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Wyświetlanie 1-15 z 37
Tytuł:
A comparison study on a new five-parameter generalized Lindley distribution with its sub-models
Autorzy:
Tharshan, Ramajeyam
Wijekoon, Pushpakanthie
Powiązania:
https://bibliotekanauki.pl/articles/1363562.pdf
Data publikacji:
2020-06-05
Wydawca:
Główny Urząd Statystyczny
Tematy:
Lindley distribution
mixture distributions
size-biased distributions
maximum likelihood estimation
Opis:
In recent years, modifications of the classical Lindley distribution have been considered by many authors. In this paper, we introduce a new generalization of the Lindley distribution based on a mixture of exponential and gamma distributions with different mixing proportions and compare its performance with its sub-models. The new distribution accommodates the classical Lindley, Quasi Lindley, Two-parameter Lindley, Shanker, Lindley distribution with location parameter, and Three-parameter Lindley distributions as special cases. Various structural properties of the new distribution are discussed and the size-biased and the lengthbiased are derived. A simulation study is conducted to examine the mean square error for the parameters by means of the method of maximum likelihood. Finally, simulation studies and some real-world data sets are used to illustrate its flexibility in terms of its location, scale and shape parameters.
Źródło:
Statistics in Transition new series; 2020, 21, 2; 89-117
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A new count data model applied in the analysis of vaccine adverse events and insurance claims
Autorzy:
Dar, Showkat Ahmad
Hassan, Anwar
Ahmad, Peer Bilal
Wani, Sameer Ahmad
Powiązania:
https://bibliotekanauki.pl/articles/1827552.pdf
Data publikacji:
2021-09-06
Wydawca:
Główny Urząd Statystyczny
Tematy:
poisson distribution
weighted exponential distribution
compound distribution
count data
maximum likelihood estimation
Opis:
The article presents a new probability distribution, created by compounding the Poisson distribution with the weighted exponential distribution. Important mathematical and statistical properties of the distribution have been derived and discussed. The paper describes the proposed model's parameter estimation, performed by means of the maximum likelihood method. Finally, real data sets are analyzed to verify the suitability of the proposed distribution in modeling count data sets representing vaccine adverse events and insurance claims.
Źródło:
Statistics in Transition new series; 2021, 22, 3; 157-174
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A new generalization of the Pareto distribution and its applications
Autorzy:
Almetwally, Ehab M.
Ahmad, Hanan A. Haj
Powiązania:
https://bibliotekanauki.pl/articles/1059040.pdf
Data publikacji:
2020-12-04
Wydawca:
Główny Urząd Statystyczny
Tematy:
Marshall-Olkin distribution
alpha power transformation
maximum likelihood estimator
maximum product spacings
bayes estimation
simulation
Opis:
This paper introduces a new generalization of the Pareto distribution using the Marshall Olkin generator and the method of alpha power transformation. This new model has several desirable properties appropriate for modelling right skewed data. The Authors demonstrate how the hazard rate function and moments are obtained. Moreover, an estimation for the new model parameters is provided, through the application of the maximum likelihood and maximum product spacings methods, as well as the Bayesian estimation. Approximate confidence intervals are obtained by means of an asymptotic property of the maximum likelihood and maximum product spacings methods, while the Bayes credible intervals are found by using the Monte Carlo Markov Chain method under different loss functions. A simulation analysis is conducted to compare the estimation methods. Finally, the application of the proposed new distribution to three real-data examples is presented and its goodness-of-fit is demonstrated. In addition, comparisons to other models are made in order to prove the efficiency of the distribution in question.
