The likelihood of various stock market return distributions .2. Empirical results
The likelihood of various stock market return distributions .2. Empirical results
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DOI：
10.1007/bf00056154
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发表时间：
1996-11-01
影响因子：
4.7
通讯作者：
Usmen, N
中科院分区：
文献类型：
--
作者：
Markowitz, HM;Usmen, N
本文展示了贝叶斯主义者应该如何在给定特定样本的情况下改变有关标准普尔 500 指数每日变化概率分布的一系列模型的信念。本期的前一篇文章表明，经典（Rk Fisher、Neyman-Pearson）推理对于贝叶斯学派来说可能具有高度误导性，扩散先验的假设也是如此。本文讨论了如何一般性地限制复合假设的贝叶斯信念转变，以及特定样本所隐含的简单和复合假设之间信念的具体转变。
The present article shows how Bayesians should shift beliefs among a family of models concerning the probability distribution of daily changes in the Standard & Poor 500 Index, given a particular sample. The preceding article in this issue showed that classical (Rk Fisher, Neyman-Pearson) inference can be highly misleading for Bayesians, as can the assumption of a diffuse prior. The present article discusses how to bound Bayesian shifts in belief for compound hypotheses generally, as well as the specific shifts in beliefs among simple and compound hypotheses implied by the particular sample.