Eferhonore Efe-Eyefia

Bio: Eferhonore Efe-Eyefia is an academic researcher from Cardiff University. The author has contributed to research in topics: Quantile & Skewness. The author has an hindex of 4, co-authored 6 publications receiving 28 citations.

Theoretical Analysis of the Weibull Alpha Power Inverted Exponential Distribution: Properties and Applications

Abstract: This article proposed a Weibull-Alpha Power Inverted Exponential (WAPIE) distribution for lifetime processes. Statistical properties of this distribution such as survival, hazard, reversed hazard, cumulative, odd functions, kurtosis, quantiles, skewness, order statistics and the entropies were derived. Parameters of this family of distribution were also obtained by maximum likelihood method. The behaviour of the estimators was studied through simulation. The behavior of the new developed distribution was further examined through real life data. The WAPIE distribution competes favourably well with other distributions.

The transmuted alpha power-G family of distributions

Abstract: This article proposes a new class of models called the transmuted alpha power-G (TAPO-G) family of distribution for modeling lifetime processes. This class of model extends the well-known existing ...

Performance rating of the Zubair Gompertz distribution : Properties and applications

Abstract: Real world scenarios have been described using statistical distributions. Often these distributions extend the well-known distributions in efficiency and flexibility. This article introduces a new ...

On the Extended New Generalized Exponential Distribution: Properties and Applications

Abstract: Lifetime processes has received several attentions recently through modeling the way and manner in which they are distributed. In this article, we propose an extended new generalized exponential distribution for a lifetime processes. The statistical properties of distribution such as kurtosis, survival, hazard, cumulative, odd functions, quantiles, skewness, reversed hazard, and order statistics are derived. The parameters of this class of distribution were also obtained by maximum likelihood method. The behaviour of the model was studied through simulation. Finally, a real life data was used to examine the performance of the propose model. The results show that the model perform favourably well with existing continuous models.

Measure of Investment Optimal Strategy

Abstract: In this paper, we considered the different strategies that generate the optimal wealth on investment The strategy examine depends on the utility function an investor is willing to adopt, say H* at time N in every 2n possible states; in an N period setting Negative exponential, logarithm, square root and power utility functions were established, as the market structures changed according to a Markov chain through a martingale approach The problem of maximization is solved via Lagrange method The performance of the investment from day-to-day is driven by the ratio of the risk neutral probability and the probability of rising to falling

7. The Econometric Modelling of Financial Time Series

Abstract: Terence Mills' best-selling graduate textbook provides detailed coverage of research techniques and findings relating to the empirical analysis of financial markets. In its previous editions it has become required reading for many graduate courses on the econometrics of financial modelling. This third edition, co-authored with Raphael Markellos, contains a wealth of material reflecting the developments of the last decade. Particular attention is paid to the wide range of nonlinear models that are used to analyse financial data observed at high frequencies and to the long memory characteristics found in financial time series. The central material on unit root processes and the modelling of trends and structural breaks has been substantially expanded into a chapter of its own. There is also an extended discussion of the treatment of volatility, accompanied by a new chapter on nonlinearity and its testing.

A New Inverted Topp-Leone Distribution: Applications to the COVID-19 Mortality Rate in Two Different Countries

Abstract: This paper aims to find a statistical model for the COVID-19 spread in the United Kingdom and Canada. We used an efficient and superior model for fitting the COVID 19 mortality rates in these countries by specifying an optimal statistical model. A new lifetime distribution with two-parameter is introduced by a combination of inverted Topp-Leone distribution and modified Kies family to produce the modified Kies inverted Topp-Leone (MKITL) distribution, which covers a lot of application that both the traditional inverted Topp-Leone and the modified Kies provide poor fitting for them. This new distribution has many valuable properties as simple linear representation, hazard rate function, and moment function. We made several methods of estimations as maximum likelihood estimation, least squares estimators, weighted least-squares estimators, maximum product spacing, Crame´r-von Mises estimators, and Anderson-Darling estimators methods are applied to estimate the unknown parameters of MKITL distribution. A numerical result of the Monte Carlo simulation is obtained to assess the use of estimation methods. also, we applied different data sets to the new distribution to assess its performance in modeling data.

Optimal investment strategies in the presence of a minimum guarantee

Abstract: In a continuous-time framework, we consider the problem of a De…ned Contribution Pension Fund in the presence of a minimum guarantee. The problem of the fund manager is to invest the initial wealth and the (stochastic) contribution ‡ow into the …nancial market, in order to maximize the expected util- ity function of the terminal wealth under the constraint that the terminal wealth must exceed the minimum guarantee. We assume that the stochastic interest rates follow the a¢ne dynamics, including the CIR (Cox, Ingersoll and Ross 1985) model and the Vasiµ model. The optimal investment strategies are obtained by assum- ing the completeness of …nancial markets and a CRRA utility function. Explicit formulae for the optimal investment strategies are included for dierent examples of guarantees and contributions.

The Odd Weibull Inverse Topp–Leone Distribution with Applications to COVID-19 Data

Abstract: This paper aims at defining an optimal statistical model for the COVID-19 distribution in the United Kingdom, and Canada. A combining the inverted Topp–Leone distribution and the odd Weibull family introduces a new lifetime distribution with a three-parameter to formulate the odd Weibull inverted Topp–Leone (OWITL) distribution. As a simple linear representation, hazard rate function, and moment function, this new distribution has several nice properties. To estimate the unknown parameters of OWITL distribution, maximum likelihood, least-square, weighted least-squares, maximum product spacing, Cramer–von Mises estimators, and Anderson–Darling estimation methods are used. To evaluate the use of estimation techniques, a numerical outcome of the Monte Carlo simulation is obtained.

The Alpha Power Gompertz Distribution: Characterization, Properties, and Applications

Abstract: A new three-parameter model called the Alpha power Gompertz is derived, studied and proposed for modeling lifetime Poisson processes. The advantage of the new model is that, it has left skew, decreasing, unimodal density with a bathtub shaped hazard rate function. The statistical structural properties of the proposed model such as probability weighted moments, moments, order statistics, entropies, hazard rate, survival, quantile, odd, reversed hazard, moment generating and cumulative functions are investigated. The new proposed model is expressed as a linear mixture of Gompertz densities. The parameters of the proposed model were obtained using maximum likelihood method. The behaviour of the new density is examined through simulation. The proposed model was applied to two real-life data sets to demonstrate its flexibility. The new density proposes provides a better fit when compared with other existing models and can serve as an alternative model in the literature.