Bimodality testing of the stochastic cusp model
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00507386" target="_blank" >RIV/67985556:_____/15:00507386 - isvavai.cz</a>
Nalezeny alternativní kódy
RIV/00216208:11320/15:10320974
Výsledek na webu
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DOI - Digital Object Identifier
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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Bimodality testing of the stochastic cusp model
Popis výsledku v původním jazyce
Multimodal distributions are popular in many areas: biology (fish and shark population), engineering (material collapse under pressure, stability of ships), psychology (attitude transitions), physics (freezing of water) etc. There were a few attempts to utilize multimodal distributions in financial mathematics as well. Cobb et al. described a class of multimodal distributions belonging to the exponential family, which has unique maximum likelihood estimators and showed a connection to the stationary distribution of the stochastic cusp catastrophe model. Moreover was shown, how to identify bimodality for given parameters of the stochastic cusp model using the sign of Cardans discriminant. A statistical test for bimodality of the stochastic cusp model using maximum likelihood estimates is proposed in the paper as well as the necessary condition for bimodality which can be used for s simplified testing to reject bimodality. By proposed methods is tested the bimodality of exchange rate between USD and GBP in the periods within the years 1975 - 2014.
Název v anglickém jazyce
Bimodality testing of the stochastic cusp model
Popis výsledku anglicky
Multimodal distributions are popular in many areas: biology (fish and shark population), engineering (material collapse under pressure, stability of ships), psychology (attitude transitions), physics (freezing of water) etc. There were a few attempts to utilize multimodal distributions in financial mathematics as well. Cobb et al. described a class of multimodal distributions belonging to the exponential family, which has unique maximum likelihood estimators and showed a connection to the stationary distribution of the stochastic cusp catastrophe model. Moreover was shown, how to identify bimodality for given parameters of the stochastic cusp model using the sign of Cardans discriminant. A statistical test for bimodality of the stochastic cusp model using maximum likelihood estimates is proposed in the paper as well as the necessary condition for bimodality which can be used for s simplified testing to reject bimodality. By proposed methods is tested the bimodality of exchange rate between USD and GBP in the periods within the years 1975 - 2014.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
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OECD FORD obor
10103 - Statistics and probability
Návaznosti výsledku
Projekt
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Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2015
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015
ISBN
978-80-261-0539-8
ISSN
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e-ISSN
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Počet stran výsledku
6
Strana od-do
888-893
Název nakladatele
University of West Bohemia, Plzeň
Místo vydání
Plzeň
Místo konání akce
Cheb
Datum konání akce
9. 9. 2015
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
000387898900152