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研究生: 郝飛洋
Hao, Fei-Yang
論文名稱: 探究混合二維卜瓦松模型與混合二維常態模型之關聯
指導教授: 鄭宗記
Cheng, Tsung-Chi
口試委員: 賴弘能
Lai, Hung-Neng
江彌修
Chiang, Mi-Hsiu
學位類別: 碩士
Master
系所名稱: 商學院 - 統計學系
Department of Statistics
論文出版年: 2021
畢業學年度: 109
語文別: 中文
論文頁數: 49
中文關鍵詞: 卜瓦松分配常態分配卜瓦松分配趨近於常態分配雙變量混合
DOI URL: http://doi.org/10.6814/NCCU202101482
相關次數: 點閱:39下載:18
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  • 在估計股票市場事前交易機率(Probability of Informed trading)時, Duarte 和 Young(2009)使用了三個雙變量卜瓦松混合模型,由於參數數量,股票買賣量巨大等問題,導致參數估計的結果不如預期。我們想到在樣本資料符合混合雙變數卜瓦松分配且參數很大時,若使用混合雙變數常態分配模型進行參數估計得到的估計結果,相較於使用混合雙變量卜瓦松分配來估計時,是否也能得到表現良好的結果?本篇論文通過模擬的方式對此問題進行進一步的探討。經過對模擬結果進行分析,我們發現隨著在卜瓦松分配參數增大,常態分配模型與卜瓦松分配模型的參數估計結果越來越接近。


    第一章 緒論 1
    第一節 研究動機與目的 1
    第二節 研究架構 2
    第二章 研究方法 3
    第一節 卜瓦松分配 3
    1 單維度卜瓦松分配 3
    2 二維卜瓦松分配 4
    第二節 混合常態分配 5
    1 混合單維度常態分配 5
    2 混合多維度常態分配 5
    3 EM演算法估計k群m維混合常態分配模型 5
    第三節 混合卜瓦松分配 7
    1 混合單維度卜瓦松分配 7
    2 混合二維度卜瓦松分配 7
    3 EM演算法估計k群混合二維度卜瓦松分配模型 8
    第三章 模擬分析 10
    第一節 混合單維度卜瓦松分配漸進混合常態分配 10
    1.1 模擬目的 10
    1.2 模擬設計 10
    1.3 模擬結果分析 11
    第二節 二維卜瓦松分配漸進二維常態分配 31
    2.1 模擬目的 31
    2.2 模擬設計 31
    2.3 模擬結果分析 32
    第四章 結論 47
    參考文獻 48

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