Some characterization problems associated with the bivariate exponential and geometric distributions

It is highly desirable that any multivariate distribution possessescharacteristic properties that are generalisation in some sense of the corresponding results in the univariate case. Therefore it is of interest to examine whether a multivariate distribution can admit such characterizations. In the exponential context, the question to be answered is, in what meaning— ful way can one extend the unique properties in the univariate case in a bivariate set up? Since the lack of memory property is the best studied and most useful property of the exponential law, our first endeavour in the present thesis, is to suitably extend this property and its equivalent forms so as to characterize the Gumbel's bivariate exponential distribution. Though there are many forms of bivariate exponential distributions, a matching interest has not been shown in developing corresponding discrete versions in the form of bivariate geometric distributions. Accordingly, attempt is also made to introduce the geometric version of the Gumbel distribution and examine several of its characteristic properties. A major area where exponential models are successfully applied being reliability theory, we also look into the role of these bivariate laws in that context. The present thesis is organised into five Chapters

The Poisson-exponential lifetime distribution

In this paper we proposed a new two-parameters lifetime distribution with increasing failure rate. The new distribution arises on a latent complementary risk problem base. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulae for its reliability and failure rate functions, quantiles and moments, including the mean and variance. A simple EM-type algorithm for iteratively computing maximum likelihood estimates is presented. The Fisher information matrix is derived analytically in order to obtaining the asymptotic covariance matrix. The methodology is illustrated on a real data set. © 2010 Elsevier B.V. All rights reserved.

A SIMULATION STUDY OF THE SIZE AND POWER OF SOME TWO-SAMPLE TESTS FOR UNEQUALLY CENSORED SURVIVAL DATA (RANK TESTS, LOGRANK, PROPORTIONAL HAZARDS, WILCOXON TESTS, EXPONENTIAL DISTRIBUTION)

Sizes and power of selected two-sample tests of the equality of survival distributions are compared by simulation for small samples from unequally, randomly-censored exponential distributions. The tests investigated include parametric tests (F, Score, Likelihood, Asymptotic), logrank tests (Mantel, Peto-Peto), and Wilcoxon-Type tests (Gehan, Prentice). Equal sized samples, n = 18, 16, 32 with 1000 (size) and 500 (power) simulation trials, are compared for 16 combinations of the censoring proportions 0%, 20%, 40%, and 60%. For n = 8 and 16, the Asymptotic, Peto-Peto, and Wilcoxon tests perform at nominal 5% size expectations, but the F, Score and Mantel tests exceeded 5% size confidence limits for 1/3 of the censoring combinations. For n = 32, all tests showed proper size, with the Peto-Peto test most conservative in the presence of unequal censoring. Powers of all tests are compared for exponential hazard ratios of 1.4 and 2.0. There is little difference in power characteristics of the tests within the classes of tests considered. The Mantel test showed 90% to 95% power efficiency relative to parametric tests. Wilcoxon-type tests have the lowest relative power but are robust to differential censoring patterns. A modified Peto-Peto test shows power comparable to the Mantel test. For n = 32, a specific Weibull-exponential comparison of crossing survival curves suggests that the relative powers of logrank and Wilcoxon-type tests are dependent on the scale parameter of the Weibull distribution. Wilcoxon-type tests appear more powerful than logrank tests in the case of late-crossing and less powerful for early-crossing survival curves. Guidelines for the appropriate selection of two-sample tests are given. ^

The additive genetic variance after bottlenecks is affected by the number of loci involved in epistatic interactions.

We investigated the role of the number of loci coding for a neutral trait on the release of additive variance for this trait after population bottlenecks. Different bottleneck sizes and durations were tested for various matrices of genotypic values, with initial conditions covering the allele frequency space. We used three different types of matrices. First, we extended Cheverud and Routman's model by defining matrices of "pure" epistasis for three and four independent loci; second, we used genotypic values drawn randomly from uniform, normal, and exponential distributions; and third we used two models of simple metabolic pathways leading to physiological epistasis. For all these matrices of genotypic values except the dominant metabolic pathway, we find that, as the number of loci increases from two to three and four, an increase in the release of additive variance is occurring. The amount of additive variance released for a given set of genotypic values is a function of the inbreeding coefficient, independently of the size and duration of the bottleneck. The level of inbreeding necessary to achieve maximum release in additive variance increases with the number of loci. We find that additive-by-additive epistasis is the type of epistasis most easily converted into additive variance. For a wide range of models, our results show that epistasis, rather than dominance, plays a significant role in the increase of additive variance following bottlenecks.

