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Showing 14 results for Amini
Samane Khosravi, Mohammad Amini, Gholamreza Mohtashami Borzadaran,
Volume 6, Issue 1 (8-2012)
Abstract
This paper explores the optimal criterion for comparison of some Phi-divergence measures. The dependence for generalized Farlie Gumbel Morgenstern family of copulas is numerically calculated and it has been shown that the Hellinger measure is the optimal criterion for measuring the divergence from independence.
Mohammad Amini, Hadi Jabbari Noughabi, Mahla Ghasemnejad Farsangi,
Volume 6, Issue 2 (2-2013)
Abstract
In this paper, three new non-parametric estimator for upper tail dependence measure are introduced and it is shown that these estimators are consistent and asymptotically unbiased. Also these estimators are compared using the Mont Carlo simulation of three different copulas and present a new method in order to select the best estimator by applying the real data.
Hamid Reza Nilisani, Mohamma Amini, Abolghasem Bozorgnia,
Volume 10, Issue 1 (8-2016)
Abstract
An important inequality for distribution of maximum independent random variables is Levy inequality. In this paper, a version of this inequality for weakly negative dependent random variables will be provided. The strong law for dependent random variables has been studied by different authors. In this research, also, the weighted complete convergence for arrays of rowwise negatively dependent random variables that are stochastically bounded will be obtained. complete convergence and strong law for such random variables will result.
Ebrahim Amini-Seresht, Majid Sadeghifar, Mona Shiri,
Volume 12, Issue 1 (9-2018)
Abstract
In this paper, we further investigate stochastic comparisons of the lifetime of parallel systems with heterogeneous independent Pareto components in term of the star order and convex order. It will be proved that the lifetime of a parallel system with heterogeneous independent components from Pareto model is always smaller than from the lifetime of another parallel system with homogeneous independent components from Pareto model in the sense of convex order. Also, under a general condition on the scale parameters, it is proved a result involving with star order.
Mahdi Roozbeh, Morteza Amini,
Volume 13, Issue 2 (2-2020)
Abstract
In many fields such as econometrics, psychology, social sciences, medical sciences, engineering, etc., we face with multicollinearity among the explanatory variables and the existence of outliers in data. In such situations, the ordinary least-squares estimator leads to an inaccurate estimate. The robust methods are used to handle the outliers. Also, to overcome multicollinearity ridge estimators are suggested. On the other hand, when the error terms are heteroscedastic or correlated, the generalized least squares method is used. In this paper, a fast algorithm for computation of the feasible generalized least trimmed squares ridge estimator in a semiparametric regression model is proposed and then, the performance of the proposed estimators is examined through a Monte Carlo simulation study and a real data set.
Ebrahim Amini Seresht, Ghobad Barmalzan,
Volume 14, Issue 2 (2-2021)
Abstract
This paper examines the problem of stochastic comparisons of k-out-of-n systems with independent multiple-outlier scale components. In this regard, we first consider a k-out-of-n system comprising multiple-outlier scale components and then, by using a permanent function, investigate the likelihood ratio order between these systems.
Morteza Mohammadi, Mahdi Emadi, Mohammad Amini,
Volume 15, Issue 1 (9-2021)
Abstract
Divergence measures can be considered as criteria for analyzing the dependency and can be rewritten based on the copula density function. In this paper, Jeffrey and Hellinger dependency criteria are estimated using the improved probit transformation method, and their asymptotic consistency is proved. In addition, a simulation study is performed to measure the accuracy of the estimators. The simulation results show that for low sample size or weak dependence, the Hellinger dependency criterion performs better than Kullback-Libeler and Jeffrey dependency criteria. Finally, the application of the studied methods in hydrology is presented.
Mojtaba Esfahani, Mohammad Amini, Gholamreza Mohtashami Borzadaran,
Volume 15, Issue 1 (9-2021)
Abstract
In this article, the total time on test (TTT) transformation and its major properties are investigated. Then, the relationship between the TTT transformation and some subjects in reliability theory is expressed. The TTT diagram is also drawn for some well-known lifetime distributions, and a real-data analysis is performed based on this diagram. A new distorted family of distributions is introduced using the distortion function. The statistical interpretation of the new life distribution from the perspective of reliability is provided, and its survival function is derived. Finally, a generalization of the Weibull distribution is introduced using a new distortion function. A real data analysis shows its superiority in fitting in comparison to the traditional Weibull model.
