EconStor Collection:
https://hdl.handle.net/10419/58000
2024-03-29T00:59:59ZWeighted generalized beta distribution of the second kind and related distributions
https://hdl.handle.net/10419/58014
Title: Weighted generalized beta distribution of the second kind and related distributions
Authors: Ye, Yuan; Oluyede, Broderick O.; Pararai, Mavis
Abstract: In this paper, a new class of weighted generalized beta distribution of the second kind (WGB2) is presented. The construction makes use of the conservability approach which includes the size or length-biased distribution as a special case. The class of WGB2 is used as descriptive models for the distribution of income. The results that are presented generalizes the generalized beta distribution of second kind (GB2). The properties of these distributions including behavior of hazard functions, moments, variance, coefficients of variation, skewness and kurtosis are obtained. The moments of other weighted distributions that are related to WGB2 are obtained. Other important properties including entropy (generalized and beta) which are measures of the uncertainty in this class of distributions are derived and studied.2012-01-01T00:00:00ZAn application of control charts in manufacturing industry
https://hdl.handle.net/10419/58015
Title: An application of control charts in manufacturing industry
Authors: Riaz, Muhammad; Muhammad, Faqir
Abstract: The range control chart and the X bar control chart are the well known and the most popular tools for detecting out- of-control signals in the Statistical Quality Control (SQC). The control charts has shown his worth in the manufacturing industry. In this study we have applied the range and the X bar control charts to a product of Swat Pharmaceutical Company. The variables under study were weight/ml, Ph, Citrate % and the amount of fill. Besides the X bar control chart, the exponentially weighted moving average control chart and the multivariate Hotelling's T2 control chart were applied to the same data.2012-01-01T00:00:00ZDoes heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies
https://hdl.handle.net/10419/58011
Title: Does heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies
Authors: Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu
Abstract: This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010, the GARCH models are estimated accounting for the sudden shifts detected by ICSS algorithm. The unexpected changes in stock price volatility seem to arise from the important global, regional, and domestic political as well as economic events. The findings also suggest that the ignorance of structural changes in volatility seems to lead to overestimation of persistence parameters of GARCH models. This finding corroborates many earlier studies in this context.2012-01-01T00:00:00ZRegime shifts in asymmetric GARCH models assuming heavy-tailed distribution: Evidence from GCC stock markets
https://hdl.handle.net/10419/58012
Title: Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution: Evidence from GCC stock markets
Authors: Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu
Abstract: In this study, we have investigated GCC stock market volatilities exploiting a number of asymmetric models (EGARCH, ICSS-EGARCH, GJR-GARCH, and ICSS-GJR-GARCH).This paper uses the weekly data over the period 2003-2010. The ICSS-EGARCH and ICSS-GJR-GARCH models take into account the discrete regime shifts in stochastic errors. The finding supports the widely accepted view that accounting for the regime shifts detected by the iterated cumulative sums of squares (ICSS) algorithm in the variance equations overcomes the overestimation of volatility persistence. In addition, we have discovered that the sudden changes are generally associated with global, regional, and domestic economic as well as political events. Importantly, the asymmetric model estimations use normal as well as heavy-tailed conditional densities.2012-01-01T00:00:00Z