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Author Spotlight: Establishing a Rodent Model for Investigating Depression Factors in Traditional Mongolian Medicine
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On the Stress-Strength Reliability of Transmuted GEV Random Variables with Applications to Financial Assets
Melquisadec Oliveira1, Felipe S Quintino1, Dióscoros Aguiar2
1Department of Statistics, University of Brasília, Brasília 70910-900, DF, Brazil.
Entropy (Basel, Switzerland)
|June 26, 2024
Summary
This study introduces a new reliability measure, R=P(X
Area of Science:
- Statistics
- Probability Theory
- Financial Mathematics
Background:
- Reliability measures like R=P(X
- Existing methods often lack flexibility in modeling complex variable behaviors.
Purpose of the Study:
- To derive new analytical relationships for the reliability measure R=P(X
- To apply these findings to financial asset selection using the transmuted generalized extreme-value (TGEV) distribution.
- To offer a more flexible approach compared to existing literature.
Main Methods:
- Derivation of analytical relationships for R using special functions.
- Modeling random variables X and Y with the transmuted generalized extreme-value (TGEV) distribution.
- Conducting a Monte-Carlo simulation study to validate results.
Main Results:
- New, more flexible analytical formulas for R=P(X
- The TGEV distribution proved effective for modeling financial asset returns.
- The reliability measure R demonstrated utility in selecting financial assets.
Conclusions:
- The derived reliability measure R=P(X
- This approach provides a valuable alternative to traditional methods like modern portfolio theory.
- The study highlights the practical applicability of advanced probability distributions in finance.
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