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題名:NIG分配下之對稱性檢定
書刊名:中國統計學報
作者:張揖平 引用關係洪明欽 引用關係
作者(外文):Chang, Yi-pingHung, Ming-chin
出版日期:2004
卷期:42:3
頁次:頁289-305
主題關鍵詞:NIG分配Wald檢定EM演算法EM algorithmNIG distributionWald test
原始連結:連回原系統網址new window
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本文提出三個Wald檢定探討normal inverse Gaussian (簡稱 NIG) 分配之對稱性檢定問題。由於在NIG分配下的概似函數較為複雜,我們採用Karlis (2002) 在NIG分配下提出之EM 演算法求得最大概似估計值和計算Wald統計量。模擬結果顯示其中一個Wald檢定之模擬型I錯誤機率較接近名目水準,且當分配之不對稱程度增加時,其檢定力亦隨著增加。
In this paper, we propose three Wald tests for symmetry of a NIG distribution. Due to the compliexity of the likelihood, an EM type algorithm proposed by Karlis (2002) is used to find the maximum likelihood estimates of the NIG distribution. The conclusions from the simulation study are that one of the Wald tests is usually able to achieve the desired significance levels, and the testing power increases as the asymmetry increases.
期刊論文
1.Rydberg, T, H.(1997)。The Normal Inverse Gaussian Levy Process: Simulation and Approximation。Communication in Statistical: Stochastic Models,13,887-910。  new window
2.Baxndorff-Nielsen, O. E.(1997)。Normal inverse Gaussian distributions and stochastic volatility modeling。Scandinavian Journal of Statistics,24(1),1-13。  new window
3.Karlis, D.(2002)。An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution。Statistics and Probability Letters,57,43-52。  new window
4.Barndorff-Nielsen, O. E.、Prause, K.(2001)。Apparent scaling。Finance and Stochastics,5(1),103-113。  new window
5.Barndorff-Nielsen, O. E.(1998)。Processes of Normal Inverse Gaussian Type。Finance and Stochastics,2(1),41-68。  new window
6.Lillestøl, J.(2000)。Risk Analysis and the NIG Distribution。Journal of Risk,2(4),41-56。  new window
7.Venter, J. H.、de Jongh, P. J.(2002)。Risk estimation using the normal inverse Gaussian distribution。Journal of Risk,4(2),1-23。  new window
8.Venter, J. H.、de Jongh, R. J.(2004)。Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation。Journal of Risk,6(3),27-52。  new window
9.Dempster, Arthur P.、Laird, Nan M.、Rubin, Donald B.(1977)。Maximum likelihood from incomplete data via the EM algorithm。Journal of the Royal Statistical Society: Series B (Methodological),39(1),1-38。  new window
圖書
1.Serfling, R. J.(1980)。Approximation Theorems of Mathematical Statistics。New York:John Wiley & Sons。  new window
2.Chhikara, R. S.、Folks, J. L.(1989)。The Inverse Gaussian Distribution : Theory, Methodology and Application。New York:Marcel Dekker。  new window
圖書論文
1.Barndorff-Nielsen, O. E.、Blæsid, R.、Jensen, J. L.、Sørensen, M.(1985)。The fascination of sand。A Celebration of Statistics。New York:Springer-Verlag。  new window
 
 
 
 
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