Value-at-Risk

Value-at-Risk Theory and Practice

The first advanced book on value-at-risk

Chapter 2, Page 83
Exercise 15

Use ordinary least squares to fit a linear polynomial

[2.111]

to the five points indicated in Exhibit 2.13.


k

1	(1, 4)	0.55
2	(2, 3)	2.17
3	(2, 5)	4.31
4	(4, 2)	3.32
5	(6, 3)	6.51

Exhibit 2.13 Point set for Exercise 2.14.

Solution

Let

[s1]

We have:

[s2]

and:

[s3]

Applying [2.103], we obtain:

[s4]

and

[s5]