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Some Statistical Properties of Mixture Distribution and Its Applications to Monte Carlo Simulation and Particle Filter
http://hdl.handle.net/11316/00001144
http://hdl.handle.net/11316/0000114447c93a2b-c02e-4cf5-9415-f4a01cb8cb37
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
本文（Article） (653.2 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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| 公開日 | 2019-02-27 | |||||
| タイトル | ||||||
| タイトル | Some Statistical Properties of Mixture Distribution and Its Applications to Monte Carlo Simulation and Particle Filter | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | departmental bulletin paper | |||||
| その他（別言語等）のタイトル | ||||||
| その他のタイトル | Some Statistical Properties of Mixture Distribution and Its Applications to Monte Carlo Simulation and Particle Filter | |||||
| 著者 |
譚, 康融
× 譚, 康融 |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. | |||||
| 書誌情報 |
産業経済研究 en : The journal of the Society for Studies on Industrial Economies 巻 48, 号 2, p. 161-179, 発行日 2007-09-25 |
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| 出版者 | ||||||
| 出版者 | 久留米大学産業経済研究会 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 0389-7044 | |||||
| 書誌レコードID（NCID） | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00098567 | |||||
| 論文ID（NAID） | ||||||
| 識別子タイプ | NAID | |||||
| 関連識別子 | 110007045582 | |||||
