Skew-symmetric distributions with natural skewness and their applications to financial engineering
| Project/Area Number |
25330050
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | The Institute of Statistical Mathematics |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
ABE TOSHIHIRO 南山大学, 理工学部, 准教授 (70580570)
NINOMIYA YOSHIYUKI 九州大学, 数理学研究院, 准教授 (50343330)
TSUBAKI HIROE 統計数理研究所, データ科学研究系, 教授 (30155436)
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| Project Period (FY) |
2013-04-01 – 2017-03-31
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| Project Status |
Completed (Fiscal Year 2016)
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| Budget Amount *help |
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2013: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
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| Keywords | 非対称分布 / 金融工学 / 自然な歪み / 歪正規分布 / 最尤推定 / EMアルゴリズム / 潜在変数 / ロバスト推定 / 自然な歪度 |
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| Outline of Final Research Achievements |
A typical asymmetric distribution is a skew-symmetric distribution. It was proposed about 30 years ago, but it still remains to be representative. However, it includes a well-known drawback; when the skew parameter increases, the skewness does not always increase. To overcome this drawback, we have constructed a novel asymmetric distribution with a natural skew parameter and extended it to a multivariate case. We have also proposed a method for effectively generating random numbers. We are now considering a parameter estimation algorithm.
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Report
(5 results)
Research Products
(16 results)
