Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation [PDF]
, 2013 Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution.
Gatarek, L. (Lukasz) +2 more
core
Bayesian analysis of time series using Lindley`s approximation
, 2020 The autoregressive model of order p and moving-average model of order q are analyzed when the parameters and the precision of the error term are random variables. In the analysis the squared error (SE) and linear exponential (LINEX) loss functions are utilized. Using four different priors, the Bayes estimators of the parameters are derived.
openaire +1 more source
A Study on The Mixture of Exponentiated-Weibull Distribution
, 2016 Mixtures of measures or distributions occur frequently in the theory and applications of probability and statistics. In the simplest case it may, for example, be reasonable to assume that one is dealing with the mixture in given proportions of a finite ...
Adel Tawfik Elshahat, Ahlam Ali Mahmoud
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Although many time series are realizations from discrete processes, it is often that a continuous Gaussian model is implemented for modeling and forecasting the data, resulting in incoherent forecasts. Forecasts using a Poisson-Lindley integer autoregressive (PLINAR) model are compared to variations of Gaussian forecasts via simulation by equating ...
Gidaro, Rachel D., Harvill, Jane L.
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Fuzzy Stress-Strength Model and Mean Remaining Strength for Lindley Distribution: Estimation and Application in Cancer of Benign Endocrine. [PDF]
Comput Math Methods Med, 2023 Hassan MKH, Muse AH.
europepmc +1 more source
Bayesian analysis of DSGE models [PDF]
This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models.
Frank Schorfheide, Sungbae An
core
Inference of multicomponent stress-strength reliability following Topp-Leone distribution using progressively censored data. [PDF]
J Appl Stat, 2023 Saini S, Tomer S, Garg R.
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Term premia and the news [PDF]
How do monetary policy expectations and term premia respond to news? This paper provides new answers to this question by means of a dynamic term structure model (DTSM) in which risk prices are restricted.
Michael D. Bauer
core
Optimal sampling and statistical inferences for Kumaraswamy distribution under progressive Type-II censoring schemes. [PDF]
Sci Rep, 2023 Abo-Kasem OE, El Saeed AR, El Sayed AI.
europepmc +1 more source
Estimation of stress-strength reliability for Marshall-Olkin distributions based on progressively Type-II censored samples. [PDF]
J Appl Stat, 2022 Ghanbari S +2 more
europepmc +1 more source