Q.2831 Find the weight of an observation 13 days ago if the total number of days in the historical window is 300 with a 0.8 control rate of memory decay. | Financial Risk Manager Part 2 Quiz - LeetQuiz
Financial Risk Manager Part 2
Explanation:
The correct answer is D.
The weight of observation i-days ago is given by:
w(i)=1−λnλi−1(1−λ)
Where n is the number of days in the historical window and λ (or θ) is the control rate of the memory decay,
Therefore:
W(13)=1−0.83000.813−1(1−0.8)≈0.01374
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Q.2831 Find the weight of an observation 13 days ago if the total number of days in the historical window is 300 with a 0.8 control rate of memory decay.
