Název: Bimodality testing of the stochastic cusp model
Autoři: Voříšek, Jan
Typ dokumentu: Příspěvky z konference
Konference/Akce: Mathematical Methods in Economics 2015 /33./, Cheb (CZ), 2015-09-09 / 2015-09-11
Rok: 2015
Jazyk: eng
Abstrakt: 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.
Klíčová slova: multimodal distributions; statistical bimodality test; stochastic cusp model
Číslo projektu: GA402/09/0965 (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, ISBN 978-80-261-0539-8

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2019/E/vorisek-0507386.pdf
Původní záznam: http://hdl.handle.net/11104/0298682

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-399088


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference