A multivariate probability model possessing a dependence structure that is reflected in its variance–covariance structure and gamma distributed univariate margins is introduced and studied. In particular, the higher order moments and cumulants, Chebyshevtype inequalities and multivariate probability density functions are derived. The model suggested herein is believed to be capable of describin...

We consider the Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed for financial return data. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. In this presentation, we will not only discuss the parameter estimation of the general model, but als...

We study the effects of an intermittent harmonic potential strength $\mu = \mu_0 \nu$ -- that switches on and off stochastically at a constant rate $\gamma$, overdamped Brownian particle with damping coefficient $\nu$. This can be thought as realistic model for realisation stochastic resetting. show this dynamics admits stationary solution in all parameter regimes compute full time dependent va...

The essentials of fractional calculus according to different approaches that can be useful for our applications in the theory of probability and stochastic processes are established. In addition to this, from this fractional integral, one can list out almost all of the extended densities for the pathway parameter q < 1 and q → 1. Here, we bring out the idea of thickeror thinner-tailed models as...

A deterministic simulation model for the calculation of sojourn time statistics is proposed. The model is designed for urban cells taking into account city movement in street pattern, traffic lights and crossings. Sojourn time and remaining sojourn time are assumed to be random variables that follow a gamma distribution. The parameters of gamma are found for several possible parameter values us...

simulation of gamma and hadron showers in the energy range 100gev- 25tev has been carried out. for a big ideal cherenkov light array, characteristics of lateral distribution of cherenkov photon density have been studied. results from this ideal detector are compared with those simulated for a real tunka- like array to investigate experimental potential of using existence of a hump in lateral di...

Monte Carlo calculations have been done to study the possibilities of using different spatial distributions, local fluctuations and the number of Cerenkov photons in gamma ray showers to increase the sensitivity of the PACT experiment. After matching the trigger rates in data with the predictions of simulations, the energy threshold of the array for gamma rays is found to be about 900 GeV. It i...

Abstract: In this paper we consider estimation of R = P (Y < X), when X and Y are distributed as two independent four-parameter generalized gamma random variables with same location and scale parameters. A modified maximum likelihood method and a Bayesian technique have been used to estimate R on the basis of independent samples. As the Bayes estimator cannot be obtained in a closed form, it ha...

Author Contact: David E. Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; Phone: (250) 721-8540; FAX: (250) 721-6214 Abstract We consider the quality of the maximum likelihood estimators for the parameters of the two-parameter gamma distribution in small samples. We show that the methodology suggested by Cox and S...