA number of siblings birth order mother's education father's educationarrow_forwardInformation for questions 4 • • Please Download "wages" from Canvas (the link to this dataset is right below the HWA1 questions - it is a Microsoft excel worksheet) and store it in your favorite folder. It contains 797 observations and 16 variables. The "state" variable gives the names of the states involved in this dataset. • You need to have excel on your computer to open this dataset. i. You should use File > Import > Excel Spreadsheet etc. as done in class 3 convert this file into a Stata dataset. Once you are done, write the final STATA code that makes the transformation of an excel file to a STATA file possible. ii. Write a code that will close the log file that has been open since Question 1 part ii.arrow_forward
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- 0 n AM RIES s of of 10 m Frequency 40 Frequency 20 20 30 10 You make two histograms from two different data sets (see the following figures), each one containing 200 observations. Which of the histograms has a smaller spread: the first or the second? 40 30 20 10 0 20 40 60 0 20 20 40 60 60 80 80 100 80 100arrow_forwardTIP the aren't, the data are not sym 11 Suppose that the average salary at a certain company is $100,000, and the median salary is $40,000. a. What do these figures tell you about the shape of the histogram of salaries at this company? b. Which measure of center is more appro- priate here? c. Suppose that the company goes through a salary negotiation. How can people on each side use these summary statistics to their advantage? 6360 be 52 PART 1 Getting Off to a Statistically Significant Sarrow_forward12 Suppose that you know that a data set is skewed left, and you know that the two measures of center are 19 and 38. Which figure is the mean and which is the median?arrow_forward
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