hwk1 - IEOR E4709 Data Analysis for Financial Engineers...

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Solution 1 1. Compute the following probabilities: a If is distributed 2 4 , f nd  ( 7 78) . b If is distributed 10 , f nd  (  2 32) . Solution We can get the answers for Part (a) by the following commands in S-Plus: pchisq(7.78,4) Therefore,  ( 7 78) = 0 9000223 For part (b), we have two methods to solve it. (1) Use 10 9999999 as an approximation: 1-pf(2.32,10,9999999) We get  (  2 32) = 0 010032 . (2) Use connection between F distribution and 2 distribution. ( 10 2 32) = ( 2 10 10 2 32) = 0 01003194 The S-plus code is 1-pchisq(23.2, 10) 2. Download the data from yahoo f nance. Then sort the data in the increasing order of the dates. Import the data into S-Plus as "AMR", "AXP", "ATT", and "IBM". Change the date format. Remarks: (1) ATT was SBC before the merger of the two. (2) AMR has some missing data, as it has 2761 dates, while the others has 2767 dates. Create 4 time series objectives from the last four f les. 1
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hwk1 - IEOR E4709 Data Analysis for Financial Engineers...

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