scholarly journals A general stochastic model for bivariate episodes driven by a gamma sequence

2021 ◽  
Vol 8 (1) ◽  
Author(s):  
Charles K. Amponsah ◽  
Tomasz J. Kozubowski ◽  
Anna K. Panorska
Keyword(s):  
Stochastic Model ◽  
Joint Distribution ◽  
Pareto Distribution ◽  
Integral Transforms ◽  
Bivariate Distribution ◽  
Conditional Distributions ◽  
General Stochastic Model ◽  
Heavy Tailed ◽  
Discrete Pareto Distribution ◽  
Special Case

AbstractWe propose a new stochastic model describing the joint distribution of (X,N), where N is a counting variable while X is the sum of N independent gamma random variables. We present the main properties of this general model, which include marginal and conditional distributions, integral transforms, moments and parameter estimation. We also discuss in more detail a special case where N has a heavy tailed discrete Pareto distribution. An example from finance illustrates the modeling potential of this new mixed bivariate distribution.

scholarly journals Drawing transmission graphs for COVID-19 in the perspective of network science

2020 ◽  
Vol 148 ◽  
Author(s):  
N. Gürsakal ◽  
B. Batmaz ◽  
G. Aktuna
Keyword(s):  
Probability Distribution ◽  
Network Science ◽  
Pareto Distribution ◽  
Transmission Probability ◽  
Transmission Network ◽  
Pareto Principle ◽  
Infected People ◽  
Discrete Pareto Distribution ◽  
Local Transmission

Abstract When we consider a probability distribution about how many COVID-19-infected people will transmit the disease, two points become important. First, there could be super-spreaders in these distributions/networks and second, the Pareto principle could be valid in these distributions/networks regarding estimation that 20% of cases were responsible for 80% of local transmission. When we accept that these two points are valid, the distribution of transmission becomes a discrete Pareto distribution, which is a kind of power law. Having such a transmission distribution, then we can simulate COVID-19 networks and find super-spreaders using the centricity measurements in these networks. In this research, in the first we transformed a transmission distribution of statistics and epidemiology into a transmission network of network science and second we try to determine who the super-spreaders are by using this network and eigenvalue centrality measure. We underline that determination of transmission probability distribution is a very important point in the analysis of the epidemic and determining the precautions to be taken.

scholarly journals Heavy Tailed Pareto Distribution: Properties and Applications

2021 ◽  
Vol 18 (4) ◽  
pp. 828-845
Author(s):  
K. Jayakumar ◽  
A. P. Kuttykrishnan ◽  
Bindu Krishnan
Keyword(s):  
Pareto Distribution ◽  
Heavy Tailed

A bivariate distribution in regeneration

1975 ◽  
Vol 12 (4) ◽  
pp. 837-839 ◽  
Author(s):  
Kai Lai Chung
Keyword(s):  
Boundary Point ◽  
Joint Distribution ◽  
Bivariate Distribution ◽  
Regenerative Phenomenon

The joint distribution of the time since last exit, and the time until next entrance, into a unique boundary point is given in Formula (1) below. The boundary point may be replaced by a regenerative phenomenon.

The transition probabilities of the general stochastic epidemic model

1975 ◽  
Vol 12 (3) ◽  
pp. 415-424 ◽  
Author(s):  
Richard J. Kryscio
Keyword(s):  
Stochastic Model ◽  
Convenient Method ◽  
Epidemic Model ◽  
Transition Probabilities ◽  
Stochastic Epidemic ◽  
General Stochastic Model ◽  
Stochastic Epidemic Model ◽  
Forward Equations ◽  
General Stochastic

Recently, Billard (1973) derived a solution to the forward equations of the general stochastic model. This solution contains some recursively defined constants. In this paper we solve these forward equations along each of the paths the process can follow to absorption. A convenient method of combining the solutions for the different paths results in a simplified non-recursive expression for the transition probabilities of the process.

scholarly journals The Lambert Way to Gaussianize Heavy-Tailed Data with the Inverse of Tukey’shTransformation as a Special Case

2015 ◽  
Vol 2015 ◽  
pp. 1-16 ◽  
Author(s):  
Georg M. Goerg
Keyword(s):  
Heavy Tails ◽  
Random Variable ◽  
R Package ◽  
Heavy Tail ◽  
Cumulative Distribution ◽  
Lambert W Function ◽  
Inverse Transformation ◽  
Heavy Tailed ◽  
Probability Density Function Pdf ◽  
Special Case

I present a parametric, bijective transformation to generate heavy tail versions of arbitrary random variables. The tail behavior of thisheavy tail Lambert  W × FXrandom variable depends on a tail parameterδ≥0: forδ=0,Y≡X, forδ>0 Yhas heavier tails thanX. ForXbeing Gaussian it reduces to Tukey’shdistribution. The Lambert W function provides an explicit inverse transformation, which can thus remove heavy tails from observed data. It also provides closed-form expressions for the cumulative distribution (cdf) and probability density function (pdf). As a special case, these yield analytic expression for Tukey’shpdf and cdf. Parameters can be estimated by maximum likelihood and applications to S&P 500 log-returns demonstrate the usefulness of the presented methodology. The R packageLambertWimplements most of the introduced methodology and is publicly available onCRAN.

