On some composite Kies families: distributional properties and saturation in Hausdorff sense

Autor:	Tsvetelin Zaevski, Nikolay Kyurkchiev
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	Exponential distribution Weibull distribution Kies distribution estimator tail behavior Hausdorff saturation Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Modern Stochastics: Theory and Applications, Vol 10, Iss 3, Pp 287-312 (2023)
Druh dokumentu:	article
ISSN:	2351-6046 2351-6054
DOI:	10.15559/23-VMSTA227
Popis:	The stochastic literature contains several extensions of the exponential distribution which increase its applicability and flexibility. In the present article, some properties of a new power modified exponential family with an original Kies correction are discussed. This family is defined as a Kies distribution which domain is transformed by another Kies distribution. Its probabilistic properties are investigated and some limitations for the saturation in the Hausdorff sense are derived. Moreover, a formula of a semiclosed form is obtained for this saturation. Also the tail behavior of these distributions is examined considering three different criteria inspired by the financial markets, namely, the VaR, AVaR, and expectile based VaR. Some numerical experiments are provided, too.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/ae52e4b5f3b94753b583c260fdda9feb Zobrazit plný text záznamu View record in DOAJ