跳到主要內容

簡易檢索 / 詳目顯示

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:14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.

    摘要 i Abstract ii l 􀀀 iii Contents iv 1 Introduction 1 2 Exponent estimations based on kernel density estimators 3 3 Exponent estimations based on empirical distribution function 29 4 Conclusions 37 References 38 Appendix 1 40 Appendix 2 41 Appendix 3 44

    [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.

    QR CODE
    :::