Penggunaan Taburan Pareto Umum dalam Menganalisis Nilai Ekstrim Banjir Menggunakan Siri Aliran Puncak Melebihi Paras

2012 ◽  
Author(s):  
Ani Shabri
Keyword(s):  
Poisson Process ◽  
Pareto Distribution ◽  
Generalized Pareto Distribution ◽  
Flood Frequency ◽  
Flood Frequency Analysis ◽  
Annual Maximum ◽  
Peaks Over Threshold ◽  
Heavy Tailed Distributions ◽  
Probability Weighted Moment ◽  
Heavy Tailed

Siri banjir tahunan maksimum (Annual Maximum, AM) merupakan pendekatan yang begitu terkenal dalam analisis frekuensi banjir. Siri puncak melebihi paras (peaks over threshold, POT) telah digunakan sebagai alternatif kepada siri banjir tahunan maksimum. Masalah utama dalam pendekatan POT adalah berkaitan pemilihan paras yang sesuai. Dalam kajian ini, kesan perubahaan paras bagi siri POT ke atas nilai anggaran dikaji. Model POT dengan andaian bahawa bilangan puncak melebihi paras bertabur secara Poisson dan magnitud puncak melebihi paras tertabur secara Pareto Umum (General Pareto Distribution, GPD) dibincangkan. Parameter taburan GPD dianggar menggunakan kaedah kebarangkalian pemberat momen (Probability Weighted Moment, PWM) untuk paras yang diketahui. Perbandingan kesesuaian model POT dan model AM dalam menganggarkan nilai hujung atas taburan dibuat. Hasil kajian menunjukkan bahawa apabila paras siri POT boleh disuaikan oleh taburan Pareto dengan proses Poisson, model POT didapati dapat menghasilkan anggaran nilai hujung atas taburan lebih baik berbanding model aliran maksimum. Kata kunci: Siri puncak melebihi paras, proses poisson, taburan pareto umum, GEV, hujung atas taburan Annual maximum flood series remains the most popular approach to flood frequency analysis. Peaks over threshold series have been used as an alternative to annual maximum series. One specific difficulty of the POT approach is the selection of the threshold level. In this study the effect of raising the threshold of the POT series on heavy-tailed distributions estimation is investigated. The POT model described by the generalized Pareto distribution for peak magnitudes with the Poisson process for the occurrence of peaks is discussed. Estimation of the GPD parameters by the method of probability weighted moment (PWM) is formulated for known thresholds. A comparison of the efficiencies of the POT and AM models in heavy-tailed distributions is made. The result showed that when the threshold of POT series can be fitted by GPD with the Poisson process, the POT model is more efficient than the annual maximum (AM) model in estimating the highest extreme value. Key words: Peaks over threshold, poisson process, pareto distribution, GEV, heavy tailed distributions

scholarly journals Tuning the Bivariate Meta-Gaussian Distribution Conditionally in Quantifying Precipitation Prediction Uncertainty

Forecasting ◽  
2020 ◽  
Vol 2 (1) ◽  
pp. 1-19 ◽  
Author(s):  
Limin Wu
Keyword(s):  
Gaussian Distribution ◽  
Conditional Distribution ◽  
Joint Distribution ◽  
Goodness Of Fit ◽  
Pearson Correlation ◽  
Parameter Tuning ◽  
Bivariate Distribution ◽  
Distribution Model ◽  
Standard Normal ◽  
Forecast Variable

One of the ways to quantify uncertainty of deterministic forecasts is to construct a joint distribution between the forecast variable and the observed variable; then, the uncertainty of the forecast can be represented by the conditional distribution of the observed given the forecast. The joint distribution of two continuous hydrometeorological variables can often be modeled by the bivariate meta-Gaussian distribution (BMGD). The BMGD can be obtained by transforming each of the two variables to a standard normal variable and the dependence between the transformed variables is provided by the Pearson correlation coefficient of these two variables. The BMGD modeling is exact provided that the transformed joint distribution is standard normal. In real-world applications, however, this normality assumption is hardly fulfilled. This is often the case for the modeling problem we consider in this paper: establish the joint distribution of a forecast variable and its corresponding observed variable for precipitation amounts accumulated over a duration of 24 h. In this case, the BMGD can only serve as an approximate model and the dependence parameter can be estimated in a variety of ways. In this paper, the effect of tuning this parameter is studied. Numerical simulations conducted suggest that, while the parameter tuning results in limited improvements in goodness-of-fit (GOF) for the BMGD as a bivariate distribution model, better results may be achieved by tuning the parameter for the one-dimensional conditional distribution of the observed given the forecast greater than a certain large value.

Mass transportation problems with capacity constraints

1999 ◽  
Vol 36 (2) ◽  
pp. 433-445 ◽  
Author(s):  
S. T. Rachev ◽  
I. Olkin
Keyword(s):  
Joint Distribution ◽  
Bivariate Distribution ◽  
Capacity Constraints ◽  
Distribution Functions ◽  
Mass Transportation ◽  
Marginal Distributions ◽  
Transportation Problems ◽  
The Family ◽  
Additional Capacity ◽  
Additional Constraints

We exhibit solutions of Monge–Kantorovich mass transportation problems with constraints on the support of the feasible transportation plans and additional capacity restrictions. The Hoeffding–Fréchet inequalities are extended for bivariate distribution functions having fixed marginal distributions and satisfying additional constraints. Sharp bounds for different probabilistic functionals (e.g. Lp-distances, covariances, etc.) are given when the family of joint distribution functions has prescribed marginal distributions, satisfies restrictions on the support, and is bounded from above, or below, by other distributions.

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