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10 chapter 11

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Unformatted text preview: te the population means of the daily closing prices in the two sample periods by μ X and μ Y . Test the null hypothesis: H0 : μ X = μ Y population means are equal against the one‐sided alternative hypothesis: H1 : μ X < μ Y higher mean in the second sample period That is, test: H0 : μ X − μ Y = 0 H1 : μ X − μ Y < 0 against The sample means and variances for the closing prices in the two 2 2 sample periods are denoted by x , y and s x , s y . By using the statistical results given in the lecture notes for Chapter 9.2 a test statistic is calculated as: t= x−y 2 2 s s + nx ny 2 where s is the pooled sample variance constructed by combining all the observations in the two sample periods: s= 2 ( n x − 1) s 2 + ( n y ...
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