Now showing items 10-28 of 28
Abstract: | This paper proposes different estimators for the parameters of SemiPareto and Pareto autoregressive minification processes The asymptotic properties of the estimators are established by showing that the SemiPareto process is α-mixing. Asymptotic variances of different moment and maximum likelihood estimators are compared. |
URI: | http://dyuthi.cusat.ac.in/xmlui/purl/2107 |
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ESTIMATION FOR THE SEMIPARETO PROCESSES.pdf | (587.3Kb) |
Abstract: | In this paper the class of continuous bivariate distributions that has form-invariant weighted distribution with weight function w(x1, x2) ¼ xa1 1 xa2 2 is identified. It is shown that the class includes some well known bivariate models. Bayesian inference on the parameters of the class is considered and it is shown that there exist natural conjugate priors for the parameters |
Description: | Statistics, 2003, Vol. 37(3), pp. 259–269 |
URI: | http://dyuthi.cusat.ac.in/purl/4278 |
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Form-invariant bivariate weighted.pdf | (165.5Kb) |
Abstract: | This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators behave well. The insample analysis shows that return models with gamma autoregressive stochastic volatility processes capture the leptokurtic nature of return distributions and the slowly decaying autocorrelation functions of squared stock index returns for the USA and UK. In comparison with GARCH and EGARCH models, the gamma autoregressive model picks up the persistence in volatility for the US and UK index returns but not the volatility persistence for the Canadian and Japanese index returns. The out-of-sample analysis indicates that the gamma autoregressive model has a superior volatility forecasting performance compared to GARCH and EGARCH models. |
URI: | http://dyuthi.cusat.ac.in/xmlui/purl/2106 |
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Gamma Stochastic Volatility Models.pdf | (262.5Kb) |
Abstract: | In this paper, we study the relationship between the failure rate and the mean residual life of doubly truncated random variables. Accordingly, we develop characterizations for exponential, Pareto 11 and beta distributions. Further, we generalize the identities for fire Pearson and the exponential family of distributions given respectively in Nair and Sankaran (1991) and Consul (1995). Applications of these measures in file context of lengthbiased models are also explored |
Description: | Statistical Papers 45, 97-109 (2004) |
URI: | http://dyuthi.cusat.ac.in/purl/4276 |
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Identification ... cated random variables.pdf | (393.9Kb) |
Abstract: | The average availability of a repairable system is the expected proportion of time that the system is operating in the interval [0, t]. The present article discusses the nonparametric estimation of the average availability when (i) the data on 'n' complete cycles of system operation are available, (ii) the data are subject to right censorship, and (iii) the process is observed upto a specified time 'T'. In each case, a nonparametric confidence interval for the average availability is also constructed. Simulations are conducted to assess the performance of the estimators. |
URI: | http://dyuthi.cusat.ac.in/purl/2857 |
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Dyuthi-P00400.pdf | (135.8Kb) |
Abstract: | In this article it is proved that the stationary Markov sequences generated by minification models are ergodic and uniformly mixing. These results are used to establish the optimal properties of estimators for the parameters in the model. The problem of estimating the parameters in the exponential minification model is discussed in detail. |
URI: | http://dyuthi.cusat.ac.in/xmlui/purl/2105 |
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Parameter Estimation in Minification Processes.pdf | (212.4Kb) |
Abstract: | When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution |
Description: | Statistics and Probability Letters 82 (2012) 1530–1537 |
URI: | http://dyuthi.cusat.ac.in/purl/4725 |
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Product autoreg ... non-negative variables.pdf | (260.7Kb) |
Abstract: | Quantile functions are efficient and equivalent alternatives to distribution functions in modeling and analysis of statistical data (see Gilchrist, 2000; Nair and Sankaran, 2009). Motivated by this, in the present paper, we introduce a quantile based Shannon entropy function. We also introduce residual entropy function in the quantile setup and study its properties. Unlike the residual entropy function due to Ebrahimi (1996), the residual quantile entropy function determines the quantile density function uniquely through a simple relationship. The measure is used to define two nonparametric classes of distributions |
Description: | Statistics and Probability Letters 82 (2012) 1049–1053 |
URI: | http://dyuthi.cusat.ac.in/purl/4280 |
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Quantile based entropy function.pdf | (207.9Kb) |
Abstract: | Di Crescenzo and Longobardi (2002) introduced a measure of uncertainty in past lifetime distributions and studied its relationship with residual entropy function. In the present paper, we introduce a quantile version of the entropy function in past lifetime and study its properties. Unlike the measure of uncertainty given in Di Crescenzo and Longobardi (2002) the proposed measure uniquely determines the underlying probability distribution. The measure is used to study two nonparametric classes of distributions. We prove characterizations theorems for some well known quantile lifetime distributions |
Description: | Statistics and Probability Letters 83 (2013) 366–372 |
URI: | http://dyuthi.cusat.ac.in/purl/4284 |
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Quantile based ... ction in past lifetime.pdf | (227.4Kb) |
Abstract: | Partial moments are extensively used in literature for modeling and analysis of lifetime data. In this paper, we study properties of partial moments using quantile functions. The quantile based measure determines the underlying distribution uniquely. We then characterize certain lifetime quantile function models. The proposed measure provides alternate definitions for ageing criteria. Finally, we explore the utility of the measure to compare the characteristics of two lifetime distributions |
Description: | Journal of the Korean Statistical Society 42 (2013) 329–342 |
