Assume we have an EWMA estimator with a decay factor of 0.96 and 50 data points. What
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Assume we have an EWMA estimator with a decay factor of 0.96 and 50 data points.
What percentage of the weight is captured with this estimator, compared to an estimator with the same decay factor and an infinite length?
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Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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