Related papers: The Marshall-Olkin Flexible Weibull Extension Dist…
We develop flexible multi-parameter regression survival models for interval censored survival data arising in longitudinal prospective studies and longitudinal randomised controlled clinical trials. A multi-parameter Weibull regression…
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…
Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…
This paper proposes a generalized binomial distribution with four parameters, which is derived from the finite capacity queueing system with state-dependent service and arrival rates. This distribution is also generated from the conditional…
To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law distributions. It has many advantages, among which…
We introduce a new multivariate circular linear distribution suitable for modeling direction and speed in (multiple) animal movement data. To properly account for specific data features, such as heterogeneity and time dependence, a hidden…
This paper studies fundamental aspects of modelling data using multivariate Watson distributions. Although these distributions are natural for modelling axially symmetric data (i.e., unit vectors where $\pm \x$ are equivalent), for…
We introduce a new family of multivariate distributions by taking the component-wise Tukey-h transformation of a random vector following a skew-normal distribution. The proposed distribution is named the skew-normal-Tukey-h distribution and…
Since its introduction, the skew-$t$ distribution has received much attention in the literature both for the study of theoretical properties and as a model for data fitting in empirical work. A major motivation for this interest is the high…
Recently Asimit et. al used an EM algorithm to estimate Marshall-Olkin bivariate Pareto distribution. The distribution has seven parameters. We describe few alternative approaches of EM algorithm. A numerical simulation is performed to…
The linear exponential distribution is a generalization of the exponential and Rayleigh distributions. This distribution is one of the best models to fit data with increasing failure rate (IFR). But it does not provide a reasonable fit for…
We propose a new class of claim severity distributions with six parameters, that has the standard two-parameter distributions, the log-normal, the log-Gamma, the Weibull, the Gamma and the Pareto, as special cases. This distribution is much…
This paper introduces a polynomial transformation model based on Weibull distribution, whereby the analytical representation of the quantile function for many probability distributions can be obtained. Firstly, the target random variable…
We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales…
In this paper, we propose a model which simulates odds distributions of pari-mutuel betting system under two hypotheses on the behavior of bettors: 1. The amount of bets increases very rapidly as the deadline for betting comes near. 2. Each…
Some new survival distributions are introduced based on a generalised exponential function. This class of distributions includes heavy-tailed generalisations of exponential, Weibull and gamma distributions. Properties of the distributions…
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…
For a multinomial distribution, suppose that we have prior knowledge of the sum of the probabilities of some categories. This allows us to construct a submodel in a full (i.e., no-restriction) model. Maximum likelihood estimation (MLE)…
In this work we introduce the class of unit-Weibull Autoregressive Moving Average models for continuous random variables taking values in $(0,1)$. The proposed model is an observation driven one, for which, conditionally on a set of…
This article demonstrates that flexible and statistically tractable multi-modal diffusion models can be attained by transformation of simple well-known diffusion models such as the Ornstein-Uhlenbeck model, or more generally a Pearson…