The modified maximum likelihood estimation

If the fields of samples of stock price are made in the following partition:

and the emergence number of price samples in each field:

denoting:

where zmax and zmin are separately the highest price and the lowest price of all samples. By (1) we have approximatively:

(10)

According to the method of maximum likelihood estimation, we have

where,

(11)

combining (9) with (8), We have the following estimate formulas

(12) (13)

where,

In practice, µ and σ² are positive.

 

Prof. Feng Dai, Prof. Zifu Qin

Next: The fiducial test of partial distribution

Summary: Index