Źródło:
Statistics in Transition new series; 2020, 21, 5; 61-84
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Adaptive trimmed likelihood estimation in regression
Autorzy:
Bednarski, Tadeusz
Clarke, Brenton
Schubert, Daniel
Powiązania:
https://bibliotekanauki.pl/articles/729910.pdf
Data publikacji:
2010
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
trimmed likelihood estimator
adaptive estimation
regression
Opis:
In this paper we derive an asymptotic normality result for an adaptive trimmed likelihood estimator of regression starting from initial high breakdownpoint robust regression estimates. The approach leads to quickly and easily computed robust and efficient estimates for regression. A highlight of the method is that it tends automatically in one algorithm to expose the outliers and give least squares estimates with the outliers removed. The idea is to begin with a rapidly computed consistent robust estimator such as the least median of squares (LMS) or least trimmed squares (LTS) or for example the more recent MM estimators of Yohai. Such estimators are now standard in statistics computing packages, for example as in SPLUS or R. In addition to the asymptotics we provide data analyses supporting the new adaptive approach. This approach appears to work well on a number of data sets and is quicker than the related brute force adaptive regression approach described in Clarke (2000). This current approach builds on the work of Bednarski and Clarke (2002) which considered the asymptotics for the location estimator only.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2010, 30, 2; 203-219
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Aircraft dynamic model identification on the basis of flight data recorder registers
Autorzy:
Lasek, L.
Lichota, P.
Powiązania:
https://bibliotekanauki.pl/articles/115522.pdf
Data publikacji:
2013
Wydawca:
Fundacja na Rzecz Młodych Naukowców
Tematy:
Dimensional derivatives
estimation
Flight Data Recorder
Flight Dynamics
Maximum Likelihood Estimation
Levenberg-Marquardt
System Identification
Opis:
We investigate the problem of an aircraft dynamic model parametric identification using dimensional derivatives as an example. Identification is done in offline mode, in the time domain. Flight parameters used for identification are obtained from Flight Data Recorder, that register them during each scheduled flight. We investigate the possibility of application of Maximum Likelihood Estimation that belongs to the Output Error Methods class. The likelihood function is defined for n-dimensional multivariate normal distribution. Unknown covariance matrix is estimated with the use of measured data and output equation. Output equation is calculated with Runge–Kutta fourth order method. In order to find the cost function minimum we consider using Levenberg-Marquardt Algorithm, where derivatives are calculated with central difference formulas and small perturbations theory. Mathematical model of an aircraft is obtained through flight dynamics classical approach. Rigid body model of an aircraft is assumed. Coordinate Systems Transformations are done using Euler’s Rotation Theorem with angle order typical for flight dynamics. Equations of motion are obtained from Newtons Second Law of Motion in body fixed coordinate system Oxyz, that is located at aircraft’s center of gravity. Turbulence is modeled as a bias, and also is an object of identification. We implement this method in Matlab R2009b environment.
Źródło:
Challenges of Modern Technology; 2013, 4, 1; 16-20
2082-2863
2353-4419
Pojawia się w:
Challenges of Modern Technology
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of COVID-19 and cancer data using new half-logistic generated family of distributions
Autorzy:
Khan, Sadaf
Tahir, Muhammad H.
Jamal, Farrukh
Powiązania:
https://bibliotekanauki.pl/articles/29127967.pdf
Data publikacji:
2023
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
half-logistic distribution
generalized family
likelihood estimation
bio-medical data
Frechet distribution
Opis:
We focus on a specific sub-model of the proposed family that we call the new half logistic-Fréchet. This sub-model stems from a new generalisation of the half-logistic distribution which we call the new half-logistic-G. The novelty of proposing this new family is that it does not include any additional parameters and instead relies on the baseline parameter. Standard statistical formulas are used to show the forms of the density and failure rate functions, ordinary and incomplete moments with generating functions, and random variate generation. The maximum likelihood estimation procedure is used to estimate the set of parameters. We conduct a simulation analysis to ensure that our calculations are converging with lower mean square error and biases. We use three real-life data sets to equate our model to well-established existing models. The proposed model outperforms the well-established four parameters beta Fréchet and exponentiated generalized Fréchet for some real- -life results, with three parameters such as half-logistic Fréchet, exponentiated Fréchet, Zografos–Balakrishnan gamma Fréchet, Topp–Leonne Fréchet, and Marshall–Olkin Fréchet and two-parameter classical Fréchet distribution.
Źródło:
Operations Research and Decisions; 2023, 33, 4; 71--95
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian multidimensional-matrix polynomial empirical regression
Autorzy:
Mukha, Vladimir S.
