| 研究生: |
周宗翰 Tsung-han Chou |
|---|---|
| 論文名稱: |
單峰穩定型分布之冪數的經驗分布及核密度函數估計法 Exponent Estimations for Unimodal Stable Distribution based on Empirical Distributions and Kernel Density Estimators |
| 指導教授: |
許玉生
Yu-sheng Hsu |
| 口試委員: | |
| 學位類別: |
碩士 Master |
| 系所名稱: |
理學院 - 數學系 Department of Mathematics |
| 畢業學年度: | 95 |
| 語文別: | 英文 |
| 論文頁數: | 44 |
| 中文關鍵詞: | 經驗分布 、密度函數估計式 、冪數 、穩定型分布 |
| 外文關鍵詞: | stable distributions, empirical distributions, kernel density estimators, exponent |
| 相關次數: | 點閱:13 下載:0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
穩定型分布之冪數因未出現於密度函數或分布函數,故不易估計,本文介紹一些估計冪數的方法。我們發現,單峰穩定型分布之冪數為密度函數或分布函數之泛函,故可由核密度函數估計式或經驗分布估計之。我們將討論這些估計式的性質及應用。
The collection of stable distributions is a particular class of distributions studied in probability and statistics. Let $X,X_1,ldots,X_k$ denote a sequence of i.i.d. random variables with a common distribution $R$. If for all positive integer $k$, $X$ and $frac{X_1+cdots+X_k}{k^alpha}$ have the same distribution for
some constant $alpha$, then $R$ is a stable distribution with exponent $frac{1}{alpha}$. It is difficult to estimate exponent $alpha$ since $alpha$ does not appear in probability density function. The purpose of this paper is to study some estimators of $alpha$ and their applications. We find that under unimodal assumption $alpha$ is a functional of probability density function
or distribution function. Consequently, $alpha$ can be estimated by kernel density estimators or empirical distributions.
[1] M. Alexandersson(2001). On the existence of the stable birth-type distribution in a general branching process cell cycle modal with unequal cell division, Journal of Applied Probability. Volume 38, Number 3, 685-695.
[2] T. W. Anderson(1984). An Introduction to Multivariate Statistical Analysis, 2nded., Wiley.
[3] M. Csorgo, S. Csorgo, L. Horvath and D. M.Mason(1986). Normal and Stable Convergence of Integral Functions of the Empirical Distribution Function, The Annals of Probability. Volume 14, Number 1, 86-118.
[4] R. A. Doney(1987). On Wiener-Hopf Factorisation and the Distribution of Extrema for Certain Stable Processes, The Annals of Probability. Volume 15, Number 4, 1352-1362.
[5] A. Dudin and O. Semenova(2004). A stable algorithm for stationary distribution calculation for a BMAP/SM/1 queueing system with Markovian arrival input of disasters, Journal of Applied Probability. Volume 41, Number 2, 547-556.
[6] W. H. DuMouchel(1973). On the Asymptotic Normality of the Maximum-Likelihood Estimate when Sampling from a Stable Distribution, The Annals of Statistics. Volume 1, Number 5, 948-957.
[7] W. Feller(1971). An Introduction to Probability Theory and Its Applications. Vol2, 2nded., Wiley.
[8] W. N. Hudson and J. D. Mason(1981). Operator-Stable Distribution on R2 with Multiple Exponents, The Annals of Probability. Volume 9, Number 3, 482-489.
[9] R. LePage, M. Woodroofe and J. Zinn(1981). Convergence to a Stable Distribution Via Order Statistics, The Annals of Probability. Volume 9, Number 4, 624-632.
[10] Y. X. Liao(2002). Kernel density estimations of stable distribution. Master thesis, Department of Mathematics, National Center University.
[11] S. S. Mitra(1981). Distribution of Symmetric Stable Laws of Index 2¡n, The Annals of Probability. Volume 9, Number 4, 710-711.
[12] A. Nagaev and A. Zaigraev(2005). New large-deviation local theorems for sums of independent and identically distributed random vectors when the limit distribution is astable, Bernoulli. Volume 11, Number 4, 665-687.
[13] A. Pagan and A. Ullah(1999). Nonparametric Economatrics, Cambridge University Press.
[14] J. Pitman and M. Yor(1997). The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator, The Annals of Probability. Volume 25, Number 2, 855-900.
[15] S. C. Port(1970). The Exit Distribution of an Interval for Completely Asymmetric Stable Processes, The Annals of Mathematical Statistics. Volume 41, Number 1, 39-43.
[16] B. L. S. Prakasa Rao(1983). Nonparametric Functional Estimation.
[17] B. W. Silverman(1986). Density Estimation for Statistics and Data Analysis, Chapman and Hall.
[18] R. A. Tapia and J. R. Thompson(1977). Nonparametric Probability Density Estimation, Johns Hopkins University Press.
[19] S. J. Wolfe(1972). A Note on the Complete Convergence of Stable Distribution Functions, The Annals of Mathematical Statistics. Volume 43, Number 1, 363-364.