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 Law of Large Number (WLLN) or Law of Large Number (LLN) Criterion for the WLLN Example - Let X be symmetric with tail for some constant c0 Check condition Conflict The Strong Law of Large Numbers - SLLN Strong Law of Large Number (SLLN) Criterion for the SLLN The Central Limit Theorem - Application Glivenko-Cantelli theorem(the empirical DF) Marcinkiewicz-Zygmund theorem Common Statistical Distributions – the Moments The mean or Expectation The k-th moment Variance The standard deviation Mode Median α-quantile P-interquantile rangle Function of Random – g(X) Common Statistical Distributions – the Moments - Combinatorial Functions the factorial function the binomial coefficient the multinomial coefficient the Catalan numbers the Fibonacci numbers the Fibonacci polynomials Fibonacci the harmonic numbers the harmonic numbers of order r Combinatorial Functions the Bernoulli polynomials the Bernoulli the Euler polynomials the Euler numbers the Genocchi numbers Stirling numbers of 1rst Stirling numbers of 2nd Combinatorial Functions The partition function - PartitionsP[n] gives the number of ways of writing the integer n as a sum of positive integers, without regard to order. PartitionsQ[n] gives the number of ways of writing n as a sum of positive integers, with the constraint that all the integers in each sum are distinct. The signature function gi