AppliedNumeric answer
Your prior on a strategy’s alpha is normal with mean and standard deviation . A backtest estimates alpha at with standard error . What is the posterior mean, in percent?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Bayesian statistics: conjugacy, shrinkage and credible intervals
More statistics and inference questions
- A hit rate with a prior, part 1 of 3Foundation
- Your prior on a coin is Beta(2,2) and you observe 7 heads in 10 flips.Applied
- What does a 95% credible interval say that a 95% confidence interval does not?Applied
- Your prior on an event rate is Gamma with shape 2 and rate 1 (mean 2 per period).Applied
- A hit rate with a prior, part 2 of 3Applied
- A hit rate with a prior, part 3 of 3Advanced