Powiązania:
https://bibliotekanauki.pl/articles/2050059.pdf
Data publikacji:
2020
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
regression function
parameter estimation
maximum likelihood estimation
Bayesian estimation
multidimensional matrice
Opis:
The problem of parameter estimation for the polynomial in the input variables regression function is formulated and solved. The input and output variables of the regression function are multidimensional matrices. The parameters of the regression function are assumed to be random independent multidimensional matrices with Gaussian distribution and known mean value and variance matrices. The solution to this problem is a multidimensional-matrix system of the linear algebraic equations in multidimensional-matrix unknown regression function parameters. We consider the particular cases of constant, affine and quadratic regression function, for which we have obtained formulas for parameter calculation. Computer simulation of the quadratic regression function is performed for the two-dimensional matrix input and output variables.
Źródło:
Control and Cybernetics; 2020, 49, 3; 291--314
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Beta transmuted Lomax distribution with applications
Autorzy:
Hurairah, Ahmed
Alabid, Abdelhakim
Powiązania:
https://bibliotekanauki.pl/articles/1363592.pdf
Data publikacji:
2020-06-05
Wydawca:
Główny Urząd Statystyczny
Tematy:
Lomax distribution
beta Lomax distribution
transmuted distribution
maximum likelihood estimation
Opis:
In this paper we propose and test a composite generalizer of the Lomax distribution .The genesis of the beta distribution and transmuted map is used to develop the so-called beta transmuted Lomax (BTL) distribution. The properties of the distribution are discussed and explicit expressions are derived for the moments, mean deviations, quantiles, distribution of order statistics and reliability. The maximum likelihood method is used for estimating the model parameters, and the finite sample performance of the estimators is assessed by simulation. Finally, the authors demonstrate the usefulness of the new distribution in analysing positive data.
Źródło:
Statistics in Transition new series; 2020, 21, 2; 13-34
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Do multi-factor models produce robustresults? Econometric and diagnostic issues in equity risk premia study
Analiza diagnostyczna wieloczynnikowych modeli oszacowań premii za ryzyko akcyjne
Autorzy:
Sakowski, Paweł
Ślepaczuk, Robert
Wywiał, Mateusz
Powiązania:
https://bibliotekanauki.pl/articles/585858.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Asset pricing models
Autocorrelation
Collinearity
Diagnostics
Econometric
Equity risk premia
General Methods of Moments (GMM)
Heteroscedasticity
Maximum Likelihood Estimation (MLE)
Multi-factor models
Normality
Ordinary Least Squares (OLS)
Outliers
Autokorelacja
Diagnostyka modeli
Heteroskedastyczność
Metoda najmniejszych kwadratów
Metoda największej wiarygodności
Modele wieloczynnikowe
Modele wyceny aktywów
Obserwacje odstające
Premia za ryzyko akcyjne
Uogólniona metoda momentów
Współliniowość
Opis:
In recent decades numerous studies verified empirical validity of the CAPM model. Many of them showed that CAPM alone is not able to explain cross-sectional variation of stock returns. Researchers revealed various risk factors which explained outperformance of given groups of stocks or proposed modifications to existing multi-factor models. Surprisingly, we hardly find any discussion in financial literature about potential drawbacks of applying standard OLS method to estimate parameters of such models. Yet, the question of robustness of OLS results to invalid assumptions shouldn't be ignored. This article aims to address diagnostic and econometric issues which can influence results of a time-series multifactor model. Based on the preliminary results of a five-factor model for 81 emerging and developed equity indices [Sakowski, Ślepaczuk and Wywiał, 2016a] obtained with OLS we check the robustness of these results to popular violations of OLS assumptions. We find autocorrelation of error term, heteroscedasticity and ARCH effects for most of 81 regressions and apply an AR-GARCH model using MLE to remove them. We also identify outliers and diagnose collinearity problems. Additionally, we apply GMM to avoid strong assumption of IID error term. Finally, we present comparison of parameters estimates and Rsquared values obtained by three different methods of estimation: OLS, MLE and GMM. We find that results do not differ substantially between these three methods and allow to draw the same conclusions from the investigated five-factor model.
