What is Confidence interval in FRM Part 1?

A range computed from sample data by a procedure designed to contain the true parameter at a stated long-run frequency. A 95% confidence level describes the method’s repeated-sample coverage, not a 95% probability assigned to a fixed parameter after calculation.

Confidence interval

FRM Part 1 glossary · Quantitative Analysis

Definition

A range computed from sample data by a procedure designed to contain the true parameter at a stated long-run frequency.

Confidence interval in plain English

A 95% confidence level describes the method’s repeated-sample coverage, not a 95% probability assigned to a fixed parameter after calculation.

Learn these first

Bootstrapping (term structure)
Monte Carlo simulation

Practice Confidence interval

An analyst reports a 95% confidence interval for a hedge… Based on this interval, can the null hypothesis H_0: β_1 =…

Related FRM Part 1 terms

Bayes' theorem
Bootstrapping (term structure)
Central limit theorem
Copula
Exponentially weighted moving average (EWMA)
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Heteroskedasticity
Monte Carlo simulation
Ordinary least squares (OLS)
p-value

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