最小统计量法选择分布函数的统计模拟分析

The Statistical Simulation Analysis of the Minimal Statistics Method Selecting the Distribution Function

作为质量管理中最为基础的日常性工作和质量决策重要依据的质量评价问题往往涉及到多种以随机变量形式出现的质量指标的计算.而质量指标的准确评价取决于对质量指标随机变量的概率分布规律的准确把握.为此,阐述了最小统计量法选择分布函数的基本原理和具体算法,并在此基础上以工程中常用的三种典型分布为例,通过统计模拟,分析了该方法用于质量评价所产生的影响.

This article analyses the volatility of China＇ s stock market using ARMA - EGARCH - M model based on GED（ Generalized Error Distribution） assumption to get the characteristics of leptokurtosis, fat- tail, volatility clustering and asymmetric, the empirical result shows that, compared with the GARCH models based on ND （Normal Distribution）, the model based on GED assumption performs better on getting the characteristics of the volatility of China＇ s stock market,and some profound reasons for the volatility on empirical results are given.