A direct approach to the discounted penalty function

This paper provides a new and accessible approach to establishing certain results concerning the discounted penalty function. The direct approach consists of two steps. In the first step, closed-form expressions are obtained in the special case in which the claim amount distribution is a combination of exponential distributions. A rational function is useful in this context. For the second step, one observes that the family of combinations of exponential distributions is dense. Hence, it suffices to reformulate the results of the first step to obtain general results. The surplus process has downward and upward jumps, modeled by two independent compound Poisson processes. If the distribution of the upward jumps is exponential, a series of new results can be obtained with ease. Subsequently, certain results of Gerber and Shiu [H. U. Gerber and E. S. W. Shiu, North American Actuarial Journal 2(1): 48–78 (1998)] can be reproduced. The two-step approach is also applied when an independent Wiener process is added to the surplus process. Certain results are related to Zhang et al. [Z. Zhang, H. Yang, and S. Li, Journal of Computational and Applied Mathematics 233: 1773–1 784 (2010)], which uses different methods.

Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

The hierarchical model of branch planning with random coefficients

We consider the management branch model where the random resources of the subsystem are given by the exponential distributions. The determinate equivalent is a block structure problem of quadratic programming. It is solved effectively by means of the decomposition method, which is based on iterative aggregation. The aggregation problem of the upper level is resolved analytically. This overcomes all difficulties concerning the large dimension of the main problem.

Análise clássica e bayesiana do modelo Weibull modificado generalizado

Pós-graduação em Matematica Aplicada e Computacional - FCT

Estimação Bayesiana dos parâmetros da distribuição Exponencial Generalizada Bivariada

Pós-graduação em Matematica Aplicada e Computacional - FCT

The McDonald extended distribution: properties and applications

We study a five-parameter lifetime distribution called the McDonald extended exponential model to generalize the exponential, generalized exponential, Kumaraswamy exponential and beta exponential distributions, among others. We obtain explicit expressions for the moments and incomplete moments, quantile and generating functions, mean deviations, Bonferroni and Lorenz curves and Gini concentration index. The method of maximum likelihood and a Bayesian procedure are adopted for estimating the model parameters. The applicability of the new model is illustrated by means of a real data set.

A Parametric Test of Perfect Ranking in Balanced Ranked Set Sampling

Many techniques based on data which are drawn by Ranked Set Sampling (RSS) scheme assume that the ranking of observations is perfect. Therefore it is essential to develop some methods for testing this assumption. In this article, we propose a parametric location-scale free test for assessing the assumption of perfect ranking. The results of a simulation study in two special cases of normal and exponential distributions indicate that the proposed test performs well in comparison with its leading competitors.

Fitting model-based psychometric functions to simultaneity and temporal-order judgment data: MATLAB and R routines

Research on temporal-order perception uses temporal-order judgment (TOJ) tasks or synchrony judgment (SJ) tasks in their binary SJ2 or ternary SJ3 variants. In all cases, two stimuli are presented with some temporal delay, and observers judge the order of presentation. Arbitrary psychometric functions are typically fitted to obtain performance measures such as sensitivity or the point of subjective simultaneity, but the parameters of these functions are uninterpretable. We describe routines in MATLAB and R that fit model-based functions whose parameters are interpretable in terms of the processes underlying temporal-order and simultaneity judgments and responses. These functions arise from an independent-channels model assuming arrival latencies with exponential distributions and a trichotomous decision space. Different routines fit data separately for SJ2, SJ3, and TOJ tasks, jointly for any two tasks, or also jointly for the three tasks (for common cases in which two or even the three tasks were used with the same stimuli and participants). Additional routines provide bootstrap p-values and confidence intervals for estimated parameters. A further routine is included that obtains performance measures from the fitted functions. An R package for Windows and source code of the MATLAB and R routines are available as Supplementary Files.

Fitting phase type distribution to service process with sequential phases

The work of this thesis is concerned with fitting Hypo-exponential and Erlang phase type distributions for modeling real life processes with non-exponential service time. There exist situations where exponential distributions cannot explain the distribution of service time properly. This thesis presents the application of two traditional statistical estimation techniques to approximate the service distributions of processes with coefficient of variation less than one. It also presents an algorithm to fit Hypo-exponential distribution for complex situations which can’t be handled properly with traditional estimation techniques. The result shows the effect of variation of sample size and other parameters on the efficiency of the estimation techniques by comparing their respective outputs. Furthermore it checks how accurately the proposed algorithm approximates a given distribution.