Interview Question

Quantitative Analyst Interview

-New York, NY

Morgan Stanley

What's the best unbiased estimator for a series random variables?

Answer

Interview Answers

5 Answers

14

It is the OLS estimator (with Gauss-Markov approximations and normality), by Fisher's theorem on Maximum Likelihood Estimators.

kurrek on

0

It didn't mention linear. if it's linear, then ols. if not, CEF, conditional expectation function.

Anonymous on

0

It didn't mention linear. if it's linear, then ols. if not, CEF, conditional expectation function.

phoebe on

1

I guess it is just a Gaussian distribution (Normal dist.), since it has the smallest uncertainty (from quantum point of view) or variance.

PJ on

3

I guess it is just a Gaussian distribution (Normal dist.). Since it has the smallest uncertainty (from quantum point of view) or variance.

PJ on

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