| 极值分布的极大似然估计及计算机实现 |
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| 引用本文： | 尚英姿,安润秋. 极值分布的极大似然估计及计算机实现[J]. 河北师范大学学报(自然科学版), 2006, 30(6): 643-646 |
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| 作者姓名： | 尚英姿 安润秋 |
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| 作者单位： | 西安交通大学,管理学院,陕西,西安,710049;河北经贸大学,数学与统计学学院,河北,石家庄,050011;唐山学院,基础部,河北,唐山,063000 |
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| 摘 要： | 极值分布在计量经济学、金融工程、计算生物学、工程测量中都有用途,一般常用最小二乘法估计其参数,但最小二乘法的误差较高.极大似然估计具有比最小二乘法更好的性质,但由于它的计算往往比较麻烦.通过极大似然法估计了极值分布的参数,同时给出了求参数的数值解的算法,并通过Matlab程序实现了这一算法.
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| 关 键 词： | 极值分布 极大似然估计 算法 |
| 文章编号： | 1000-5854（2006）06-0643-04 |
| 收稿时间： | 2005-03-10 |
| 修稿时间： | 2005-03-102006-02-12 |
Maximum Likelihood Estimation of the Parameters of the Extreme Value Distribution and Computer Implementation |
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| SHANG Ying-zi,AN Run-qiu. Maximum Likelihood Estimation of the Parameters of the Extreme Value Distribution and Computer Implementation[J]. Journal of Hebei Normal University, 2006, 30(6): 643-646 |
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| Authors: | SHANG Ying-zi AN Run-qiu |
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| Abstract: | Extreme value large set of independent, ident There are lots of application ment. Usually people use least higher error. Instead, by using value distributions parameters distributions are often used to model the smallest or largest value among a ically distributed random values representing measurements or observations. in quantitative economics, finance, bioinformaties and engineering measuresquares to estimate the parameters. Unfortunately, least squares method has maximum likelihood estimation,a numerical method to estimate the extreme is developed and this algorithm in Matlab is implemented. |
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| Keywords: | extreme value distribution maximum likelihood estimation algorithm |
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