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A researcher finds that the following pdf fits the daily returns for a portfolio manager, f(x|01, 02) = (0/T)1/2 exp(-02 (x-100*9;}? ), where x and 0, can be negative or positive and 02is positive. a. What are the MLES for 0, and 0,? b. What is the likelihood ratio statistic to test Ho: 0, = 0 vs H;: 0, 0? c. Is the likelihood ratio statistic a function of a statistic with a known distribution?

A researcher finds that the following pdf fits the daily returns for a portfolio manager, f(x|01, 02) = (0/T)1/2 exp(-02 (x-100*9;}? ), where x and 0, can be negative or positive and 02is positive. a. What are the MLES for 0, and 0,? b. What is the likelihood ratio statistic to test Ho: 0, = 0 vs H;: 0, 0? c. Is the likelihood ratio statistic a function of a statistic with a known distribution?

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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A researcher finds that the following pdf fits the daily returns for a portfolio manager, f(x|01, 02) = (0/T)/2 exp(-02 (x-100*0,}? ), where x and 0, can be negative or positive and 0, is positive. a. What are the MLES for 0, and 0,? а. b. What is the likelihood ratio statistic to test Ho: 0, = 0 vs H,: 0, # 0? c. Is the likelihood ratio statistic a function of a statistic with a known distribution?
Transcribed Image Text:A researcher finds that the following pdf fits the daily returns for a portfolio manager, f(x|01, 02) = (0/T)/2 exp(-02 (x-100*0,}? ), where x and 0, can be negative or positive and 0, is positive. a. What are the MLES for 0, and 0,? а. b. What is the likelihood ratio statistic to test Ho: 0, = 0 vs H,: 0, # 0? c. Is the likelihood ratio statistic a function of a statistic with a known distribution?
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