کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096119 1376505 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The method of simulated quantiles
ترجمه فارسی عنوان
روش کوانتومی شبیه سازی شده
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is useful for situations where the density function does not have a closed form and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with the sample counterparts, which depend on the observations. Since the theoretical quantiles may not be available analytically, the optimization is based on simulations. We illustrate the method with the estimation of α-stable distributions. A thorough Monte Carlo study and an illustration to 22 financial indexes show the usefulness of MSQ.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 172, Issue 2, February 2013, Pages 235-247
نویسندگان
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