The Burr X Pareto Distribution: Properties, Applications and VaR Estimation
Abstract
:1. Introduction
2. The New Model
3. Expansions of pdf and cdf
4. Properties
4.1. Moments
4.2. Residual and Reversed Residual Life
4.3. Order Statistics
5. Estimation Methods
5.1. Maximum Likelihood Estimation
5.2. Ordinary and Weighted Least Squares
6. Simulation Study
7. Real Data Modelling
8. Value-at-Risk Estimation with the BXP Distribution
8.1. S&P-500
9. Conclusions
Author Contributions
Conflicts of Interest
References
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(0.5, 0.5, 0.5) | 1.2801 | 1.1395 | 0.7311 | 4.4238 |
(1, 1, 1) | 1.6330 | 0.9671 | −1.2539 | 3.2132 |
(2, 2, 2) | 2.5365 | 1.7311 | −1.9644 | 4.3986 |
(1, 2, 3) | 2.9606 | 5.9323 | −0.8355 | 1.3785 |
(4, 2, 0.5) | 0.7411 | 0.0415 | −4.1218 | 17.7934 |
(10, 2, 0.25) | 0.4074 | 0.0011 | −6.3710 | 97.4674 |
(0.25, 5, 2) | 0.4962 | 1.2671 | 1.4287 | 2.6058 |
(0.9, 5, 1.8) | 1.0633 | 1.5440 | 0.0255 | 0.7191 |
Parameters | |||||||||
---|---|---|---|---|---|---|---|---|---|
3, 1.5, 2 | 3.0144 | 1.5495 | 2.0286 | 2.9995 | 1.5247 | 2.0159 | 3.0001 | 1.5125 | 2.0060 |
(0.1831) | (0.1585) | (0.1155) | (0.0399) | (0.1059) | (0.0757) | (0.0400) | (0.0648) | (0.0485) | |
[0.0144] | [0.0494] | [0.0286] | [−0.0005] | [0.0247] | [0.0160] | [0.0001] | [0.0125] | [0.0059] | |
{0.0330} | {0.0270} | {0.0140} | {0.0016} | {0.0117} | {0.0060} | {0.0016} | {0.0043} | {0.0023} | |
3, 2, 1 | 3.0772 | 2.0550 | 1.0040 | 3.0019 | 2.0093 | 1.0021 | 3.0016 | 2.0073 | 1.0013 |
(0.2928) | (0.2053) | (0.0443) | (0.0212) | (0.0976) | (0.0211) | (0.0203) | (0.0851) | (0.0182) | |
[0.0772] | [0.0550] | [0.0040] | [0.0019] | [0.0093] | [0.0021] | [0.0016] | [0.0073] | [0.0013] | |
{0.0900} | {0.0443} | {0.0020} | {0.0004} | {0.0095} | {0.0004} | {0.0004} | {0.0072} | {0.0003} | |
5, 0.5, 5 | 5.0863 | 0.5111 | 5.1216 | 5.0044 | 0.5012 | 5.0065 | 4.9954 | 0.4996 | 4.9970 |
(0.2792) | (0.0290) | (0.3641) | (0.0404) | (0.0095) | (0.0490) | (0.0400) | (0.0084) | (0.0439) | |
[0.0863] | [0.0111] | [0.1216] | [0.0044] | [0.0012] | [0.0065] | [−0.0046] | [−0.0004] | [−0.0030] | |
{0.0838} | {0.0010} | {0.1447} | {0.0072} | {0.00008} | {0.0071} | {0.0054} | {0.00007} | {0.0070} | |
10, 30, 20 | 10.0407 | 30.0438 | 20.0024 | 10.0009 | 30.0013 | 19.9998 | 9.9984 | 29.9980 | 20.0001 |
(0.2318) | (0.2809) | (0.0101) | (0.0110) | (0.0130) | (0.0086) | (0.0101) | (0.0120) | (0.0059) | |
[0.0406] | [0.0438] | [0.0024] | [0.0009] | [0.0013] | [−0.0002] | [−0.0016] | [−0.0020] | [0.0001] | |
{0.0543} | {0.0793} | {0.0001} | {0.0001} | {0.0001} | {0.00007} | {0.0001} | {0.0001} | {0.00004} | |
4, 0.5, 0.5 | 3.9077 | 0.5147 | 0.5265 | 4.0179 | 0.5121 | 0.5203 | 4.0012 | 0.5052 | 0.5079 |
(0.1261) | (0.0532) | (0.0926) | (0.1010) | (0.0411) | (0.0711) | (0.0878) | (0.0246) | (0.0440) | |
[−0.0923] | [0.0147] | [0.0265] | [0.0179] | [0.0121] | [0.0203] | [0.0012] | [0.0052] | [0.0079] | |
{0.0356} | {0.0030} | {0.0100} | {0.0164} | {0.0018} | {0.0054} | {0.0076} | {0.0006} | {0.0019} |
Leukaemia Data | ||||
Model | ||||
BXP | 0.8505 | 0.1900 | 1 | |
(0.1785) | (0.0146) | |||
PAT | 0.8603 | 12.6124 | 1 | |
