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1635统计简单derivationshort

Estimating a Three-Point Shock Model from Even Moments

题目

A stylized inventory-shock model assumes the one-step PnL jump XX takes values a-a, 00, and +a+a with probabilities p/2p/2, 1p1-p, and p/2p/2, respectively, where a>0a>0 is unknown.

From data, the empirical second moment is 22 and the empirical fourth moment is 1010.

Use the method of moments to estimate pp and aa.

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你的答案

a

p