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Hui Yao and Thomas Taimre
We consider the problem of estimating tail probabilities of random sums of scale mixture of phase-type distributions?a class of distributions corresponding to random variables which can be represented as a product of a non-negative but otherwise arbitrar...
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Jenq-Tzong Shiau and Yu-Cheng Lien
Less-frequent and inadequate sampling of sediment data has negatively impacted the long and continuous records required for the design and operation of hydraulic facilities. This data-scarcity problem is often found in most river basins of Taiwan. This s...
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Jiang Li, Wenzhen Wei, Shuo Zhang, Guoqing Li and Chenghong Gu
Micro phasor measurement units (μPMU) installed in active distribution networks are very useful for improving observability by acquiring system real-time data. However, three-phase imbalance and harmonic power flows adversely impact the accuracy of sy...
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Faustin Habyarimana, Temesgen Zewotir and Shaun Ramroop
Childhood anemia is among the most significant health problems faced by public health departments in developing countries. This study aims at assessing the determinants and possible spatial effects associated with childhood anemia in Rwanda. The 2014/201...
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Nan-Ching Yeh, Chung-Chih Liu and Wann-Jin Chen
This study quantitatively estimated the precipitation associated with a typhoon in the northwestern Pacific Ocean by using a physical algorithm which included the Weather Research and Forecasting model, Radiative Transfer for TIROS Operational Vertical S...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Yong Jun Cho
The theoretical treatment of statistical properties relevant to nonlinear random waves of finite bandwidth, such as the joint distribution of wave crest and its associated wave period, is an overdue task hampered by the complicated form of the analytical...
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Simone Kruse, Thomas Tischer, Timo Wittig
The global platinum market has been in downturn and unstable for five consecutive years, and thus market participants are demanding effective quantitative risk management tools. Since platinum is so widely used and serves as an important investment vehic...
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Limin Wu
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 t...
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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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Monica Cristina Meschiatti, Gabriel Constantino Blain
Pág. 417 - 422
The Generalized Extreme value Distribution (GEV) has been widely used to assess the probability of extreme weather events and the parameter estimation method is a key factor for improving its quantile estimates. On such background, this study aimed to in...
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Marko Katalinic and Jo?ko Parunov
Wind and waves present the main causes of environmental loading on seagoing ships and offshore structures. Thus, its detailed understanding can improve the design and maintenance of these structures. Wind and wave statistical models are developed based o...
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Fernando Antonio Lucena Aiube,Carlos Patrício Samanez,Larissa de Oliveira Resende,Tara Keshar Nanda Baidya
Pág. 511 - 535
We examine the ability of three different GARCH-class models, with four innovation distributions, to capture the volatility properties of natural gas futures contracts traded on the New York Mercantile Exchange. We jointly estimate the long-memory proces...
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Mingwen Zhao, Xiaodong Deng and Jichao Wang
The bivariate probability distribution of significant wave heights and mean wave periods has an indispensable guiding role in the implementation of offshore engineering, which has attracted great attention. This work gives a new bivariate method to descr...
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Joel R. Bock and Akhilesh Maewal
Product recommendation can be considered as a problem in data fusion?estimation of the joint distribution between individuals, their behaviors, and goods or services of interest. This work proposes a conditional, coupled generative adversarial network (R...
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Jaime Enrique Lincovil,Chang Chiann
Pág. 56 - 76
Evaluating forecasts of risk measures, such as value?at?risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we comp...
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Harry R. Podschwit, Narasimhan K. Larkin, E. Ashley Steel, Alison Cullen and Ernesto Alvarado
Climate change is anticipated to influence future wildfire activity in complicated, and potentially unexpected ways. Specifically, the probability distribution of wildfire size may change so that incidents that were historically rare become more frequent...
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Chawarat Rotejanaprasert and Andrew B. Lawson
Quantile modeling has been seen as an alternative and useful complement to ordinary regression mainly focusing on the mean. To directly apply quantile modeling to areal data the discrete conditional quantile function of the data can be an issue. Although...
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Yang Wang, Chuanzhe Li, Jia Liu, Fuliang Yu, Qingtai Qiu, Jiyang Tian and Mengjie Zhang
The performance evaluation of a city?s flood control system is essentially based on accurate storm designs, where a particular challenge is the development of the joint distributions of dependent rainfall variables. When it comes to the research design f...
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Yang Wang, Chuanzhe Li, Jia Liu, Fuliang Yu, Qingtai Qiu, Jiyang Tian, Mengjie Zhang
Pág. 1 - 16
The performance evaluation of a city?s flood control system is essentially based on accurate storm designs, where a particular challenge is the development of the joint distributions of dependent rainfall variables. When it comes to the research design f...
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