W ostatnich latach liczne prace podejmowały temat empirycznej weryfikacji skuteczności modelu CAPM. Ich autorzy zaproponowali co najmniej kilka czynników ryzyka, które są w stanie wyjaśnić zróżnicowanie przekrojowe zwrotów rozmaitych aktywów finansowych. Zaproponowano także liczne modyfikacje istniejących modeli wieloczynnikowych. W bogatej literaturze rzadko jednak spotykamy dyskusję na temat konsekwencji stosowania standardowej Metody Najmniejszych Kwadratów do oszacowania parametrów tych modeli. Pytanie o odporność oszacowań wieloczynnikowych modeli wyceny aktywów finansowych uzyskanych za pomocą MNK na niespełnienie założeń nie powinno być jednak ignorowane. Celem niniejszego artykułu jest analiza diagnostyczna wyników oszacowań modelu pięcioczynnikowego dla 81 indeksów giełdowych [Sakowski, Ślepaczuk i Wywiał, 2016a]. Weryfikacja założeń modelu wskazuje na obecność autokorelacji i heteroskedastyczności czynnika losowego, a także występowanie efektów ARCH. Analiza obejmuje także identyfikację obserwacji wpływowych oraz weryfikację obecności współliniowości wśród czynników. W końcowej części prezentujemy porównanie oszacowań uzyskanych za pomocą Metody Najmniejszych Kwadratów, Metody Największej Wiarygodności oraz Uogólnionej Metody Momentów. Wszystkie trzy metody dają bardzo zbliżone oszacowania i pozwalają wyciągnąć ten sam zestaw wniosków dla analizowanego modelu pięcioczynnikowego.
Źródło:
Studia Ekonomiczne; 2016, 301; 203-227
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Frequency magnitude distribution and spatial correlation dimension of earthquakes in north-east Himalaya and adjacent regions
Autorzy:
Tiwari, Ram Krishna
Paudyal, Harihar
Powiązania:
https://bibliotekanauki.pl/articles/2204361.pdf
Data publikacji:
2022
Wydawca:
Uniwersytet im. Adama Mickiewicza w Poznaniu
Tematy:
north-east India
b value
maximum likelihood estimation
correlation dimension
Indie północno-wschodnie
parametr b
największa wiarygodność
estymacja
wymiar korelacyjny
Opis:
The north-east sector of the Himalaya is one of the most active tectonic belts, with complex geological and tectonic features. The b-value and spatial correlation dimension (Dc) of earthquake distribution in the north-east Himalaya and its adjacent regions (20–32°N and 88–98°E) are estimated in the present study. Based on seismicity and faulting pattern, the region is divided into five active regions, namely the (i) South-Tibet, (ii) Eastern-Syntaxis, (iii) Himalayan-Frontal Arc, (iv) Arakan-Yoma belt and (v) Shillong-Plateau. A homogeneous catalogue of 1,416 earthquakes (mb ≥ 4.5) has been prepared from a revised catalogue of the ISC (International Seismological Centre). The b-value has been appraised by the maximum likelihood estimation method, while Dc values have been calculated by the correlation integral meth-od; b-values of 1.08 ± 0.09, 1.13 ± 0.05, 0.92 ± 0.05, 1.00 ± 0.03 and 0.98 ± 0.08 have been computed for the South-Tibet, Eastern-Syntaxis, Himalayan-Frontal Arc, Arakan-Yoma belt and Shillong-Plateau region, respectively. The Dc values computed for the respective regions are 1.36 ± 0.02, 1.74 ± 0.04, 1.57 ± 0.01, 1.8 ± 0.01, and 1.83 ± 0.02. These values are > 1.5, except for the South-Tibet (1.36 ± 0.02). The b-values around the global average value (1.0) reflect the stress level and seismic activity of the regions, while high Dc values refer to the heterogeneity of the seismogenic sources.
Źródło:
Geologos; 2022, 28, 2; 115--128
1426-8981
2080-6574
Pojawia się w:
Geologos
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Generalised Odd Frechet Family of Distributions: Properties and Applications
Autorzy:
Marganpoor, Shahdie
Ranjbar, Vahid
Alizadeh, Morad
Abdollahnezhad, Kamel
Powiązania:
https://bibliotekanauki.pl/articles/1058928.pdf
Data publikacji:
2020-09-04
Wydawca:
Główny Urząd Statystyczny
Tematy:
Frechet distribution
Wiebull distribution
structural properties
failure-time
maximum likelihood estimation
Opis:
A new distribution called Generalized Odd Fréchet (GOF) distribution is presented and its properties explored. Some structural properties of the proposed distribution, including the shapes of the hazard rate function, moments, conditional moments, moment generating function, skewness, and kurtosis are presented. Mean deviations, Lorenz and Bonferroni curves, Rényi entropy, and the distribution of order statistics are given. The maximum likelihood estimation technique is used to estimate the model parameters, and finally applications of the model to a real data set are presented to illustrate the usefulness of the proposed distribution.
