非对称三参数广义误差分布的参数估计及应用

O213; 针对实际数据的尖峰厚尾和非对称特性,通过在广义误差分布中加入偏度参数,同时分别引入两个参数控制左尾和右尾,构造了一个新的非对称三参数广义误差分布.本文首先研究了该分布的基本性质,包括累积分布函数、分位数函数及各阶原点矩等,并给出了随机变量的抽样方法;其次分别给出了用矩估计、极大似然方法和贝叶斯估计法来估计该分布参数的步骤,并通过马尔科夫链蒙特卡罗方法生成的模拟数据验证比较了这3种方法;最后将该分布应用于两组实际数据中,利用非对称三参数广义误差分布对尖峰厚尾非对称的数据进行拟合....

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Published in华东理工大学学报（自然科学版） Vol. 48; no. 3; pp. 411 - 418
Main Authors 张文清, 钱夕元
Format Journal Article
LanguageChinese
Published 华东理工大学数学学院,上海 200237 01.06.2022
Subjects
非对称广义误差分布
贝叶斯推断
非对称数据
尖峰厚尾
Online AccessGet full text
ISSN1006-3080
DOI10.14135/j.cnki.1006-3080.20210308001

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Abstract O213; 针对实际数据的尖峰厚尾和非对称特性,通过在广义误差分布中加入偏度参数,同时分别引入两个参数控制左尾和右尾,构造了一个新的非对称三参数广义误差分布.本文首先研究了该分布的基本性质,包括累积分布函数、分位数函数及各阶原点矩等,并给出了随机变量的抽样方法;其次分别给出了用矩估计、极大似然方法和贝叶斯估计法来估计该分布参数的步骤,并通过马尔科夫链蒙特卡罗方法生成的模拟数据验证比较了这3种方法;最后将该分布应用于两组实际数据中,利用非对称三参数广义误差分布对尖峰厚尾非对称的数据进行拟合.
AbstractList O213; 针对实际数据的尖峰厚尾和非对称特性,通过在广义误差分布中加入偏度参数,同时分别引入两个参数控制左尾和右尾,构造了一个新的非对称三参数广义误差分布.本文首先研究了该分布的基本性质,包括累积分布函数、分位数函数及各阶原点矩等,并给出了随机变量的抽样方法;其次分别给出了用矩估计、极大似然方法和贝叶斯估计法来估计该分布参数的步骤,并通过马尔科夫链蒙特卡罗方法生成的模拟数据验证比较了这3种方法;最后将该分布应用于两组实际数据中,利用非对称三参数广义误差分布对尖峰厚尾非对称的数据进行拟合.
Author 钱夕元
张文清
AuthorAffiliation 华东理工大学数学学院,上海 200237
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QIAN Xiyuan
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贝叶斯推断
非对称数据
尖峰厚尾
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