Multidimensional Alpha Stable Distribution in Model Parameter Estimation Algorithms

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F17%3A00316546" target="_blank" >RIV/68407700:21340/17:00316546 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Multidimensional Alpha Stable Distribution in Model Parameter Estimation Algorithms

Original language description

Solving optimization problem with a multidimensional objective function is the tra- ditional task of operational research. Both multimodality and nonsmoothness of the objective function are typical difficulties when searching for the global optimum. To improve the search effectiveness in non-adaptive algorithms as well as the ability to leap away from local optima, the so called Levy flights are often used. The Levy flights are random non-Gaussian step sizes following alpha stable distribution. How- ever, this random variable is very difficult to be generated in the multivariatal case, the step size generation procedure has never been treated accordingly so far. To examine the effectiveness of the general usage of this possibility, the goal of this paper is to introduce the multivariate alpha stable random variable step size generation technique into several novel optimization algorithms. Our approach then is used to estimate pa- rameters of generalized hyperbolic distribution with the use of maximum likelihood estimation method for returns of Czech stock market index PX from 2000 to 2017. As this task is almost unsolvable for traditional optimization methods, the results we obtained are quite promising.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

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Continuities

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mathematical Methods in Economics MME 2017

ISBN

978-80-7435-678-0

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

384-389

Publisher name

Univerzita Hradec Králové

Place of publication

Hradec Králové

Event location

Hradec Králové

Event date

Sep 13, 2017

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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