We are excited to announce that the repository will soon undergo an upgrade, featuring a new look and feel along with several enhanced features to improve your experience. Please be on the lookout for further updates and announcements regarding the launch date. We appreciate your support and look forward to unveiling the improved platform soon.
dc.contributor.author | Visagie, I.J.H. (Jaco)![]() |
|
dc.date.accessioned | 2019-08-08T07:07:03Z | |
dc.date.available | 2019-08-08T07:07:03Z | |
dc.date.issued | 2018-09 | |
dc.description | This research was done as part of the author’s doctoral studies under the supervision of Prof. F. Lombard. The author would like to sincerely thank Prof. Lombard for his guidance. | en_ZA |
dc.description.abstract | Many-multi parameter distributions have limit cases containing fewer parameters. This paper demonstrates that, when fitting distributions to data realized from a distribution resembling one of these limit cases, the parameter estimates obtained vary wildly between estimators. Special attention is paid to the modelling of financial log-returns. Two classes of estimators are used in order to illustrate the behaviour of the parameter estimates; the maximum likelihood estimator and the empirical characteristic function estimator. This paper discusses numerical problems associated with the maximum likelihood estimator for certain distributions and proposes a solution using Fourier inversion. In addition to simulation results, parameter estimates are obtained by fitting the normal inverse Gaussian and Meixner distributions to smooth bootstrap samples from the log-returns of the Dow Jones Industrial Average index are included as examples. | en_ZA |
dc.description.department | Statistics | en_ZA |
dc.description.librarian | am2019 | en_ZA |
dc.description.sponsorship | The National Research Foundation (NRF) and the DST-NRF Centre of Excellence in Mathematical and Statistical Sciences (CoE-MaSS). | en_ZA |
dc.description.uri | http://www.iapress.org/index.php/soic/index | en_ZA |
dc.identifier.citation | Visagie, I.H.J. 2018, 'On parameter estimation in multi-parameter distributions', Statistics, Optimization and Information Computing, vol. 6, pp. 452-467. | en_ZA |
dc.identifier.issn | 2311-004X (print) | |
dc.identifier.issn | 2310-5070 (online) | |
dc.identifier.other | 10.19139/soic.v6i3.583 | |
dc.identifier.uri | http://hdl.handle.net/2263/70912 | |
dc.language.iso | en | en_ZA |
dc.publisher | International Academic Press | en_ZA |
dc.rights | © 2018 International Academic Press | en_ZA |
dc.subject | Maximum likelihood estimator | en_ZA |
dc.subject | Empirical characteristic function estimator | en_ZA |
dc.subject | Fourier inversion | en_ZA |
dc.subject | Normal inverse Gaussian distribution | en_ZA |
dc.subject | Meixner distribution | en_ZA |
dc.subject | Log-returns | en_ZA |
dc.title | On parameter estimation in multi-parameter distributions | en_ZA |
dc.type | Article | en_ZA |