统计与决策2024，Vol.40Issue(8)：28-33,6.DOI:10.13546/j.cnki.tjyjc.2024.08.005
一类折叠Gamma分布的尖峰厚尾性质及应用
Sharp Peak and Fat Tail Property of a Type of Folded Gamma Distribution and Its Application
摘要
Abstract
The emergence and expansion of the idea of combinatorial distribution provide an excellent scheme for studying the distribution of realistic data.In view of sharp peak and fat tail property of many data,this paper constructs a folded Gamma distribution with sharp peak and fat tail properties from the Gamma distribution,discusses the nature of the folded Gamma distri-bution,and gives the moment estimation and maximum likelihood estimation of the distribution parameters under the New-ton-Raphson algorithm.Finally,the paper proves the feasibility of the estimation by numerical simulation,and also studies the fit-ting effect of the folded Gamma distribution and the normal distribution by comparing the actual data.The results show that the folded Gamma distribution can better fit the sharp peak and fat tailed data,and that the fitting effect is better with the increase of the data sample size.关键词
折叠Gamma分布/尖峰厚尾/Gamma分布/金融收益率Key words
folded Gamma distribution/sharp peak and fat tail/Gamma distribution/financial yield rate分类
数理科学引用本文复制引用
陈明光,王源昌..一类折叠Gamma分布的尖峰厚尾性质及应用[J].统计与决策,2024,40(8):28-33,6.基金项目
国家自然科学基金资助项目(71163046) （71163046）
国家社会科学基金资助项目(16ZDA041) （16ZDA041）
云南省自然科学基金资助项目(2018RD004) （2018RD004）
