1657统计困难derivationmedium
Optimal Haircut on a Multiplicative Vol Signal
题目
An estimator A is unbiased for theta and satisfies Var(A) = 0.3 theta^2. A risk team reports delta_c = cA instead. Find the value of c that minimizes MSE, and give the minimum MSE as a multiple of theta^2.
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你的答案
c
minimum MSE as a multiple of theta^2