上财系列金融风险控制与管理QMRProbabilityandstatistics.ppt

Quantitative Risk Management- Probability and Statistics Ming-Heng Zhang? Purpose Essentials of Probability of Statistics Important Distributions Underlying Assumption : X, X1, X2,… is a sequence of iid non-degeneration rvs defined on a probability space [Ω, F, P] with common DF. Cumulative sums Convergence Convergence in probability probability one or always sure Convergence Convergence in mean square in distribution Example - Convergence Relationship Inequality Chebyshev’s Inequality Makov’s Inequality Ergodic theorem/遍历性 Weak Law of Large Numbers - WLLN Weak L