Melnick
Statistics and Data Analysis
Assignment 7
ABC TRANSISTOR CORPORTION
The ABC Transistor Corporation ships out transistor in lots of 12. 10% of all
transistors produced are defective. ABC promises to repair any defectives which are shipped
out. It a
Melnick
Statistics and Data Analysis
Assignment 6
VALUING FINANCIAL OPTIONS WITH THE EXPECTED VALUE OPERATOR
A stock has a current selling price of $20. The distribution of the price of the stock one
year from now is believed to be as follows:
Price x
Pr
Melnick
Statistics and Data Analysis
Assignment 14
OPTIUM ALLOCATIONS OF INVESTMENTS B
The joint distribution of the rates of return on an equity fund (X) a money market fund
(Y) and an income fund (Z) has a multivariate normal distribution with the follo
Melnick
Statistics and Data Analysis
Assignment 8
BOND DEFAULT RATES
A firm has a portfolio of the following 50 bonds with the corresponding annual default
rates. The default rates apply to the population of all bonds.
Bond Classification
A
BBB
BB
B
Numbe
Melnick
Statistics and Data Analysis
Assignment 15
CENTRAL LIMIT THEOREM EXERCISE
Construct three histograms using 5000 observations for each experiment.
Experiment 1:
x N 10,16
Experiment 2:
Experiment 3:
x Bi n 20, p 0.1
x Bi n 20, p 0.5
Minitab Instr
Melnick
Statistics and Data Analysis
Assignment 13
OPTIMUM ALLOCATION OF INVESTMENTS A
The joint distribution of the rates of return (in %) of an equity fund (X) and a money
market fund (Y) is given as follows:
XY
0
5
10
15
1. Show that
5
0
0
.2
.2
6
0
0
Extensions of Multivariate Regression Model
Dummy Variables
Many regressions may contain qualitative explanatory variables, also called
dummy or categorical variables since they indicate dierent categories (e.g.,
ethnical groups, regions in the US, partie
Alternative Estimators under Heteroscedasticity
GLS Estimator
As we already seen the OLS is ine cient under heteroscedasticity. Then,
ve
what is the e cient estimator? It turns out that the most e cient estimator is
the generalized least squares estimator
Multiple Regression Model
Motivation and Interpretation
Motivation. Economists often need to estimate and test hypotheses about
the joint eect of several variables on the dependent variable. For instance,
economists may be interested in testing the consta
Simple Regression Model
Specication and Assumptions
Suppose we have a population of objects characterized by two random variables
- (y; x): We want to investigate the relationship between y and x. In other
words, we would like to "explain y in terms of x"
Point Estimation. Methods for Constructing Point
Estimators
1
Random Samples and Distribution Functions
Denition 1 A population is a group of objects (e.g., individuals, households,
rms, cities, states, countries etc.) whose numerical feature, X; is descr
Chapter 13
Additional Topics in
Regression Analysis
Ch. 13-1
Dummy Variable Models
(More than 2 Levels)
n
n
Consider a categorical variable with K levels
The number of dummy variables needed is one
less than the number of levels, K 1
n
Example:
y = house
Chapter 12
Multiple Regression
Ch. 12-1
12.1
The Multiple Regression Model
Idea: Examine the linear relationship between
one dependent (Y) & 2 or more independent variables (Xi)
Multiple Regression Model with k Independent Variables:
Y-intercept
Populatio
Chapter 11
Simple Regression
Ch. 11-1
Purpose of Regression Analysis
n
The purpose of regression analysis is to:
n
n
Predict the value of a dependent variable based on
the value of at least one independent variable
Explain the impact of changes in an inde
Chapter 7
Estimation: Single Population
Ch. 7-1
Definitions
7.1
n
An estimator of a population parameter is
n
n
n
a random variable that depends on sample
information . . .
whose value provides an approximation to this
unknown parameter
A specific value o
Chapter 6
Sampling and
Sampling Distributions
Ch. 6-1
Tools of Business Statistics
6.1
n
Descriptive statistics
n
n
Collecting, presenting, and describing data
Inferential statistics
n
Drawing conclusions and/or making decisions
concerning a population ba