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TFM_CAF_Martos Ramirez_2023.pdf (439.55 KB)

Document type

Master thesis

Publication date

2023

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cc-by-nc-nd (c) Martos Ramírez, 2023
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/199800

Parameter Estimation Optimization for the Sarmanov Distribution: A Comparative Analysis of Strategies

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Abstract

This study focuses on the optimization of parameter estimation for the Sarmanov distribution, aiming to enhance the fit of the modeling with real data. A comparative analysis of different strategies is conducted to identify the most effective approaches. The research explores the use of partial derivatives associated with those parameters that are directly linked to the dependency structure and statistical techniques to estimate these parameters with a higher precision. By evaluating and comparing the results obtained from these strategies, valuable insights are gathered regarding their performance and applicability. The findings contribute to the optimization of the parameter estimation methods for the Sarmanov distribution, leading to improve its modeling and opening new fields of investigation.

Description

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2022-2023, Tutor: Catalina Bolancé Losilla

Subject

Estimació d'un paràmetre, Teoria de distribucions (Anàlisi funcional), Programació dinàmica, Treballs de fi de màster

Subject (English)

Parameter estimation, Theory of distributions (Functional analysis), Dynamic programming, Master's theses

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Màster Oficial - Ciències Actuarials i Financeres (CAF)

Citation

MARTOS RAMÍREZ, Albert. Parameter Estimation Optimization for the Sarmanov Distribution: A Comparative Analysis of Strategies. [consulted: 11 of June of 2026]. Available at: https://hdl.handle.net/2445/199800

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