来自：FRM > 一级 > Quantitative Analysis 2020-11-09 12:52
怎样判断的方差协方差矩阵？
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158****7091
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1899天前
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158****7091
提问
44
上次登录
1899天前
liuxuyao 2020-11-09 14:25
致精进的你:
A matrix is positive-semidefinite if it is internally consistent. Variance and covariance rates must be calculated using the same EWMA or GARCH model and parameters to ensure that a positive-semidefinite model is constructed. For example, if an EWMA model is used with X = 0.90 for estimating variances, the same EWMA model and X should be used to estimate covariance rates.
The real talent is resolute aspirations.
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追问12020-11-13 10:41
那么1000*1000 和3*3是怎样判断的
回答2020-11-13 13:51
同学，这个题目不用做，考纲已经删了，掌握到前半部分就可以了