URI: | http://dyuthi.cusat.ac.in/purl/4289 |
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Quantile based ... cts of partial moments.pdf | (253.9Kb) |
Abstract: | Partial moments are extensively used in actuarial science for the analysis of risks. Since the first order partial moments provide the expected loss in a stop-loss treaty with infinite cover as a function of priority, it is referred as the stop-loss transform. In the present work, we discuss distributional and geometric properties of the first and second order partial moments defined in terms of quantile function. Relationships of the scaled stop-loss transform curve with the Lorenz, Gini, Bonferroni and Leinkuhler curves are developed |
Description: | Stat Methods Appl (2013) 22:167–182 DOI 10.1007/s10260-012-0213-4 |
URI: | http://dyuthi.cusat.ac.in/purl/4290 |
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Quantile based ... m and its applications.pdf | (183.4Kb) |
Abstract: | In the present paper, we introduce a quantile based Rényi’s entropy function and its residual version. We study certain properties and applications of the measure. Unlike the residual Rényi’s entropy function, the quantile version uniquely determines the distribution |
Description: | Statistics and Probability Letters 85 (2014) 114–121 |
URI: | http://dyuthi.cusat.ac.in/purl/4288 |
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Rényi’s residual entropy A quantile approach.pdf | (378.5Kb) |
Abstract: | Lower partial moments plays an important role in the analysis of risks and in income/poverty studies. In the present paper, we further investigate its importance in stochastic modeling and prove some characterization theorems arising out of it. We also identify its relationships with other important applied models such as weighted and equilibrium models. Finally, some applications of lower partial moments in poverty studies are also examined |
Description: | METRON - International Journal of Statistics 2008, vol. LXVI, n. 2, pp. 223-242 |
URI: | http://dyuthi.cusat.ac.in/purl/4282 |
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The role of low ... in stochastic modeling.pdf | (139.5Kb) |
Abstract: | When simulation modeling is used for performance improvement studies of complex systems such as transport terminals, domain specific conceptual modeling constructs could be used by modelers to create structured models. A two stage procedure which includes identification of the problem characteristics/cluster - ‘knowledge acquisition’ and identification of standard models for the problem cluster – ‘model abstraction’ was found to be effective in creating structured models when applied to certain logistic terminal systems. In this paper we discuss some methods and examples related the knowledge acquisition and model abstraction stages for the development of three different types of model categories of terminal systems |
Description: | Proceedings of the World Congress on Engineering and Computer Science 2012 Vol II WCECS 2012, October 24-26, 2012, San Francisco, USA |
URI: | http://dyuthi.cusat.ac.in/purl/4666 |
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Some Aspects of ... ic Terminal operations.pdf | (565.9Kb) |
Abstract: | In this paper, we study some dynamic generalized information measures between a true distribution and an observed (weighted) distribution, useful in life length studies. Further, some bounds and inequalities related to these measures are also studied |
Description: | Statistica,VOL 68(1),pp 71-84 |
URI: | http://dyuthi.cusat.ac.in/purl/4275 |
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Some Dynamic Ge ... ext Of Weighted Models.pdf | (350.4Kb) |
Abstract: | In this article we introduce some structural relationships between weighted and original variables in the context of maintainability function and reversed repair rate. Furthermore, we prove some characterization theorems for specific models such as power, exponential, Pareto II, beta, and Pearson system of distributions using the relationships between the original and weighted random variables |
Description: | Communications in Statistics—Theory and Methods, 35: 223–228, 2006 |
URI: | http://dyuthi.cusat.ac.in/purl/4274 |
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Some Properties ... of Repairable Systems.pdf | (95.90Kb) |
Abstract: | Recently, reciprocal subtangent has been used as a useful tool to describe the behaviour of a density curve. Motivated by this, in the present article we extend the concept to the weighted models. Characterization results are proved for models viz. gamma, Rayleigh, equilibrium, residual lifetime, and proportional hazards. An identity under weighted distribution is also obtained when the reciprocal subtangent takes the form of a general class of distributions. Finally, an extension of reciprocal subtangent for the weighted models in the bivariate and multivariate cases are introduced and proved some useful results |
Description: | Communications in Statistics—Theory and Methods, 41: 1397–1410, 2012 |
URI: | http://dyuthi.cusat.ac.in/purl/4286 |
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Some Results on ... ext of Weighted Models.pdf | (170.9Kb) |
Abstract: | The standard models for statistical signal extraction assume that the signal and noise are generated by linear Gaussian processes. The optimum filter weights for those models are derived using the method of minimum mean square error. In the present work we study the properties of signal extraction models under the assumption that signal/noise are generated by symmetric stable processes. The optimum filter is obtained by the method of minimum dispersion. The performance of the new filter is compared with their Gaussian counterparts by simulation. |
URI: | http://dyuthi.cusat.ac.in/purl/2855 |
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Dyuthi-P00398.pdf | (724.3Kb) |
Abstract: | In this paper we try to fit a threshold autoregressive (TAR) model to time series data of monthly coconut oil prices at Cochin market. The procedure proposed by Tsay [7] for fitting the TAR model is briefly presented. The fitted model is compared with a simple autoregressive (AR) model. The results are in favour of TAR process. Thus the monthly coconut oil prices exhibit a type of non-linearity which can be accounted for by a threshold model. |
URI: | http://dyuthi.cusat.ac.in/purl/2858 |
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Dyuthi-P00401.pdf | (389.1Kb) |
Now showing items 10-28 of 28
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