Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
Articles 1 - 2 of 2
Full-Text Articles in Physical Sciences and Mathematics
Generalized Exponential Models With Applications, Iman Mabrouk
Generalized Exponential Models With Applications, Iman Mabrouk
Electronic Thesis and Dissertation Repository
We introduce a generalized exponential model whose exact moments and normalizing constant are obtained in terms of Meijer’s generalized hypergeometric G-function. Actually, several widely utilized statistical distributions such as the gamma, Weibull and half-normal constitute particular cases thereof. The generalized inverse Gaussian distribution, which was popularized in the late seventies by Ole Barndor_Neilsen, is also extended by incorporating an additional parameter in its density function, the moments of the resulting distribution being expressed in terms of Bessel functions. A number of data sets were then fitted with diverse exponential-type models for comparison purposes. Additionally, it is shown that the …
Diagnostic Checking, Time Series And Regression, Esam Mahdi
Diagnostic Checking, Time Series And Regression, Esam Mahdi
Electronic Thesis and Dissertation Repository
In this thesis, a new univariate-multivariate portmanteau test is derived. The proposed test statistic can be used for diagnostic checking ARMA, VAR, FGN, GARCH, and TAR time series models as well as for checking randomness of series and goodness-of- fit VAR models with stable Paretian errors. The asymptotic distribution of the test statistic is derived as well as a chi-square approximation. However, the Monte-Carlo test is recommended unless the series is very long. Extensive simulation experiments demonstrate the usefulness of this test and its improved power performance compared to widely used previous multivariate portmanteau diagnostic check. The contributed R package …