Dönüştürülmüş Weibull Dağılımı için Risk Ölçülerinin Tahmini

Yıl 2021, Cilt: 11 Sayı: 2, 362 - 369, 31.12.2021

Caner Tanış

https://doi.org/10.37094/adyujsci.926831

Öz

Bu çalışmada dönüştürülmüş Weibull dağılımı için bazı risk ölçülerinin tahmini problemini ele aldık. Bu bağlamda risk ölçülerini tahmin edebilmek için en çok olabilirlik yöntemi kullanıldı. Ayrıca risk ölçülerinin en çok olabilirlik tahmin edicilerinin asimptotik dağılımlarına dayalı yaklaşık güven aralıkları elde ettik. Sonrasında, bu tahmin edicilerin farklı örnek hacimleri ve parametre değerlerinde performanslarını değerlendirmek için geniş bir Monte Carlo benzetim çalışması tasarladık.

Anahtar Kelimeler

Risk ölçüleri; Dönüştürülmüş Weibull dağılımı; Nokta tahmini; Aralık tahmini.

Estimation of Risk Measures for Transmuted Weibull Distribution

Öz

In this paper, we tackle a problem of the estimation of some risk measures for transmuted Weibull distribution. In this regard, the maximum likelihood method is used to estimate the risk measures. We also obtain asymptotic confidence intervals based on the asymptotic distributions of maximum likelihood estimators of risk measures. Then, we consider a comprehensive Monte Carlo simulation study to assess the performances of these estimators at different sample sizes and parameter settings.

Anahtar Kelimeler

Risk Measures, Transmuted Weibull Distribution, Point Estimation, Interval Estimation

Kaynakça

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