一同学2018-09-21 16:11:32

John, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 97.5% of the time due to her skill and not luck. To support her claim, she presents regression results based on 60 monthly observations as follows: alpha = 0.43%, standard error of alpha = 0.21% Would you reject the null hypothesis of true α = 0 and accept her claim of superior... 老师您好！我想问一下，这道题到底置信区间是多少？他说97.5%的概率下，他的优异表现是源自于能力不是运气。我的理解是，他的表现好，那么应该是单尾的97.5%，而右侧的尾巴是2.5%，而不看亏损的一侧。做假设检验时，95%的置信区间恰好表示了左右两边各2.5%的情况，因此，置信区间应该是-1.96到1.96。