(0.1428) | (6.6619) | |||
KwP | 2.3992 | 0.0007 | 1,828,015 | 1 |
(0.0291) | (0.0001) | (5.9317) | ||
WP | 1.8274 | 0.1994 | 1 | |
(0.2846) | (0.0145) | |||
BP | 51.9800 | 0.0239 | 3.8540 | 1 |
(0.1240) | (0.0048) | (0.6551) | ||
EP | 4.3606 | 0.7089 | 1 | |
(1.3221) | (0.1192) | |||
P | 0.3319 | 1 | ||
(0.0596) | ||||
Earthquake Data | ||||
BXP | 1.9916 | 0.1678 | 9 | |
(0.5622) | (0.0117) | |||
PAT | 1.1704 | 168.1574 | 9 | |
(0.0667) | (5.9619) | |||
WP | 2.9843 | 0.1408 | 9 | |
(0.4949) | (0.0074) | |||
BP | 60.8341 | 0.0428 | 12.5592 | 9 |
(1.0981) | (0.0053) | (0.9570) | ||
EP | 26.9837 | 0.8707 | 9 | |
(5.7196) | (0.0770) | |||
P | 0.2264 | 9 | ||
(0.0472) |
Leukaemia Data | |||||
---|---|---|---|---|---|
Model | AIC | CAIC | BIC | HQIC | KS |
BXP | 295.0115 | 295.4401 | 297.8795 | 295.9464 | 0.1328 |
PAT | 301.1477 | 301.5763 | 304.0157 | 302.0826 | 0.1398 |
KwP | 298.9148 | 299.8037 | 303.2167 | 300.3171 | 0.1486 |
WP | 295.2830 | 295.7116 | 298.1510 | 296.2179 | 0.1418 |
BP | 301.5970 | 302.4859 | 305.8990 | 302.9994 | 0.1494 |
EP | 300.9643 | 301.3929 | 303.8323 | 301.8992 | 0.1630 |
P | 319.1294 | 319.2673 | 320.5634 | 319.5968 | 0.2733 |
Earthquake Data | |||||
BXP | 381.9004 | 382.5004 | 384.1714 | 382.4715 | 0.0817 |
PAT | 383.7187 | 384.3187 | 385.9897 | 384.2899 | 0.0971 |
WP | 382.3901 | 382.9901 | 384.6610 | 382.9612 | 0.0962 |
BP | 384.5029 | 385.7661 | 387.9094 | 385.3597 | 0.0819 |
EP | 384.3233 | 384.9233 | 386.5943 | 384.8944 | 0.1038 |
P | 420.6338 | 420.8243 | 421.7693 | 420.9194 | 0.4218 |
Descriptive Statistics | S&P-500 |
---|---|
Number of observations | 1465 |
Minimum | −0.0402 |
Maximum | 0.0383 |
Mean | 0.0004 |
Median | 0.0004 |
Std.Deviation | 0.007 |
Skewness | −0.322 |
Kurtosis | 5.403 |
Jarque–Bera | 377.839 (<0.001) |
Ljung–Box | 28.516 (0.098) |
Models | Parameters | Goodness-of-Fit | |||||||
---|---|---|---|---|---|---|---|---|---|
KS | |||||||||
BXP | 3.2480 | 0.1893 | 4.89818 × 10 | −93.4016 | 0.1427 | 0.3809 | 0.0556 | ||
1.0266 | 0.0120 | - | |||||||
GP | 0.0847 | 0.0057 | −88.7171 | 0.1498 | 0.4039 | 0.0661 | |||
0.1996 | 0.0015 |
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Share and Cite
Korkmaz, M.Ç.; Altun, E.; Yousof, H.M.; Afify, A.Z.; Nadarajah, S. The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. J. Risk Financial Manag. 2018, 11, 1. https://doi.org/10.3390/jrfm11010001
Korkmaz MÇ, Altun E, Yousof HM, Afify AZ, Nadarajah S. The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. Journal of Risk and Financial Management. 2018; 11(1):1. https://doi.org/10.3390/jrfm11010001
Chicago/Turabian StyleKorkmaz, Mustafa Ç., Emrah Altun, Haitham M. Yousof, Ahmed Z. Afify, and Saralees Nadarajah. 2018. "The Burr X Pareto Distribution: Properties, Applications and VaR Estimation" Journal of Risk and Financial Management 11, no. 1: 1. https://doi.org/10.3390/jrfm11010001
APA StyleKorkmaz, M. Ç., Altun, E., Yousof, H. M., Afify, A. Z., & Nadarajah, S. (2018). The Burr X Pareto Distribution: Properties, Applications and VaR Estimation. Journal of Risk and Financial Management, 11(1), 1. https://doi.org/10.3390/jrfm11010001