Showing 1 - 9 of 9
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...
Persistent link: https://www.econbiz.de/10009483276
and empirical motivation is provided. Various particular cases and expressions for moments are derived. Estimation … procedures by the method of moments and the method of maximum likelihood as well as the associated Fisher information matrix are …
Persistent link: https://www.econbiz.de/10010870676
Gamma distributions are some of the most popular models for hydrological processes. In this paper, a very flexible family which contains the gamma distribution as a particular case is introduced. Evidence of flexibility is shown by examining the shape of its probability density function (pdf). A...
Persistent link: https://www.econbiz.de/10010749904
with different variable combinations and descriptive models (Vector Auto Regressions, Impulse Response Functions or Moments …
Persistent link: https://www.econbiz.de/10011886113
This study proposes two types of bivariate Poisson extended exponential distributions: the basic bivariate Poisson extended exponential distribution and the Sarmanov-based bivariate Poisson extended exponential distribution. The two bivariate Poisson extended exponential distributions are then...
Persistent link: https://www.econbiz.de/10014505329
Persistent link: https://www.econbiz.de/10014327637
introduced. Some structural properties of the new distribution including ordinary and incomplete moments, quantile and generating …
Persistent link: https://www.econbiz.de/10015114967
Persistent link: https://www.econbiz.de/10015045661