Parameter estimation of the WMTD model
Tóm tắt
The MTD (mixture transition distribution) model based on Weibull distribution (WMTD model) is proposed in this paper, which is aimed at its parameter estimation. An EM algorithm for estimation is given and shown to work well by some simulations. And bootstrap method is used to obtain confidence regions for the parameters. Finally, the results of a real example—predicting stock prices—show that the WMTD model proposed is able to capture the features of the data from thick-tailed distribution better than GMTD (mixture transition distribution) model.
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