Probability Distribution Mapping and Parameter Estimation of Continuous Random Financial Data

Probability-possibility DEA model with Fuzzy random data in presence of skew-Normal distribution

Data envelopment analysis (DEA) is a mathematical method to evaluate the performance of decision-making units (DMU). In the performance evaluation of an organization based on the classical theory of DEA, input and output data are assumed to be deterministic, while in the real world, the observed values of the inputs and outputs data are mainly fuzzy and random. A normal distribution is a contin...

The effect of parameter estimation on Phase II control chart performance in monitoring financial GARCH processes with contaminated data

The application of control charts for monitoring financial processes has received a greater focus after recent global crisis. The Generelized AutoRegressive Conditional Heteroskedasticity (GARCH) time series model is widely applied for modelling financial processes. Therefore, traditional Shewhart control chart is developed to monitor GARCH processes. There are some difficulties in financial su...

Estimation of Continuous–Time Financial Models Using High–Frequency Data

Estimation of parameter of proportion in Binomial Distribution Using Adjusted Prior Distribution

Historically, various methods were suggested for the estimation of Bernoulli and Binomial distributions parameter. One of the suggested methods is the Bayesian method, which is based on employing prior distribution. Their sound selection on parameter space play a crucial role in reducing posterior Bayesian estimator error. At times, large scale of the parametric changes on parameter space bring...

Probability Distribution of the Order Parameter

The probability distribution of the order parameter is analyzed in order to obtain the criticality of magnetic systems. Monte Carlo simulations have been employed by using single spin flip Metropolis algorithm aided by finite-size scaling and histogram reweighting techniques. A method is proposed to obtain this probability distribution even when the transition temperature of the model is unknow...