Skewness into the product of two normally distributed variables and the risk consequences

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorOliveira, Amilcar-
Autor(es): dc.creatorOliveira, Teresa A.-
Autor(es): dc.creatorSeijas-Macias, J. Antonio-
Data de aceite: dc.date.accessioned2022-02-15T14:08:48Z-
Data de disponibilização: dc.date.available2022-02-15T14:08:48Z-
Data de envio: dc.date.issued2021-05-11-
Data de envio: dc.date.issued2021-05-11-
Data de envio: dc.date.issued2016-02-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/10400.2/10717-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/10400.2/10717-
Descrição: dc.descriptionThe analysis of skewness is an essential tool for decision-making since it can be used as an indicator on risk assessment. It is well known that negative skewed distributions lead to negative outcomes, while a positive skewness usually leads to good scenarios and consequently minimizes risks. In this work the impact of skewness on risk analysis will be explored, considering data obtained from the product of two normally distributed variables. In fact, modelling this product using a normal distribution is not a correct approach once skewness in many cases is different from zero. By ignoring this, the researcher will obtain a model understating the risk of highly skewed variables and moreover, for too skewed variables most of common tests in parametric inference cannot be used. In practice, the behaviour of the skewness considering the product of two normal variables is explored as a function of the distributions parameters: mean, variance and inverse of the coefficient variation. Using a measurement error model, the consequences of skewness presence on risk analysis are evaluated by considering several simulations and visualization tools using R software.-
Descrição: dc.descriptioninfo:eu-repo/semantics/publishedVersion-
Idioma: dc.languageen-
Publicador: dc.publisherINE-
Relação: dc.relationUID/MAT/00006/2013-
Direitos: dc.rightsopenAccess-
Direitos: dc.rightshttp://creativecommons.org/licenses/by/4.0/-
Palavras-chave: dc.subjectProduct of normal variables-
Palavras-chave: dc.subjectInverse coefficient of variation-
Palavras-chave: dc.subjectSkewness-
Palavras-chave: dc.subjectProbability risk analysis-
Palavras-chave: dc.subjectMeasurement error model-
Título: dc.titleSkewness into the product of two normally distributed variables and the risk consequences-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Aberto - Universidade Aberta (Portugal)

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