Author(s):
1. Hisham A. H. Elsayed:
Department of Statistics, Mathematics and Insurance, Ain Shams University, Egypt
2. Haitham M. Yousof:
Department of Statistics, Mathematics and Insurance, Benha University, Egypt
Abstract:
A new univariate extension of the Fréchet distribution is proposed and studied. Some of its fundamental statistical properties such as stochastic properties, ordinary and incomplete moments, moments generating functions, residual life and reversed residual life functions, order statistics, quantile spread ordering, Rényi, Shannon and q-entropies are derived. A simple type Copula based construction using Morgenstern family and via Clayton Copula is employed to derive many bivariate and multivariate extensions of the new model. We assessed the performance of the maximum likelihood estimators using a simulation study. The importance of the new model is shown by means of two applications to real data sets.
Page(s):
527-544
Published:
Journal: Pakistan Journal of Statistics and Operation Research, Volume: 16, Issue: 3, Year: 2020
Keywords:
modeling
,
Clayton Copula
,
Morgenstern Family
,
Simulation
,
Copula
,
Entropies
,
Fréchet Model
References:
References are not available for this document.
Citations
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