Źródło:
Statistics in Transition new series; 2020, 21, 3; 109-128
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Generalized extended Marshall-Olkin family of lifetime distributions
Autorzy:
Goldoust, Mehdi
Mohammadpour, Adel
Powiązania:
https://bibliotekanauki.pl/articles/2034093.pdf
Data publikacji:
2022-03-15
Wydawca:
Główny Urząd Statystyczny
Tematy:
compound distribution
hazard rate function
lifetime distribution
maximum likelihood estimation
power series distribution
Opis:
We introduce a new generalized family of nonnegative continuous distributions by adding two extra parameters to a lifetime distribution, called the baseline distribution, by twice compounding a power series distribution. The new family, called the lifetime power series-power series family, has a serial arrangement of parallel structures, which extends the Marshall and Olkin structure. Four special models are discussed. A mathematical treatment of the new distributions is provided, including ordinary and incomplete moments, quantile, moment generating and mean residual functions. The maximum likelihood estimation technique is used to estimate the model parameters and a simulation study is conducted to investigate the performance of the maximum likelihood estimates. Its applicability is also illustrated by means of two real data sets.
Źródło:
Statistics in Transition new series; 2022, 23, 1; 55-74
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Generalized Pareto distribution based on generalized order statistics and associated inference
Autorzy:
Malik, Mansoor Rashid
Kumar, Devendra
Powiązania:
https://bibliotekanauki.pl/articles/1193074.pdf
Data publikacji:
2019-08-30
Wydawca:
Główny Urząd Statystyczny
Tematy:
generalized order statistics
generalized Pareto distribution
single and product moment
recurrence relations
characterization and maximum likelihood estimation
Opis:
In this paper, we have considered the generalized Pareto distribution. Various structural properties of the distribution are derived including (quantile function, explicit expressions for moments, mean deviation, Bonferroni and Lorenz curves and Renyi entropy). We have provided simple explicit expressions and recurrence relations for single and product moments of generalized order statistics from the generalized Pareto distribution. The method of maximum likelihood is adopted for estimating the model parameters. For different parameter settings and sample sizes, the simulation studies are performed and compared to the performance of the generalized Pareto distribution.
Źródło:
Statistics in Transition new series; 2019, 20, 3; 57-79
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Lifetime distributions with wave-like bathtub hazard
Autorzy:
Guo, R.
Thiart, C.
Cui, Y.
Guo, D.
Powiązania:
https://bibliotekanauki.pl/articles/2069543.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Morski w Gdyni. Polskie Towarzystwo Bezpieczeństwa i Niezawodności
Tematy:
lifetime distribution
hazard
bathtub hazard
likelihood function
maximum likelihood estimation
Opis:
In this paper, we argue the necessity of dealing with lifetime distributions with wave-like bathtub hazard function. Four classes of wave-like bathtub hazards are investigated. For preparing maximum likelihood estimation of the hazard parameters, the first-order and second-order partial derivatives are derived.
Źródło:
Journal of Polish Safety and Reliability Association; 2011, 2, 1; 115--122
2084-5316
Pojawia się w:
Journal of Polish Safety and Reliability Association
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Likelihood and quasi - likelihood estimation of transition probabilities
Autorzy:
Bakinowska, Ewa
Kala, Radosław
Powiązania:
https://bibliotekanauki.pl/articles/729736.pdf
Data publikacji:
2004
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
likelihood estimation
quasi-likelihood estimation
transition probabilities
quasi-information matrix
Opis:
In the paper two approaches to the problem of estimation of transition probabilities are considered. The approach by McCullagh and Nelder [5], based on the independent model and the quasi-likelihood function, is compared with the approach based on the marginal model and the standard likelihood function. The estimates following from these two approaches are illustrated on a simple example which was used by McCullagh and Nelder.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2004, 24, 1; 77-84
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
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