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RSS Feed for Wolfram Community showing any discussions tagged with Economics sorted by active.Get standard errors for MLE of Subbotin Distribution?
https://community.wolfram.com/groups/-/m/t/996166
Hello everyone! :)
I tried to estimate the standard errors of fitted Subbotin (exponential power) distribution parameters which have been calculated with FindDistributionParameters. Therefore I used the bootstrap method:
dist = ExponentialPowerDistribution[a,b,c];data = eurjpylogret;
(*Fit distribution parameters*)Parametersfit = FindDistributionParameters[data, dist]
(*Bootstrapping*)Bootstrapping := {a, b,c} /. FindDistributionParameters[RandomChoice[data, Length@data], dist];
BootEstimates = ParallelTable[Bootstrapping, {10000}];
(*Bootstrapped SD estimation*) BootStd = StandardDeviation /@Transpose[BootEstimates]
Unfortunately I always get the error message when it comes to the standard errors:
NMaximize::cvmit : Failed to converge to the requested accuracy or precision within 100 iterations.
General::stop : Further output of NMaximize::cvmit will be suppressed during this calculation.
And so on (it doesn't run out - I don't get a result).
The data I like to fit a Subbotin to are daily log-returns of the EUR/JPY exchange rate from 2006 to 2016. They look as follows (not complete - example):
{0.00312643, 0.000780082, -0.00750093, -0.000523903, 0.00137466, 0.00398238, 0.0055229, 0.00394478, 0.00257832, -0.00193311, 0.,
-0.00452519, 0.00735914, 0.0033389, -0.000962001, 0.00262728, -0.00102446, 0.00326181, 0.00204121, 0.00527504, 0., -0.010514,
-0.0100432, -0.000841506, 0.00542497, -0.00174053, 0.00752052, -0.00590882, 0.0048837, 0.00172927, -0.00333312, 0.00665517,
0.00216616, 0.00254243, 0.00310569, 0.0002531, -0.00749353, -0.00108422, 0.00629753, 0.00183725, -0.00456767, -0.00267414,
0.00496058, -0.0113565, -0.0018625, 0.00755687, 0.00597928, 0.00240704, -0.000759494, 0.000316526, 0.00353826, -0.00486834,
-0.00961638, 0.00472422, 0.00634882, 0.00567968, 0.000566198, 0.00219884, -0.00408741, -0.00644796, -0.00783119, -0.00660534,
-0.00976311, -0.0195519, 0.0115936, 0.000785597, 0.00788714, 0.00168667, 0.00103654, -0.00194439, -0.00311891, 0.00926322,
0.00341154, 0.00352802, -0.000128074, 0.0031331, 0.00401389, -0.00395006, 0.00255021, 0.00546102, -0.00973631, 0.00236324,
0.00362977, 0.000190676, 0.00747123, 0.00107178, 0.00188857, 0.00658206, -0.000312451, 0.00386751, -0.000435906, 0.00874397,
-0.000926584, -0.00644804, -0.00398879, 0.00820951, -0.00335029, 0.00297859, 0.00346385, 0.00191234, 0.00307674, 0.000368573,
0.00282122, 0.00116297, -0.00195946, 0.000980212, -0.00626538, 0.00036964, 0.00313644, -0.0086335, 0.0098608, 0.000122647,
0.00342802, 0.000794111, -0.0047128, 0.00196127, 0.000918021, 0.00232189, -0.00397493, 0.00183655, 0.00128358, 0.00317131,
-0.00592386, 0.00183587, 0.00152732, 0.00323023, 0.000486677, -0.00457192, -0.00146744, -0.00632234, 0.000923219, 0.0000615176,
-0.000246093, 0.00637882, 0.00524423, 0.00630534, 0., 0.00253516, -0.00229344, 0.00752449, -0.00324364, -0.00259044, -0.00659669,
0.00557071, 0.00614016, 0.000180023, -0.000180023, 0.00143928, 0.00137737, 0.00280874, 0.00333632, -0.00160719, -0.00280388,
0.0059563, 0.00172071, -0.00499228, 0.00136941, 0.00136754, 0.00213675, -0.00118652, -0.00523748, -0.00215054, -0.010037,
-0.00624112}
Can someone please help me? I tried to solve and asked for help in the stackoverflow forum already, however, noone could help me to solve it there.
Thank you in advance!
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