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Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns
(2013-11-01)
Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for ...
Família distribuição gama exponenciada
(Universidade Estadual Paulista (Unesp), 2017-03-06)
Devido aos inúmeros campos para aplicações na Análise de Sobrevivência, diferentes funções de risco são necessárias para modelar os mais diversos casos em estudo. Portanto, ao criar novas distribuições pode-se obter ...
Goodness of fit tests for Rayleigh distribution based on Phi-divergence
(Universidad Nacional de Colombia - Sede Bogotá - Facultad de Ciencias - Departamento de Estadística, 2017-07-01)
In this paper, we develop some goodness of fit tests for Rayleigh distribution based on Phi-divergence. Using Monte Carlo simulation, we compare the power of the proposed tests with some traditional goodness of fit tests ...