کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
416737 681398 2006 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation of quantile mixtures via L-moments and trimmed L-moments
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Estimation of quantile mixtures via L-moments and trimmed L-moments
چکیده انگلیسی

Moments or cumulants have been traditionally used to characterize a probability distribution or an observed data set. Recently, L-moments and trimmed L-moments have been noticed as appealing alternatives to the conventional moments. This paper promotes the use of L-moments proposing new parametric families of distributions that can be estimated by the method of L-moments. The theoretical L-moments are defined by the quantile function i.e. the inverse of cumulative distribution function. An approach for constructing parametric families from quantile functions is presented. Because of the analogy to mixtures of densities, this class of parametric families is called quantile mixtures. The method of L-moments is a natural way to estimate the parameters of quantile mixtures. As an example, two parametric families are introduced: the normal-polynomial quantile mixture and the Cauchy-polynomial quantile mixture. The proposed quantile mixtures are applied to model monthly, weekly and daily returns of some major stock indexes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 2, 15 November 2006, Pages 947–959
نویسندگان
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