论文标题
固定的GE过程及其在分析黄金价格数据中的应用
Stationary GE-Process and its Application in Analyzing Gold Price Data
论文作者
论文摘要
在本文中，我们引入了一个新的离散时间和连续状态空间固定过程$ \ {x_n; n = 1，2，\ ldots \} $，因此$ x_n $遵循两参数的广义指数（GE）分布。已经研究了该新过程的联合分布函数，表征和某些依赖性。 GE过程具有三个未知参数，两个形状参数和一个比例参数，因此，它比现有的指数过程更灵活。在存在比例参数的情况下，如果两个形状参数相等，则可以通过求解一个非线性方程来获得未知参数的最大似然估计器，并且两个形状参数是任意的，则可以通过解决二维优化问题来获得最大似然估计器。 Two {\color{black} synthetic} data sets, and one real gold-price data set have been analyzed to see the performance of the proposed model in practice.最后，已经指出了一些概括。
In this paper we introduce a new discrete time and continuous state space stationary process $\{X_n; n = 1, 2, \ldots \}$, such that $X_n$ follows a two-parameter generalized exponential (GE) distribution. Joint distribution functions, characterization and some dependency properties of this new process have been investigated. The GE-process has three unknown parameters, two shape parameters and one scale parameter, and due to this reason it is more flexible than the existing exponential process. In presence of the scale parameter, if the two shape parameters are equal, then the maximum likelihood estimators of the unknown parameters can be obtained by solving one non-linear equation and if the two shape parameters are arbitrary, then the maximum likelihood estimators can be obtained by solving a two dimensional optimization problem. Two {\color{black} synthetic} data sets, and one real gold-price data set have been analyzed to see the performance of the proposed model in practice. Finally some generalizations have been indicated.
