Estimação dos parâmetros da mistura de duas componentes GEV via algoritmo EM

Authors

  • Cira Etheowalda Guevara Otiniano Universidade de Brasília
  • C. E. G. Teixeira Departamento de Estatistica, Universidade de Braslia

DOI:

https://doi.org/10.5540/tema.2014.015.01.0059

Abstract

Modelos probabilísticos de misturas finitas dedistribuições cujas componestes são as densidades de ValorExtremal Generalizado  tem uma ampla aplicabilidade em diversasáreas como finanças e hidrologia. Neste trabalho, os estimadoresdos parâmetros da mistura de duas componentes GEV são obtidos viao algoritmo EM. Apresentamos também ilustrações numéricas docomportamento dos estimatadores obtidos através de simulação MonteCarlo.

Author Biography

Cira Etheowalda Guevara Otiniano, Universidade de Brasília

Departamento de estatística-UnB, Probabilidade e Processos Estocásticos

References

C. Escalante-Sandoval, A Mixed distribution with EV1 and GEV components for analyzing heterogeneous samples,{ Ingeniería Investigación y Tecnología 8.}, {3}(2007), 123-133.

G. J. McLachlan, K. E. Basford, ``Mixture models ''. Marcel Dekker,

NewYork, 1988.

G. J. McLachlan, D. Peel, `` Finite mixture models ''.Wiley,

NewYork, 2000.

D. M. Titterington, A. M. F. Smith, U.E. Makov, `` Statistical analysis

of finite mixture distributions''. Wiley, NewYork, 1985.

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Published

2014-04-09

How to Cite

Guevara Otiniano, C. E., & Teixeira, C. E. G. (2014). Estimação dos parâmetros da mistura de duas componentes GEV via algoritmo EM. Trends in Computational and Applied Mathematics, 15(1), 059–071. https://doi.org/10.5540/tema.2014.015.01.0059

Issue

Vol. 15 No. 1 (2014)

Section

Original Article

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