期刊文献+

偏态分布截断参数的经验Bayes检验

Empirical Bayes test for the truncation parameter of skew distribution
下载PDF
导出
摘要 偏态分布是对称分布的一种推广,在实际生活中应用广泛,其中截断参数对界定偏态分布的边界具有重要意义.文中基于经验Bayes检验方法,研究了偏态分布截断参数的假设检验问题.考虑普通Bayes检验中先验密度的未知性和不确定性,利用递归核估计的密度函数代替未知的先验密度函数.定义检验的加权线性损失函数,从而更好地刻画了决策风险.在给定条件下证明了所提出检验函数的渐近最优性,同时给出确定的收敛速度.最后通过实例验证了文中的理论结果. Skew distribution is a kind of generalization of the symmetric distribution and is widely applied in real life,where the truncation parameter to define the boundary of the skew distribution is of great significance.In this study,the empirical Bayes test is discussed for the truncation parameter in the skew distribution.Considering the unpredictability and uncertainty of prior density function in the common Bayes test,the unknown prior density function is estimated by the recursive kernel density function.In order to better characterize the decision risk,the weighted linear loss function of the test is defined.The asymptotic optimality of the proposed test function is proved under given conditions,and the determined convergence rates is given.Finally,the theoretical results are verified by a real example.
作者 刘蕊 谭燕 吴刘仓 LIU Rui;TAN Yan;WU Liu-cang(Faculty of Science,Kunming University of Science and Technology,Kunming 650504,China;Center of Applied Statistics,Kunming University of Science and Technology,Kunming 650504,China)
出处 《高校应用数学学报(A辑)》 北大核心 2024年第1期13-27,共15页 Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金 国家自然科学基金(12261051 11861041) 昆明理工大学学术科技创新基金(2022KJ150) 昆明理工大学哲学社会科学科研创新团队(CXTD2023005)。
关键词 经验BAYES检验 偏态分布 递归核估计 渐近最优性 收敛速度 empirical Bayes test skew distribution recursive kernel estimation asymptotic op-timality convergence rates MR Subject Classification:62C12 62F05
  • 引文网络
  • 相关文献

参考文献9

二级参考文献59

  • 1史建红,王松桂.方差分量的广义谱分解估计[J].高校应用数学学报(A辑),2005,20(1):83-89. 被引量:15
  • 2苏淳,赵林城,王岳宝.NA序列的矩不等式与弱收敛[J].中国科学(A辑),1996,26(12):1091-1099. 被引量:88
  • 3潘建敏.NA序列中心极限定理的收敛速度(英文)[J].应用概率统计,1997,13(2):183-192. 被引量:37
  • 4Dowd K. Assessing VaR accuracy [J]. Derivatives Quarterly, 2000, 6(3): 61-63.
  • 5Mandelbrot B. The variation of certain speculative pricings [J]. Journal of Business, 1963, 36: 394-419.
  • 6Fama E F. The behavior of stock market prices [J]. Journal of Business, 1965, 38: 34-105.
  • 7Blattberg R, Gonedes N. A comparison of stable and student distributions as statistical models for stock prices [J]. Journal of Business, 1974, 47: 244-280.
  • 8Rachev S, Mittnik S. Stable Paretian models in finance [M]. Wiley, 2000.
  • 9Cont R. Empirical properties of asset returns: Stylized facts and statistical issues [J]. Quantitative Finance, 2001, 1: 223-236.
  • 10Lin S K, Wang R H, Fuh C D. Risk management for linear and non-linear assets: A bootstrap method with importance resampling to evaluate value-at-risk [J]. Asia-Pacific Finan Markets, 2006, 13: 261-295.

共引文献68

;
使用帮助 返回顶部