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In this paper, we propose two new flexible Gini indices (extended lower and upper) defined via differences between the $i$-th observation, the smallest order statistic, and the largest order statistic, for any $1 \leqslant i \leqslant m$.…
In this article the issues are discussed with the Bayesian approach, least-square fits, and most-likely fits. Trying to counter these issues, a method, based on weighted confidence, is proposed for estimating probabilities and other…
Beta regression models are a suitable choice for continuous response variables on the unity interval. Random effects add further flexibility to the models and accommodate data structures such as hierarchical, repeated measures and…
This paper generalizes beta divergence beyond its classical form associated with power variance functions of Tweedie models. Generalized form is represented by a compact definite integral as a function of variance function of the…
This paper builds on recent research that focuses on regression modeling of continuous bounded data, such as proportions measured on a continuous scale. Specifically, it deals with beta regression models with mixed effects from a Bayesian…
Natural capital accounting is important to efforts that attempt to measure the value of nature to decide on how best to trade-off natural resource productive use and conservation. Much work on measuring reciprocal physical stocks and flows…
Analysis of competing risks data plays an important role in the lifetime data analysis. Recently Feizjavadian and Hashemi (Computational Statistics and Data Analysis, vol. 82, 19-34, 2015) provided a classical inference of a competing risks…
The inequality is computed through the so-called Gini index. The population is assumed to have the variable of interest distributed according to the Gamma probability distribution. The results show that the Gini index is reduced when the…
We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for…
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation…
The mathematical properties of a family of generalized beta distribution, including beta-normal, skewed-t, log-F, beta-exponential, beta-Weibull distributions have recently been studied in several publications. This paper applies these…
The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…
In this paper, we propose a regression model where the response variable is beta prime distributed using a new parameterization of this distribution that is indexed by mean and precision parameters. The proposed regression model is useful…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
Generalized linear mixed models (GLMM) encompass large class of statistical models, with a vast range of applications areas. GLMM extends the linear mixed models allowing for different types of response variable. Three most common data…
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th…
The weighted kappa coefficient of a binary diagnostic test is a measure of the beyond-chance agreement between the diagnostic test and the gold standard, and depends on the sensitivity and specificity of the diagnostic test, on the disease…
Using the log-convexity of the Gamma function and Euler's reflection formula, we give a new proof of a classical weighted sine product inequality. Two different parameter choices yield two competing upper bounds for the same product. We…
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion of basic analytical properties,…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…