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Nadarajah, Saralees - In: Stochastics and Quality Control 22 (2007) 2, pp. 187-190

and general expressions for the moments and the moment generating function associated with the distribution. We also point …

Persistent link: https://www.econbiz.de/10014590832

A Truncated Bivariate t Distribution

Nadarajah, Saralees - In: Stochastics and Quality Control 22 (2007) 2, pp. 303-313

finite moments of all orders and could, therefore, be a better model for real-world situations, as it becomes possible to … distribution, this knowledge has to be abandoned and additionally the purely mathematical problems of infinite moments occurs. One … such situation is discussed. Explicit expressions for the moments of the truncated distribution are also derived. …

Persistent link: https://www.econbiz.de/10014590842

Multivariate log-concave distributions as a nearly parametric model

Schuhmacher, Dominic; Hüsler, André; Dümbgen, Lutz - In: Statistics & Risk Modeling 28 (2011) 3, pp. 277-295

) convergence in total variation distance, (ii) convergence of arbitrary moments, and (iii) pointwise convergence of Laplace … existence of nontrivial confidence sets for the moments of an unknown distribution in P d (lc) . Our results are based on …

Persistent link: https://www.econbiz.de/10014621398

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations

Hurn, Aubrey; Jeisman, Joseph; Lindsay, Kenneth - 2007

Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...

Persistent link: https://www.econbiz.de/10009483276

A New Quasi Sujatha Distribution

Shanker, Rama; Shukla, Kamlesh Kumar - In: Statistics in Transition New Series 21 (2020) 3, pp. 53-71

distribution. Its moments and momentsbased measures are derived and discussed. Statistical properties, including the hazard rate …-strength reliability are also analysed. The method of moments and the method of maximum likelihood estimations is discussed for estimating …

Persistent link: https://www.econbiz.de/10012600258

Power Size Biased Two-Parameter Akash Distribution

Alhyasat, Khaldoon; Kamarulzaman, Ibrahim; Al-Omari, … - In: Statistics in Transition New Series 21 (2020) 3, pp. 73-91

(PSBTPAD). Several statistical properties of PSBTPAD distribution are proved. These properties include the following: moments …

Persistent link: https://www.econbiz.de/10012600259

Marshall-Olkin Power Lomax distribution for modeling of wind speed data

Ul Haq, Muhammad Ahsan; Rao, G. Srinivasa; Albassam, … - In: Energy Reports 6 (2020), pp. 1118-1123

Accurate collection of wind speed records is significant for numerous wind power applications. The present investigation aims to highlight the use of the Marshall-Olkin Power Lomax (MOPLx) distribution for wind speed data. We examine the actual wind speed records gathered from three stations...

Persistent link: https://www.econbiz.de/10012652468

Moments, shocks and spillovers in Markov switching VAR models

van Dijk, Dick; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012797238

On the Kavya-Manoharan-Burr X model: Estimations under ranked set sampling and applications

Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20

A new two-parameter model is proposed using the Kavya-Manoharan (KM) transformation family and Burr X (BX) distribution. The new model is called the Kavya-Manoharan-Burr X (KMBX) model. The statistical properties are obtained, involving the quantile (QU) function, moment (MOs), incomplete MOs,...

Persistent link: https://www.econbiz.de/10014332794

Indirect inference and small sample bias - Some recent results

Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2023

Macroeconomic researchers use a variety of estimators to parameterise their models empirically. One such is FIML; another is a form of indirect inference we term "informal" under which data features are "targeted" by the model -i.e. parameters are chosen so that model-simulated features...

Persistent link: https://www.econbiz.de/10014480499