On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection

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Autor(es): dc.contributorUniversity of Brasília, Department of Statistics-
Autor(es): dc.contributorUniversity of Brasília, Department of Statistics-
Autor(es): dc.contributorUniversidade Federal de Jataí, Instituto de Ciências Exatas e Tecnológicas-
Autor(es): dc.contributorUniversity of Brasília, Department of Statistics-
Autor(es): dc.contributorUniversity of Brasília, Department of Statistics-
Autor(es): dc.contributorUniversity of Brasília, Gama Engineering College-
Autor(es): dc.contributorUniversity of Brasília, Department of Civil and Environmental Engineering-
Autor(es): dc.creatorOliveira, Melquisadec Souza-
Autor(es): dc.creatorQuintino, Felipe Sousa-
Autor(es): dc.creatorAguiar, Dióscoros-
Autor(es): dc.creatorRathie, Pushpa Narayan-
Autor(es): dc.creatorSantos, Helton Saulo Bezerra dos-
Autor(es): dc.creatorFonseca, Tiago Alves da-
Autor(es): dc.creatorOzelim, Luan Carlos de Sena Monteiro-
Data de aceite: dc.date.accessioned2025-03-17T23:21:33Z-
Data de disponibilização: dc.date.available2025-03-17T23:21:33Z-
Data de envio: dc.date.issued2024-10-20-
Data de envio: dc.date.issued2024-10-20-
Data de envio: dc.date.issued2024-05-23-
Fonte completa do material: dc.identifierhttp://repositorio.unb.br/handle/10482/50624-
Fonte completa do material: dc.identifierhttps://doi.org/10.3390/e26060441-
Fonte completa do material: dc.identifierhttps://orcid.org/0009-0005-5863-7041-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0003-0286-0541-
Fonte completa do material: dc.identifierhttps://orcid.org/0009-0007-5251-4942-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-9790-369X-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-4467-8652-
Fonte completa do material: dc.identifierhttps://orcid.org/0009-0004-5147-4393-
Fonte completa do material: dc.identifierhttps://orcid.org/0000-0002-2581-0486-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/923433-
Descrição: dc.descriptionIn reliability contexts, probabilities of the type R = P(X < Y), where X and Y are random variables, have shown to be useful tools to compare the performance of these stochastic entities. By considering that both X and Y follow a transmuted generalized extreme-value (TGEV) distribution, new analytical relationships were derived for R in terms of special functions. The results hereby obtained are more flexible when compared to similar results found in the literature. To highlight the applicability and correctness of our results, we conducted a Monte-Carlo simulation study and investigated the use of the reliability measure P(X < Y) to select among financial assets whose returns were characterized by the random variables X and Y. Our results highlight that R is an interesting alternative to modern portfolio theory, which usually relies on the contrast of involved random variables by a simple comparison of their means and standard deviations.-
Descrição: dc.descriptionInstituto de Ciências Exatas (IE)-
Descrição: dc.descriptionDepartamento de Estatística (IE EST)-
Descrição: dc.descriptionFaculdade de Ciências e Tecnologias em Engenharia (FCTE) – Campus UnB Gama-
Descrição: dc.descriptionFaculdade de Tecnologia (FT)-
Descrição: dc.descriptionDepartamento de Engenharia Civil e Ambiental (FT ENC)-
Descrição: dc.descriptionPrograma de Pós-Graduação em Estatística-
Formato: dc.formatapplication/pdf-
Idioma: dc.languageen-
Publicador: dc.publisherMDPI-
Direitos: dc.rightsAcesso Aberto-
Direitos: dc.rights© 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/)-
Palavras-chave: dc.subjectModelos estocásticos-
Palavras-chave: dc.subjectConfiabilidade tensão-resistência-
Palavras-chave: dc.subjectDistribuição (Probabilidades)-
Título: dc.titleOn the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional – UNB

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