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Original title:
Bimodality testing of the stochastic cusp model
Authors: Voříšek, Jan
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2015 /33./, Cheb (CZ), 2015-09-09 / 2015-09-11
Year: 2015
Language: eng
Abstract: 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.
Keywords: multimodal distributions; statistical bimodality test; stochastic cusp model
Project no.: GA402/09/0965 (CEP)
Funding provider: GA ČR
Host item entry: Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, ISBN 978-80-261-0539-8
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2019/E/vorisek-0507386.pdf
Original record: http://hdl.handle.net/11104/0298682
Permalink: http://www.nusl.cz/ntk/nusl-399088
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Voříšek, Jan
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2015 /33./, Cheb (CZ), 2015-09-09 / 2015-09-11
Year: 2015
Language: eng
Abstract: 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.
Keywords: multimodal distributions; statistical bimodality test; stochastic cusp model
Project no.: GA402/09/0965 (CEP)
Funding provider: GA ČR
Host item entry: Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, ISBN 978-80-261-0539-8
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2019/E/vorisek-0507386.pdf
Original record: http://hdl.handle.net/11104/0298682
Permalink: http://www.nusl.cz/ntk/nusl-399088
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2019-08-26, last modified 2022-09-29