2026-03-06T08:13:11Z https://kurume.repo.nii.ac.jp/oai

oai:kurume.repo.nii.ac.jp:00000847 2023-06-19T07:53:03Z 12:34:166

Some Statistical Properties of Mixture Distribution and Its Applications to Monte Carlo Simulation and Particle Filter Some Statistical Properties of Mixture Distribution and Its Applications to Monte Carlo Simulation and Particle Filter 譚, 康融 847 タン, コウユウ 70368968 This paper aims to study some statistical properties of mixture distribution, especiallay on its mean, variance, skewness, and kurtosis. From these properties, we find a mixture distribution can provide an accurate approximate for a probability distribution function for observed data, even for a distribution with heavy tails, excess kurtosis, and finite moments. Sometimes, it is important since these phenomena are well observed in financial markets and some scientific fields. Here, in this paper, we also propose an algorithm to generate random numbers from mixture distribution, and it can be utilized in dealing with Monte Carlo simulation and particle filter under the circumstances of mixture distributions. Furthermore, we propose some algorithms to estimate the structure of particle filter and its parameters based upon Genetic Programming and Genetic Algorithm. departmental bulletin paper 久留米大学産業経済研究会 2007-09-25 application/pdf 産業経済研究 2 48 161 179 The journal of the Society for Studies on Industrial Economies 0389-7044 AN00098567 https://kurume.repo.nii.ac.jp/record/847/files/Sanken48_2_161-179.pdf http://hdl.handle.net/11316/00001144 https://kurume.repo.nii.ac.jp/records/847 eng 110007045582