近似


11

我随便读了一篇经济学文章,对具有以下近似值:log(E(X))

log(E(X))E(log(X))+0.5var(log(X))

如果X是对数正态的(我知道),作者说的就是正确的。

我不知道如何得出这种近似值。我尝试计算二阶泰勒逼近,而我想到的只是这个表达式:

log(E(X))E(log(X))+0.5var(X)E(X)2

Answers:


14

通过Delta方法,RV函数的方差大约等于RV方差乘以在平均值处求值的平方导数。因此

var(log(X))1[E(X)]2var(X)

就在那里。您的推论当然是正确的。

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