Ebrahim Amini Seresht, Ghobad Barmalzan,
Volume 15, Issue 2 (3-2022)
Abstract
This paper discusses stochastic comparisons of the parallel and series systems comprising multiple-outlier scale components. Under uncertain conditions on the baseline reversed hazard rate, hazard rate functions and scale parameters, the likelihood ratio, dispersive and mean residual life orders between parallel and series systems are established. We then apply the results for two exceptional cases of the multiple-outlier scale model: gamma and Pareto multiple-outlier components to illustrate the found results.
Ghobad Barmalzan, Ali Akbar Hosseinzadeh, Ebrahim Amini Seresht,
Volume 15, Issue 2 (3-2022)
Abstract
This paper discusses the hazard rate order of the fail-safe systems arising from two sets of independent multiple-outlier scale distributed components. Under certain conditions on scale parameters in the scale model and the submajorization order between the sample size vectors, the hazard rate ordering between the corresponding fail-safe systems from multiple-outlier scale random variables is established. Under certain conditions on the Archimedean copula and scale parameters, we also discuss the usual stochastic order of these systems with dependent components.
Ebrahim Amini-Seresht, Ghobad Barmalzan, Ebrahim Nasiroleslami,
Volume 16, Issue 1 (9-2022)
Abstract
This paper deals with some stochastic comparisons of convolution of random variables comprising scale variables. Sufficient conditions are established for these convolutions' likelihood ratio ordering and hazard rate order. The results established in this paper generalize some known results in the literature. Several examples are also presented for more illustrations.
Bibi Maryam Taheri, Hadi Jabbari, Mohammad Amini,
Volume 16, Issue 1 (9-2022)
Abstract
Paying attention to the copula function in order to model the structure of data dependence has become very common in recent decades. Three methods of estimation, moment method, mixture method, and copula moment, are considered to estimate the dependence parameter of copula function in the presence of outlier data. Although the moment method is an old method, sometimes this method leads to inaccurate estimation. Thus, two other moment-based methods are intended to improve that old method. The simulation study results showed that when we use copula moment and mixture moment for estimating the dependence parameter of copula function in the presence of outlier data, the obtained MSEs are smaller. Also, the copula moment method is the best estimate based on MSE. Finally, the obtained numerical results are used in a practical example.
Mrs. Elaheh Kadkhoda, Mr. Gholam Reza Mohtashami Borzadaran, Mr. Mohammad Amini,
Volume 18, Issue 1 (8-2024)
Abstract
Maximum entropy copula theory is a combination of copula and entropy theory. This method obtains the maximum entropy distribution of random variables by considering the dependence structure. In this paper, the most entropic copula based on Blest's measure is introduced, and its parameter estimation method is investigated. The simulation results show that if the data has low tail dependence, the proposed distribution performs better compared to the most entropic copula distribution based on Spearman's coefficient. Finally, using the monthly rainfall series data of Zahedan station, the application of this method in the analysis of hydrological data is investigated.
Roghayeh Ghorbani Gholi Abad, Gholam Reza Mohtashami Borzadaran, Mohammad Amini, Zahra Behdani,
Volume 18, Issue 2 (2-2025)
Abstract
Abstract: The use of tail risk measures has been noticed in recent decades, especially in the financial and banking industry. The most common ones are value at risk and expected shortfall. The tail Gini risk measure, a composite risk measure, was introduced recently. The primary purpose of this article is to find the relationship between the concepts of economic risks, especially the expected shortfall and the tail Gini risk measure, with the concepts of inequality indices in the economy and reliability. Examining the relationship between these concepts allows the researcher to use the concepts of one to investigate other concepts. As you will see below, the existing mathematical relationships between the tail risk measures and the mentioned indices have been obtained, and these relationships have been calculated for some distributions. Finally, real data from the Iranian Stock Exchange was used to familiarize the concept of this tail risk measure.
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