The statistical analysis and application of asymmetric three-parameter weibull distribution

Journal of Shanghai Normal University (Natural Sciences)

卷:47

Xu Xiaoling¹  Hu Yinhua¹ 

[1] School of Statistics and Information, Shanghai University of International Business and Economics;

关键词: asymmetric three-parameter Weibull distribution;    shape parameter;    scale parameter;    moment estimation;    MLE;    index return;    KS test;   

DOI  :  10.3969/J.ISSN.1000-5137.2018.01.002

来源: DOAJ

【 摘 要 】

On the basis of two-parameter Weibull distribution,we propose asymmetric three-parameter Weibull distribution which takes values in (-∞,+∞),and study its graphic features of the density function as well as the numerical characteristics of this distribution. In the full sample cases,we offer two moment estimation methods and MLE method to estimate the parameters of the distribution,and study the accuracy of our estimation by using the Monte-Carlo simulation.We choose data of Shanghai Composite Index and Shenzhen Component Index from Jan.4th,2016 to May 6th,2016,and apply the asymmetric three-parameter Weibull distribution model to carry out the empirical analysis on these two market indices of China.We show that the asymmetric three-parameter Weibull distribution model fits well the daily return of Chinese stock market index,and also get the point estimation for relevant parameters at the same time.

【 授权许可】

Unknown