QUESTION 1

Normal distribution parameters were estimated from the data set that contains 38 observations. When assessing the goodness of fit of the estimated distribution to the data using Chi square test, what should be the degrees of freedom parameter of the chi square distribution?

2

36

37

38

QUESTION 2

Chi square goodness of fit test can only be used when the distribution is known, and not estimated from data

Agree

Disagree

QUESTION 3

Off-diagonal elements of Ledoit Wolf shrinkage estimator's target matrix F are

average pair-wise correlation of the sample estimator

ones

undefined

zeros

QUESTION 4

Shrinkage constant "delta" of Ledoit Wolf estimator is a parameter that needs to be set by a user

Agree

Disagree

QUESTION 5

Pairwise correlation may lead to non positive definite covariance matrix and have no other advantages over skipping observations with missing variables, therefore it should not be used to calculate covariance matrix

Agree

Disagree

QUESTION 6

Unit roots are roots of characteristic polynomial of AR(p) process, where roots are equal to 1

Agree

Disagree

QUESTION 7

Stationary AR(p) process has a very long memory

Agree

Disagree

QUESTION 8

The expected value of the random walk process h steps estimated at time ZERO ahead is equal to last observed value, therefore it is stationary process.

Agree

Disagree

QUESTION 9

Explosive AR(1) process is non stationary because autoregressive coefficient is greater than 1

Agree

Disagree

QUESTION 10(more than one answer)

AR(1) process y(t) = 0.1+1.1 y(t-1)+e(t) is (pick all applicable):

stationary because constant is 0.1, less than 1

explosive

stationary

causal

QUESTION 11

PCA can only be applied to a dataset which is driven by a few hidden factors

Yes

No

QUESTION 12

Second principal component of PCA is always a "slope"

True

False