CFA二级公式表.pdf

CFA 公式表-Level II Quantitative Methods 1. Simple Linear Regression Cov Correlation: r xy xy (sx )(sy ) r n 2 t-test for r (df = n-2): t 1r2 Cov Estimated slope coefficient: 2xy  x ˆ ˆ Estimated intercept: b y b x 0 1 ^ Confidence interval for predicted Y-value: y t SE of forecast c 2. Multiple Regression Y b (b X ) (b X ) (b X )  i 0 1 1i 2 2i 3 3i i  Test statistical significance of b; H :b 0 0 ˆ b ,  1 t df n k s b Reject h0 if | t |critical t or p-value  ˆ  Confidence Interval: b (t s ) j c b j  SST = RSS+SSE  MSR = RSS/k  MSE = SSE / (n-k-1)  Test statistical significance of regression: F = MSR / MSE with df k and n-k-1 (1-tail)  Standard error of estimate ( SEE MSE ), Smaller SEE means better fit.  Coefficient of determination ( R 2 RSS / SST ). % of variability of Y explained by X’s; Higher R2 means bet