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Applied Sciences, 2023 A crucial area of study in data mining is outlier detection, particularly in the areas of network security, credit card fraud detection, industrial flaw detection, etc.
Yuehua Huang +4 more
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Small area quantile estimation based on distribution function using linear mixed models
Economics and Business Review, 2021 In economic studies researchers are often interested in the estimation of the distribution function or certain functions of the distribution function such as quantiles.
Stachurski Tomasz
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A New Generator of Probability Models: The Exponentiated Sine-G Family for Lifetime Studies
Entropy, 2021 In this article, we propose the exponentiated sine-generated family of distributions. Some important properties are demonstrated, such as the series representation of the probability density function, quantile function, moments, stress-strength ...
Mustapha Muhammad +6 more
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Study of a Modified Kumaraswamy Distribution
Mathematics, 2021 In this article, a structural modification of the Kumaraswamy distribution yields a new two-parameter distribution defined on (0,1), called the modified Kumaraswamy distribution.
Rashad A. R. Bantan +5 more
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Finance and Stochastics, 1999 The paper deals with construction of a hedging strategy which maximizes the probability of a successful hedge under the objective measure \(P\), given a constraint on the required cost. This concept of quantile hedging can be considered as a dynamic version of the well-known value at risk concept. First the authors consider the general case of complete
Hans FÃllmer, Peter Leukert
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Frontiers in Public Health, 2021 The degree of coupling and coordination between the pharmaceutical manufacturing industry and the medical service industry crucially requires improvement by promoting the development of the pharmaceutical manufacturing industry through industrial ...
Meng Hu, Chunhai Tao, Hao Zhou
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Economies, 2020 This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology.
Riza Demirer +3 more
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Quantile Correlations and Quantile Autoregressive Modeling [PDF]
Journal of the American Statistical Association, 2012 In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two valuable quantities, the quantile autocorrelation function (QACF) and the quantile partial autocorrelation function (QPACF).
Li, Y, Li, G, Tsai, CL
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Bayesian quantile regression [PDF]
Working Paper Series, 2005 Recent work by Schennach(2005) has opened the way to a Bayesian treatment of quantile regression. Her method, called Bayesian exponentially tilted empirical likelihood (BETEL), provides a likelihood for data y subject only to a set of m moment conditions of the form Eg(y, θ) = 0 where θ is a k dimensional parameter of interest and k may be smaller ...
Tony Lancaster, Sung Jae Jun
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Quantile Double Autoregression [PDF]
SSRN Electronic Journal, 2019 Many financial time series have varying structures at different quantile levels, and also exhibit the phenomenon of conditional heteroskedasticity at the same time. However, there is presently no time series model that accommodates both of these features.
Zhu, Qianqian, Li, Guodong
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