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Title: 探究混合二維卜瓦松模型與混合二維常態模型之關聯
Authors: 郝飛洋
Hao, Fei-Yang
Contributors: 鄭宗記
Cheng, Tsung-Chi
Hao, Fei-Yang
Keywords: 卜瓦松分配
Date: 2021
Issue Date: 2021-09-02 15:37:18 (UTC+8)
Abstract: 在估計股票市場事前交易機率(Probability of Informed trading)時, Duarte 和 Young(2009)使用了三個雙變量卜瓦松混合模型,由於參數數量,股票買賣量巨大等問題,導致參數估計的結果不如預期。我們想到在樣本資料符合混合雙變數卜瓦松分配且參數很大時,若使用混合雙變數常態分配模型進行參數估計得到的估計結果,相較於使用混合雙變量卜瓦松分配來估計時,是否也能得到表現良好的結果?本篇論文通過模擬的方式對此問題進行進一步的探討。經過對模擬結果進行分析,我們發現隨著在卜瓦松分配參數增大,常態分配模型與卜瓦松分配模型的參數估計結果越來越接近。
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