Recently, Sen et al. (2016) introduced a new lifetime distribution, called "xgamma distribution", which can be used as an alternative to other lifetime distributions, like the exponential one. In this paper, we study the problem of classical and Bayesian estimation of the unknown parameter of...

A modified version of Bagdonavičius-Nikulin goodness-of-fit statistical test is presented for validation under the right censor case. Simulation via Barzilai-Borwein algorithm is performed for assessing the right-censorship estimation method. Four right censored data sets are analyzed under the...

In this paper, a new three-parameter lifetime model, called the odd log-logistic generalised Lindley distribution, is introduced. Some structural properties of the new distribution including ordinary and incomplete moments, quantile and generating functions and order statistics are obtained. The...

In Thailand, droughts are regular natural disasters that happen nearly every year due to several factors such as precipitation deficiency, human activity, and the global warming. Since annual rainfall amount fits an inverse gamma (IG) distribution, we wanted to try testing annual rainfall...

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

This paper addresses the question of how to measure market participants’ intra-day risk-neutral expectations. In contrast to widely used quotes data, we present a novel step-by-step approach to estimate intra-day risk-neutral densities (RND) by only using option trades data. Based on a unique...