Related papers: IAPO estimators in Exponentiated Frechet case
In this paper we propose a new four-parameters distribution with increasing, decreasing, bathtub-shaped and unimodal failure rate, called as the exponentiated Weibull-Poisson (EWP) distribution. The new distribution arises on a latent…
This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to…
A new statistical estimation method, Independent Approximates (IAs), is defined and proven to enable closed-form estimation of the parameters of heavy-tailed distributions. Given independent, identically distributed samples from a…
Given an independent and identically distributed source $X = \{X_i \}_{i=1}^{\infty}$ with finite Shannon entropy or differential entropy (as the case may be) $H(X)$, the non-asymptotic equipartition property (NEP) with respect to $H(X)$ is…
One of the main goal of extreme value analysis is to estimate the probability of rare events given a sample from an unknown distribution. The upper tail behavior of this distribution is described by the extreme value index. We present a new…
Posterior predictive p-values are a common approach to Bayesian model-checking. This article analyses their frequency behaviour, that is, their distribution when the parameters and the data are drawn from the prior and the model…
The task for a general and useful classification of the tail behaviors of probability distributions still has no satisfactory solution. Due to lack of information outside the range of the data the tails of the distribution should be…
Sharpe ratio is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the excess return over the strategy standard deviation. However, the elements to compute the Sharpe ratio, namely,…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
The task of estimation of the tails of probability distributions having small samples seems to be still opened and almost unsolvable. The paper tries to make a step in filling this gap. In 2017 Jordanova et al. introduce six new…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
Maximum likelihood estimations for the parameters of extreme value distributions are discussed in this paper using fixed point iteration. The commonly used numerical approach for addressing this problem is the Newton-Raphson approach which…
In this paper, a new natural discrete version of the one parameter polynomial exponential family of distributions have been proposed and studied. The distribution is named as Natural Discrete One Parameter Polynomial Exponential (NDOPPE)…
The best-known and most commonly used distribution-property estimation technique uses a plug-in estimator, with empirical frequency replacing the underlying distribution. We present novel linear-time-computable estimators that significantly…
In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…
In this article, the exponentiated discrete Lindley distribution is presented and studied. Some important distributional properties are discussed. Using the maximum likelihood method, estimation of the model parameters is investigated.…
The paper proposes a formal estimation procedure for parameters of the fractional Poisson process (fPp). Such procedures are needed to make the fPp model usable in applied situations. The basic idea of fPp, motivated by experimental data…
Outer measures can be used for statistical inference in place of probability measures to bring flexibility in terms of model specification. The corresponding statistical procedures such as Bayesian inference, estimators or hypothesis…
We propose Process-Aware Policy Optimization (PAPO), a method that integrates process-level evaluation into Group Relative Policy Optimization (GRPO) through decoupled advantage normalization, to address two limitations of existing reward…
Our contribution is to widen the scope of extreme value analysis applied to discrete-valued data. Extreme values of a random variable $X$ are commonly modeled using the generalized Pareto distribution, a method that often gives good results…