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Quantitative Finance · Begrippenlijst

Wat is Estimator, unbiased, consistent, standard error?

Ook bekend als: estimator · unbiased estimator · consistent estimator · standard error

Definition 11.1 Quantitative Methods · Hoofdstuk 11 — Estimation

An estimator θ^n\hat\theta_n of a parameter θ0\theta_0 is a function of the data X1,…,XnX_1, \dots, X_n. It is an unbiased estimator if E[θ^n]=θ0\E[\hat\theta_n] = \theta_0, and a consistent estimator if θ^n→Pθ0\hat\theta_n \xrightarrow{\P} \theta_0 as n→∞n \to \infty. Its standard error se(θ^n)\mathrm{se}(\hat\theta_n) is (an estimate of) its standard deviation.

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