| Citation: | Han Liyan, Cai Mingsheng, Yin Liboet al. Approximation by normal distribution with covering width based EM estimation[J]. Journal of Beijing University of Aeronautics and Astronautics, 2013, 39(5): 655-659. (in Chinese)
|
| [1] |
Kim Y S,Rachev S T,Bianchi M L,et al.Financial market models with levy process and time-varying volatility[J].Journal of Banking & Finance,2008,32(7):1363-1378
|
| [2] |
Longin F.The asymptotic distribution of extreme stock market returns[J].Journal of Business,1996,69(7):383-408
|
| [3] |
Nolan J P.Stabledistributions:models for heavy-tailed data[M].Verlag:Birkhauser,2003
|
| [4] |
Mantegna R N,Buldyrev S V,Goldberger A L,et al.Linguistic features of noncoding DNA sequences[J].Physical Review Letters,1994,73(23):3169-3172
|
| [5] |
Koponen Ismo.Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process[J].Phys Rev E,1995,52:1197-1199
|
| [6] |
Gupta H M,CampanhaJ R.The gradually truncated Lévy flight for systems with power-law distributions[J].Physica A:Statistical Mechanics and Its Applications,1999,268(1):231-239
|
| [7] |
Matsushita R,Rathie P,Silva S D.Exponentially damped Lévy flights[J].Physica A:Statistical Mechanics and Its Applications,2003,326(3):544-555
|
| [8] |
Gleria I,Figueiredo A,Matsushita R,et al.Exponentially damped Lévy flights,multiscaling and slow convergence in stock markets[J].Physica A:Statistical Mechanics and Its Applications,2004,342(1):200-206
|
| [9] |
陈启欢.中国股票市场收益率分布曲线的实证[J].数理统计与管理,2002,21(5):9-11
Chen Qihuan.The curve of stock market yield in China[J].Journal of Application of Statistics and Management,2002, 21(5): 9-11 (in Chinese) |
| [10] |
王新宇,宋学峰.拟合中国股票市场收益的统计分布[J].系统工程理论与实践,2006(12):40-46
Wang Xinyu,Song Xuefeng.A study on describing the statistical distribution of returns in Chinese stock markets[J].Systems Engineering-Theory & Practice,2006(12):40-46(in Chinese) |
| [11] |
都国雄,宁宣熙.我国股市收益概率分布的统计特性分析[J].中国管理科学,2007,15(5):16-22
Du Guoxiong,Ning Xuanxi.Statistical properties of probability distributions of returns in Chinese stock markets[J].Chinese Journal of Management Science,15(5):16-22(in Chinese) |
| [12] |
黄德龙,杨晓光.中国证券市场股指收益分布的实证分析[J].管理科学学报,2008,11(1):68-77
Huang Delong,Yang Xiaoguang.Empirical study on distributions of stock index returns in China's securities market[J].Journal of Management Sciences in China,2008,11(1):68-77 (in Chinese) |
| [13] |
James S.A compound events model for security prices[J].The Journal of Business,1967,40(3):317-335
|
| [14] |
Praetz P.The distribution of share price changes[J].Journal of Business,1972,45(1):49-55
|
| [15] |
Blattberg,R C,Nicholas J G.A comparison of the stable and student distributions as statistical models for stock prices[J].Journal of Business,1974,47(2):244-280
|
| [16] |
赵希男,崔海波.确定金融资产收益率分布形式的一种方法[J].数量经济技术经济研究,2004(9):56-63
Zhao Xi-nan,Cui Haibo.A kind of methods to determining return distributions of financial assets[J].Quantitative & Technical Economics,2004(9):56-63(in Chinese) |
| [17] |
Dempster,Nan Laird,Donald Rubin.Maximum likelihood from incomplete data via the EM algorithm[J].Journal of the Royal Statistical Society:Series B,1977,39(1):1-38
|
| [18] |
熊明,谢民育.均值混合正态分布统计量的性质[J].数学物理学报,2009(3):685-690
Xiong Ming,Xie Minyu.The properties of the mean-mixture of normal distribution[J].Acta Mathematica Scientia,2009(3):685-690(in Chinese) |
| [19] |
Caudill S B.A partially adaptive estimator for the censored regression model based on a mixture of normal distributions[J].Statistical Methods and Applications,2012,21:121-137
|
Copyright © Journal of Beijing University of Aeronautics and Astronautics
Address: Editorial Department of Journal of Beijing University of Aeronautics and Astronautics, 37 Xueyuan Road, Haidian District, Beijing Post Code: 100191 Email: jbuaa@buaa.edu.cn
Supported by:
Beijing Renhe Information Technology Co., Ltd.
DownLoad: