February 20, 2015 Type Package Title Poisson lognormal and bivariate Poisson lognormal distribution Version 0.4 Date 2008-04-29 Author Vidar Grøtan and Steinar Engen Maintainer Vidar Grøtan Description Functions for obtaining the density, random deviates and maximum likelihood estimates of the Poisson lognormal distribution and the bivariate Poisson lognormal distribu...

The standard approaches to estimating minimum variance hedge ratios (MVHRs) are mis-specified when futures prices are subject to price limits. This paper proposes a bivariate tobit-FIGARCH model with maturity effects to estimate dynamic MVHRs using single and multiple period approaches. Simulations and an application to a commodity futures hedge support the proposed approach and highlight the i...

This paper fist examines three set of bivariate cointegrations between any two of current accounts, stock markets, and currency exchange markets in ten Asian countries. Furthermore, we examined the effect of country characters on this bivariate cointegration. Our findings suggest that for three sets of cointegration test, each sample country at least exists one cointegration. India consistently...

Ranked Set Sampling (RSS) is a statistical method for data collection that leads to more efficient estimators than competitors based on Simple Random Sampling (SRS). We consider testing the correlation coefficient of bivariate normal distribution based on Bivariate RSS (BVRSS). Under one-sided and two-sided alternatives, we show that the new tests based on BVRSS are more powerful than the usua...

Frailty models are used in survival analysis to account for unobserved heterogeneity in individual risks to disease and death. To analyze bivariate data on related survival times (e.g. matched pairs experiments, twin or family data), bivariate correlated frailty models were suggested, where the frailties were constructed using independent additive components. The purpose of this paper is to des...

In this paper, we introduce a new skewed distribution of which normal and power normal distributions are two special cases. This distribution is obtained by taking geometric maximum of independent identically distributed power normal random variables. We call this distribution as the power normal--geometric distribution. Some mathematical properties of the new distribution are presented. Maximu...

Abstract. Maximum likelihood (ML) estimation based on bivariate record data is considered as the general inference problem. Assume that the process of observing k records is repeated m times, independently. The asymptotic properties including consistency and asymptotic normality of the Maximum Likelihood (ML) estimates of parameters of the underlying distribution is then established, when m is ...

let x1;x2;...;xn have a jointly multivariate exchangeable normal distribution. in this work we investigate another proof of the independence of x and s2 using order statistics. we also assume that (xi ; yi); i =1; 2;...; n; jointly distributed in bivariate normal and establish the independence of the mean and the variance of concomitants of order statistics.