Warianty tytułu
The Use of Computer Simulations in the Estimation of Certain Econometric and Statistical Models
Języki publikacji
Abstrakty
W pracy zaprezentowano zastosowanie symulacji komputerowych w modelowaniu ekonometrycznym i w metodach statystycznych związanych z badaniem rozkładów stóp zwrotu indeksów giełdowych.
This work investigates the application of computer simulations to particular econometric and statistical models. Chapter Two examines the parameter estimation of two nonlinear models applied to the description of certain time series, namely, the logistic and exponential functions. Chapter Three discusses the modeling of the distribution of stock indexes return rates by means of the following distributions: normal, Laplace, GED, a-stable and Student. Subsequently, classic methods for the parameter estimation of these distributions are reviewed, namely, the maximum likelihood, moments and logarithmic moments methods. Chapter Four is devoted to certain issues concerning the use of the R/S analysis. Computer simulations show that the so called Peters' empirical correction applied to the Anis - Lloyd's formula is unfounded. Furthermore, attention is drawn to an inaccuracy imbedded in the following statement: a random number series with the normal distribution has the Hurst exponent of the value H = 0,5. (short original abstract)
Czasopismo
Rocznik
Numer
Strony
218
Opis fizyczny
Twórcy
autor
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000000015326