Parameter estimation of the WMTD model-中国期刊网

摘要 TheMTD(mixturetransitiondistribution)modelbasedonWeibulldistribution(WMTDmodel)isproposedinthispaper,whichisaimedatitsparameterestimation.AnEMalgorithmforestimationisgivenandshowntoworkwellbysomesimulations.Andbootstrapmethodisusedtoobtainconfidenceregionsfortheparameters.Finally,theresultsofarealexample-predictingstockprices-showthattheWMTDmodelproposedisabletocapturethefeaturesofthedatafromthick-taileddistributionbetterthanGMTD(mixturetransitiondistribution)model.

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Parameter estimation of the WMTD model

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Parameter estimation of the WMTD model

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