Assignment 8

Nonparametric Statistics

宋春林

Group 2; ID: 201328006310005

Question Description

股票的波动程度可以用来衡量投资的风险。取同一年11月和12月的前10个交易日的股票样本数据如下：

11月：1149,1169,1152,1183,1173,1169,1130,1152,1120,1171;

12月：1116,1147,1135,1125,1184,1125,1192,1174,1164,1180.

问：这两段时间的股票指数的波动程度是否一样（α=0.05）？

H0：波动程度一样

Ha：波动程度不一样

α=0.05

R Code

N <- c(1149, 1169, 1152, 1183, 1173, 1169, 1130, 1152, 1120, 1171)
D <- c(1116, 1147, 1135, 1125, 1184, 1125, 1192, 1174, 1164, 1180)
wilcox.test(N, D, paired = F)

## Warning: cannot compute exact p-value with ties

## 
##  Wilcoxon rank sum test with continuity correction
## 
## data:  N and D
## W = 51, p-value = 0.9698
## alternative hypothesis: true location shift is not equal to 0

data <- data.frame(N, D)
data.frame(N, rank(data$N), D, rank(data$D))

##       N rank.data.N.    D rank.data.D.
## 1  1149          3.0 1116          1.0
## 2  1169          6.5 1147          5.0
## 3  1152          4.5 1135          4.0
## 4  1183         10.0 1125          2.5
## 5  1173          9.0 1184          9.0
## 6  1169          6.5 1125          2.5
## 7  1130          2.0 1192         10.0
## 8  1152          4.5 1174          7.0
## 9  1120          1.0 1164          6.0
## 10 1171          8.0 1180          8.0

Conclusion Statement

P值=0.9698>0.05，因而无法拒绝原假设，认为两个时间段的股票指数的波动程度是一样的。

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