Robust identification of linear ARX models with recursive EM algorithm based on Student’s t-distribution

2021 ◽  
Vol 358 (1) ◽  
pp. 1103-1121
Author(s):  
Xin Chen ◽  
Shunyi Zhao ◽  
Fei Liu
Keyword(s):  
Em Algorithm ◽  
Robust Identification ◽  
Student’S T Distribution ◽  
Student’S T ◽  
Student's T Distribution ◽  
T Distribution ◽  
Recursive Em Algorithm

scholarly journals Application of Generalized Student’s T-Distribution In Modeling The Distribution of Empirical Return Rates on Selected Stock Exchange Indexes

2014 ◽  
Vol 13 (2) ◽  
pp. 37-48
Author(s):  
Jan Purczyńskiz ◽  
Kamila Bednarz-Okrzyńska
Keyword(s):  
Stock Exchange ◽  
Likelihood Method ◽  
Return Rates ◽  
Student’S T Distribution ◽  
Warsaw Stock Exchange ◽  
Distribution Parameters ◽  
Student’S T ◽  
Logarithmic Moments ◽  
Student's T Distribution ◽  
T Distribution

Abstract This paper examines the application of the so called generalized Student’s t-distribution in modeling the distribution of empirical return rates on selected Warsaw stock exchange indexes. It deals with distribution parameters by means of the method of logarithmic moments, the maximum likelihood method and the method of moments. Generalized Student’s t-distribution ensures better fitting to empirical data than the classical Student’s t-distribution.

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