Reading 9: Common Probability Distributions - LOS f, (Part style, black, class

cfaedu

1、In a multivariate normal distribution, a correlation tells the:

A)   strength of the linear relationship between two of the variables.

B)   overall relationship between all the variables.

C)   relationship between the means and variances of the variables.

D)   relationship between the means and standard deviations of the variables.

2、In addition to the usual parameters that describe a normal distribution, to completely describe 10 random variables, a multivariate normal distribution requires knowing the:

A)   45 correlations.

B)   overall correlation.

C)   10 correlations.

D)   20 correlations.

zaestau

 cc

cfaedu

答案和详解如下：

1、In a multivariate normal distribution, a correlation tells the:

A)   strength of the linear relationship between two of the variables.

B)   overall relationship between all the variables.

C)   relationship between the means and variances of the variables.

D)   relationship between the means and standard deviations of the variables.

The correct answer was A)

This is true by definition. The correlation only applies to two variables at a time.

2、In addition to the usual parameters that describe a normal distribution, to completely describe 10 random variables, a multivariate normal distribution requires knowing the:

A)   45 correlations.

B)   overall correlation.

C)   10 correlations.

D)   20 correlations.

The correct answer was A)    

The number of correlations in a multivariate normal distribution of n variables is computed by the formula ((n)*(n-1)) / 2, in this case (10 * 9) / 2 = 45.