楼主: ahixyz
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[CFA] 求教P Sample Questions #147 [推广有奖]

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ahixyz 发表于 2010-7-22 13:12:57
我又查了一些资料,现在回答一下自己的问题,请大家看看是否正确。

In general, for any exponentially distributed ramdom variable X with mean k,
for d>0, (T-d| T>d) is also exponentially distributed with mean k,

E(X-d| X>d) =k, Var(X-d| X>d)=k^2, E((X-d)^2| X>d) =2k^2.
E(X| X>d) =k+d, Var(X| X>d)=k^2, E(X^2| X>d)=(k+d)^2+k^2.

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