مشخصات پژوهش

خانه /The OddLog-Logistic Weibull-G ...
عنوان
The OddLog-Logistic Weibull-G Family of Distributions with Regression and Financial Risk Models
نوع پژوهش مقالات در نشریات
کلیدواژه‌ها
Odd log-logistic-G family · Weibull-G family · Regression model · Value at risk · Simulation · Maximum likelihood · Financial risk modeling
چکیده
A new generalization of the Weibull-G family is proposed with two extra shape param- eters. The mathematical properties are derived in great detail. Using the Weibull and normal distributions as baseline distributions, two models are introduced. The first model is a location-scale regression model based on a new extension of the Weibull distribution. The second model is a new two-step financial risk model to forecast the daily value at risk. The flexibility and applicability of the proposed models are inves- tigated by means of five real data sets on the lifetime and financial returns. Empirical findings of the study show that proposed models work well and produce better results than other well-known models for financial risk modeling and censored lifetime data analysis.
پژوهشگران مهدی راسخی (نفر اول)، امراه التون (نفر دوم)، مراد علیزاده (نفر سوم)، هیثم یوسف (نفر چهارم)