Displaying similar documents to “Return Distribution and Value at Risk Estimation for Belex15”

Univariate parametric survival analysis using GS-distributions.

Albert Sorribas, José M. Muiño, Montserrat Rué, Joan Fibla (2006)

SORT

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The GS-distribution is a family of distributions that provide an accurate representation of any unimodal univariate continuous distribution. In this contribution we explore the utility of this family as a general model in survival analysis. We show that the survival function based on the GS-distribution is able to provide a model for univariate survival data and that appropriate estimates can be obtained. We develop some hypotheses tests that can be used for checking the underlying survival...

A multimodal beta distribution with application to economic data

Saralees Nadarajah, Samuel Kotz (2007)

Applicationes Mathematicae

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Beta distributions are popular models for economic data. In this paper, a new multimodal beta distribution with bathtub shaped failure rate function is introduced. Various structural properties of this distribution are derived, including its cdf, moments, mean deviation about the mean, mean deviation about the median, entropy, asymptotic distribution of the extreme order statistics, maximum likelihood estimates and the Fisher information matrix. Finally, an application to consumer price...

On a property of the F distribution.

Alfred E. Crofts Jr. (1982)

Trabajos de Estadística e Investigación Operativa

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Suppose that U has an F distribution with ν and ν degrees of freedom. It is well known that as ν approaches infinity, the limiting distribution of νU is chi-square with ν degrees of freedom.

Improving predictive distributions.

Morris H. DeGroot (1980)

Trabajos de Estadística e Investigación Operativa

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Consider a sequence of decision problems S, S, ... and suppose that in problem S the statistician must specify his predictive distribution F for some random variable X and make a decision based on that distribution. For example, X might be the return on some particular investment and the statistician must decide whether or not to make that investment. The random variables X, X, ... are assumed to be independent and completely unrelated. It is also assumed that each predictive distribution...

Exact distribution for the generalized F tests

Miguel Fonseca, Joao Tiago Mexia, Roman Zmyślony (2002)

Discussiones Mathematicae Probability and Statistics

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Generalized F statistics are the quotients of convex combinations of central chi-squares divided by their degrees of freedom. Exact expressions are obtained for the distribution of these statistics when the degrees of freedom either in the numerator or in the denominator are even. An example is given to show how these expressions may be used to check the accuracy of Monte-Carlo methods in tabling these distributions. Moreover, when carrying out adaptative tests, these expressions enable...

Three methods for constructing reference prior distributions.

Eusebio Gómez Sánchez-Manzano, Miguel A. Gómez Villegas (1990)

Revista Matemática de la Universidad Complutense de Madrid

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Three methods are proposed for constructing reference prior densities for certain biparametric distribution families. These densities represent approximations to the Bayesian concept of noninformative distribution.