About: Approximated maximum likelihood estimation of parameters of discrete stable family

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this article we propose a method of parameters estimation for the class of discrete stable laws. Discrete stable distributions form a discrete analogy to classical stable distributions and share many interesting properties with them such as heavy tails and skewness. Similarly as stable laws discrete stable distributions are defined through characteristic function and do not posses a probability mass function in closed form. This inhibits the use of classical estimation methods such as maximum likelihood and other approach has to be applied. We depart from the H-method of maximum likelihood suggested by Kagan (1976) where the likelihood function is replaced by a function called informant which is an approximation of the likelihood function in some Hilbert space. For this method only some functionals of the distribution are required, such as probability generating function or characteristic function. We adopt this method for the case of discrete stable distributions and in a simulation study show the performance of this method. In this article we propose a method of parameters estimation for the class of discrete stable laws. Discrete stable distributions form a discrete analogy to classical stable distributions and share many interesting properties with them such as heavy tails and skewness. Similarly as stable laws discrete stable distributions are defined through characteristic function and do not posses a probability mass function in closed form. This inhibits the use of classical estimation methods such as maximum likelihood and other approach has to be applied. We depart from the H-method of maximum likelihood suggested by Kagan (1976) where the likelihood function is replaced by a function called informant which is an approximation of the likelihood function in some Hilbert space. For this method only some functionals of the distribution are required, such as probability generating function or characteristic function. We adopt this method for the case of discrete stable distributions and in a simulation study show the performance of this method. (en)
Title	Approximated maximum likelihood estimation of parameters of discrete stable family Approximated maximum likelihood estimation of parameters of discrete stable family (en)
skos:prefLabel	Approximated maximum likelihood estimation of parameters of discrete stable family Approximated maximum likelihood estimation of parameters of discrete stable family (en)
skos:notation	RIV/00216208:11320/14:10284117!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP203/12/0665)
http://linked.open...iv/cisloPeriodika	6
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Klebanov, Lev Slámová, Lenka
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	3927
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10284117
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	maximum likelihood; parameter estimation; discrete stable distribution (en)
http://linked.open.../riv/klicoveSlovo	maximum likelihood parameter estimation discrete stable distribution
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[26296AB91AC2]
http://linked.open...i/riv/nazevZdroje	Kybernetika
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Molecular resonances and their dynamics
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	50
http://linked.open...iv/tvurceVysledku	Klebanov, Lev Slámová, Lenka
issn	0023-5954
number of pages	12 (xsd:int)
http://localhost/t...ganizacniJednotka	11320

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