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Autor
Kontek Krzysztof (Artal Investments)
Tytuł
Maximum likelihood estimator for the uneven power distribution : application to DJI returns
Źródło
Department of Applied Econometrics Working Papers, 2010, nr 1, 14 s., rys., bibliogr. 4 poz.
Słowa kluczowe
Ekonometria, Szacowanie prawdopodobieństwa, Metody statystyczne
Econometrics, Probability estimation, Statistical methods
Uwagi
summ.
Abstrakt
This paper deals with estimating peaked densities over the interval [0,1] using the Un-even Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not derived by Kotz and van Dorp, is presented. The UTP is used to estimate the daily return densities of the DJI and stocks comprising this index. As the returns are found to have high kurtosis values, the UTP provides much more accurate estima-tions than a smooth distribution. The paper presents the program written in Mathematica which calculates maximum likelihood estimators for all members of the bounded power dis-tribution family. The paper demonstrates that the UTP distribution may be extremely useful in estimating peaked densities over the interval [0,1] and in studying financial data.(original abstract)
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Bibliografia
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  1. Kontek, K., (2010). Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments, MPRA Paper http://mpra.ub.uni-muenchen.de/22378/, Available at SSRN: http://ssrn.com/abstract=1597203.
  2. Kotz, S., van Dorp, J. R., (2004). Beyond Beta; Other Continuous Families of Distributions with Bounded Support and Applications, World Scientific Publishing, Singapore.
  3. Libby, D. L., Novick, M. R., (1982). Multivariate generalized beta distributions with applications to utility assessment, Journal of Educational Statistics, 7, pp 271-294.
  4. Ruskeepää, H., (2009). Mathematica Navigator, Elsevier Academic Press.
Cytowane przez
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ISSN
2084-4573
Język
eng
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