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The Kumaraswamy Gumbel distribution
Statistical Methods & Applications, 2011The Gumbel distribution is perhaps the most widely applied statistical distribution for problems in engineering. We propose a generalization—referred to as the Kumaraswamy Gumbel distribution—and provide a comprehensive treatment of its structural properties. We obtain the analytical shapes of the density and hazard rate functions.
Gauss M. Cordeiro +2 more
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On Some Generalized Farlie-Gumbel-Morgenstern Distributions
Communications in Statistics - Simulation and Computation, 1975A multivariate generalization of the farlie-Gumbel-Morgenstern bivariate system of distribution is described. Certain properties, particularly those concerning orthant dependence, are investigated.
Johnson, Norman L., Kotz, Samuel
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European option pricing using Gumbel distribution
International Journal of Financial Engineering, 2021A risk-neutral-density (RND) function plays a key role in determining option prices accurately. The RND function is useful in understanding the negative skewness and the excess kurtosis of the stock returns. RND models bases on the log-normal distribution (for example, Black–Scholes (BS) model (Black, F and M Scholes (1973). The pricing of options and
Seema Uday Purohit, Prasad Narahar Lalit
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Generalized Gumbel distribution
Journal of Applied Statistics, 2009A generalization of the Gumbel distribution is presented to deal with general situations in modeling univariate data with broad range of skewness in the density function. This generalization is derived by considering a logarithmic transformation of an odd Weibull random variable.
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The Gumbel-Marshall-Olkin distribution
2017In this paper we introduce a generalization of the Marshall-Olkin distribution that allows for some dependence among the shock arrival times while it preserves exponentially distributed observed lifetimes: these features make the resulting distribution well suited for credit risk applications.
Umberto Cherubini, Sabrina Mulinacci
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On the generalized multivariate Gumbel distribution
Statistics & Probability Letters, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Demirhan, Haydar, Kalaylioglu, Zeynep
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The Topp-Leone Gumbel distribution
2016 12th International Conference on Mathematics, Statistics, and Their Applications (ICMSA), 2016We have commenced the Topp-Leone Gumbel (TLGB) distribution. There is one additional parameter to the Gumbel distribution. The moment generating function is also provided. Maximum likelihood method and L-moment method are applied to estimate parameters of the TLGB distribution.
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Correlation structure in iterated Farlie-Gumbel-Morgenstern distributions
Biometrika, 1984In this note we determine the natural parameter space of the iterated Farlie-Gumbel-Morgenstern distribution, and thereby show that the maximum correlation is higher than was previously known. We also show that just one single iteration can result in tripling the covariance for certain marginals. Finally, we show that there exist no marginals for which
Huang, J. S., Kotz, Samuel
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Gumbel Distribution: Ordinary Differential Equations
2018In this chapter, homogenous ordinary differential equations (ODES) of different orders were obtained for the probability density function, quantile function, survival function inverse survival function, hazard function and reversed hazard functions of Gumbel distribution.
Hilary I. Okagbue +4 more
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Reliability Test Plan for the Gumbel-Uniform Distribution
Stochastics and Quality Control, 2018AbstractReliability sampling plans are used for determining the acceptability of any product. In this paper, reliability sampling plans for acceptance or rejection of a lot of products submitted for inspection are developed when the lifetimes follow the Gumbel-uniform distribution.
Jose, K. K., Joseph, Jeena
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