ABSTRACT
A scrutiny analysis of the COVID-19 data is required to get insights into effective strategies for pandemic control. However, there is a gap between official data and methods used to assess the effectiveness of the potential measures, which was partly addressed in an editorial-letter-type discussion on the impact of the COVID-19 passport in Lithuania. The therein-applied descriptive statistics method provides only limited evidence, while detailed analysis requires more sensitive and reliable methods. In this regard, this paper advocates a maximum likelihood compartmental modeling approach, which provides the flexibility to raise various hypotheses about infection, recovery, and mortality dynamics and to find the most likely answers given the data. Our paper is based on COVID-19 deaths, which are more reliable and essential than infection cases. It should also be noted that officially collected data are unsuitable for in-depth analyses, including compartmental modeling, as they do not capture important information. Overall, this paper does not aim to solve the underlying problems completely but rather stimulate a discussion.
ABSTRACT
The paper extends the study of applying the mixed-stable models to the analysis of large sets of high-frequency financial data. The empirical data under review are the German DAX stock index yearly log-returns series. Mixed-stable models for 29 DAX companies are constructed employing efficient parallel algorithms for the processing of long-term data series. The adequacy of the modeling is verified with the empirical characteristic function goodness-of-fit test. We propose the smart-Δ method for the calculation of the α-stable probability density function. We study the impact of the accuracy of the computation of the probability density function and the accuracy of ML-optimization on the results of the modeling and processing time. The obtained mixed-stable parameter estimates can be used for the construction of the optimal asset portfolio.
