Results 21 to 30 of about 401,256 (317)

Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility [PDF]

Econometric Reviews, 2018
This paper develops a novel and efficient algorithm for Bayesian inference in inverse Gamma stochastic volatility models. It is shown that by conditioning on auxiliary variables, it is possible to sample all the volatilities jointly directly from their ...
R. León-González
semanticscholar   +3 more sources

Determination of best-fit probability distribution of annual maximum daily precipitation (Case study- Isfahan and Kashan stations) [PDF]

ریاضی و جامعه, 2022
The goal of this paper is to determine the best-fit probability distribution to describe the annual maximum daily rainfall for the Isfahan (period 1951-2010) and Kashan (period 1966-2010) stations located distantly in Isfahan province as an arid ...
Hamid Ghorbani
doaj   +1 more source

Empirical Bayes Estimators for Mean Parameter of Exponential Distribution with Conjugate Inverse Gamma Prior Under Stein’s Loss [PDF]

Mathematics
A Bayes estimator for a mean parameter of an exponential distribution is calculated using Stein’s loss, which equally penalizes gross overestimation and underestimation. A corresponding Posterior Expected Stein’s Loss (PESL) is also determined. Additionally, a Bayes estimator for a mean parameter is obtained under a squared error loss along with its ...
Zheng Li, Ying‐Ying Zhang, Ya-Guang Shi   +2 more
openalex   +3 more sources

Bonus-Malus Premium for Third Party Liability Insurance with Poisson-Lindley Distribution Claim Frequency and Exponential-Inverse Gamma Distribution Claim Severity

J Statistika: Jurnal Ilmiah Teori dan Aplikasi Statistika
Insurance is a form of mutual cooperation that provides protection against unforeseen risks. With insurance, individuals can feel more secure about potential future losses, whether related to themselves or their property. As the number of motor vehicles in Indonesia increases, so does the risk of traffic accidents, making motor vehicle insurance ...
Bilqis Nur Rizkia, Aceng Komarudin Mutaqin   +1 more
openalex   +3 more sources

Bayesian and Classical Inference under Type-II Censored Samples of the Extended Inverse Gompertz Distribution with Engineering Applications

Entropy, 2021
In this article, we introduce a new three-parameter distribution called the extended inverse-Gompertz (EIGo) distribution. The implementation of three parameters provides a good reconstruction for some applications.
Ahmed Elshahhat, Hassan M. Aljohani, Ahmed Z. Afify   +2 more
doaj   +1 more source

Bayesian Approach for estimating the unknown Scale parameter of Erlang Distribution Based on General Entropy Loss Function

Ibn Al-Haitham Journal for Pure and Applied Sciences, 2023
We are used Bayes estimators for unknown scale parameter  when shape Parameter  is known of Erlang distribution. Assuming different informative priors for unknown scale  parameter.
Jinan A. Naser Al-obedy
doaj   +1 more source

The empirical Bayes estimators of the parameter of the uniform distribution with an inverse gamma prior under Stein’s loss function

Communications in Statistics - Simulation and Computation, 2022
Ya Sun, Ying‐Ying Zhang, Ji Sun
openalex   +2 more sources

Analyzing insurance data with an exponentiated composite inverse Gamma-Pareto model [PDF]

Communications in Statistics - Theory and Methods, 2021
Exponentiated models have been widely used in modeling various types of data such as survival data and insurance claims data. However, the exponentiated composite distribution models have not been explored yet.
Bo Liu, M. Ananda
semanticscholar   +1 more source

Generalized Matrix t Distribution Based on New Matrix Gamma Distribution

Revstat Statistical Journal, 2022
In this paper a generalized matrix variate gamma distribution, which includes a trace function in the kernel of the density, is introduced. Some important statistical properties including Laplace transform, distributions of functions, expected value of ...
Anis Iranmanesh, Daya K. Nagar , Sara Shokri , Saralees Nadaraja   +3 more
doaj   +1 more source

On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model

Risks, 2023
This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
doaj   +1 more source