Duration Distributions

[poypoyan]

Duration Distributions

[poypoyan]

There seems to be 2 ways:

1. Parametric estimators (e.g. Maximum Likelihood Estimation (MLE))
   Sample: https://www.statsmodels.org/devel/dev/generated/statsmodels.base.model.GenericLikelihoodModel.html
   Pros: If correct prob. distribution is chosen, estimate has minimum error (see Cramér–Rao lower bound).
   Cons: You have to guess the "correct" prob. distribution. If incorrect prob. distribution is chosen, very inaccurate.

2. Non-parametric estimators (e.g. Kernel Density Estination (KDE))
   Sample: https://github.com/tommyod/KDEpy
   Pros: You don't have to guess the "correct" prob. distribution.
   Cons: Less interpretable than MLE. May need more sample size than MLE.

I need to study this more. Closing this for now.