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Short-Term Insurance Claims Payments Forecasting with Holt-Winter Filtering and Residual Analysis 基于Holt-Winter滤波和残差分析的短期保险赔付预测
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-06 DOI: 10.18187/pjsor.v19i1.4215
Moustafa Salem, Mohamed G. Khalil
Time series are essential for anticipating various claims payment applications. For insurance firms to prevent significant losses brought on by potential future claims, the future values of predicted claims are crucial. Additionally, the ideal parameter is chosen artificially. By using a genuine application, the proposed model’s utility is demonstrated. Additionally, the ideal parameter is chosen artificially. By using a genuine application, the proposed model's utility is demonstrated. Also, the single exponential smoothing model is used for prediction under the Holt-Winters’ additive algorithm.
时间序列对于预测各种索赔支付应用程序至关重要。对于保险公司来说,为了防止潜在的未来索赔带来的重大损失,预测索赔的未来价值至关重要。此外,理想参数是人为选择的。通过实际应用,验证了该模型的实用性。此外,理想参数是人为选择的。通过实际应用,验证了该模型的实用性。在Holt-Winters加性算法下,采用单指数平滑模型进行预测。
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引用次数: 4
The Multimodal Extension of the Balakrishnan Alpha Skew Normal Distribution: Properties and Applications Balakrishnan-Alpha斜正态分布的多模态推广:性质和应用
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-06 DOI: 10.18187/pjsor.v19i1.4019
Sricharan Shah, Partha Jyoti Hazarika, Dimpal Pathak, Subrata Chakraborty, M. Masoom Ali
This paper introduces a new class of Balakrishnan distribution by extending the multimodal skew-normal distribution proposed by Chakraborty et al. (2015). Statistical properties of the new family of distributions are studied in detail. In particular, explicit expressions of the density and distribution function, moments, skewness, kurtosis and the moments generating function are derived. Furthermore, estimation of the parameters using the maximum likelihood method of the new family of distributions is considered. Finally, the paper ends with an illustration of real-life data sets and then comparing the value of Akaike Information Criterion and Bayesian information criterion of the new distribution with some other known distributions. For the nested models, the Likelihood Ratio Test is carried out.
本文通过扩展Chakraborty等人(2015)提出的多模态斜正态分布,引入了一类新的Balakrishnan分布。特别地,导出了密度和分布函数、矩、偏度、峰度和矩生成函数的显式表达式。此外,还考虑了使用新分布族的最大似然方法来估计参数。最后,本文以真实数据集为例,将新分布的Akaike信息准则和贝叶斯信息准则的值与其他已知分布进行了比较。对于嵌套模型,进行似然比检验。
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引用次数: 1
Mean Estimation of a Sensitive Variable under Measurement Errors using Three-Stage RRT Model in Stratified Two-Phase Sampling 分层两相采样中三阶段RRT模型对测量误差下敏感变量的均值估计
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-06 DOI: 10.18187/pjsor.v19i1.3929
Ronald O Onyango, Brian Oduor, Francis Odundo
In the present study, the problem of mean estimation of a sensitive variable using three-stage RRT model under measurement errors is addressed. A generalized class of estimators is proposed using a mixture of auxiliary attribute and variable. Some members of the proposed generalized class of estimators are identified and studied. The bias and mean squared error (MSE) expressions for the proposed estimators are correctly derived up to first order Taylor's series of approximation. The proposed estimator's efficiency is investigated theoretically and numerically using real data. From the numerical study, the proposed estimators outperforms existing mean estimators. Furthermore, the efficiencies of the mean estimators’ decreases as the sensitivity level of the survey question increases.
在本研究中,解决了在测量误差下使用三阶段RRT模型对敏感变量的平均估计问题。利用辅助属性和变量的混合,提出了一类广义估计量。对所提出的广义估计类的一些成员进行了识别和研究。所提出的估计量的偏差和均方误差(MSE)表达式被正确地导出到一阶泰勒级数近似。利用实际数据对所提出的估计器的效率进行了理论和数值研究。从数值研究来看,所提出的估计量优于现有的均值估计量。此外,平均估计量的效率™ 随着调查问题的敏感性水平的增加而降低。
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引用次数: 0
A Proposed Method for Finding Initial Solutions to Transportation Problems 一种寻找交通问题初始解的方法
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-06 DOI: 10.18187/pjsor.v19i1.4196
Joseph Ackora-Prah, Valentine Acheson, Emmanuel Owusu-Ansah, Seth K. Nkrumah
The Transportation Model (TM) in the application of Linear Programming (LP) is very useful in optimal distribution of goods. This paper focuses on finding Initial Basic Feasible Solutions (IBFS) to TMs hence, proposing a Demand-Based Allocation Method (DBAM) to solve the problem. This unprecedented proposal goes in contrast to the Cost-Based Resource Allocations (CBRA) associated with existing methods (including North-west Corner Rule, Least Cost Method and Vogel’s Approximation Method) which make cost cell (i.e. decision variable) selections before choosing demand and supply constraints. The proposed ‘DBAM’ on page 4 is implemented in MATLAB and has the ability to solve large-scale transportation problems to meet industrial needs. A sample of five (5) examples are presented to evaluate efficiency of the method. Initial Basic Feasible Solutions drawn from the study (according to DBAM) represent the optimal with higher accuracy, in comparison to the existing methods. Results from the study qualify the DBAM as one of the best methods to solve industrial transportation problems.
运输模型(TM)在线性规划(LP)中的应用对货物的最优分配非常有用。本文的重点是寻找TM的初始基本可行解(IBFS),因此提出了一种基于需求的分配方法(DBAM)来解决这个问题。这一前所未有的提议与现有方法(包括西北角法则、最小成本法和Vogel近似法)相关的基于成本的资源分配(CBRA)形成了鲜明对比,后者在选择需求和供应约束之前进行成本单元(即决策变量)选择。第4页提出的“DBAM”是在MATLAB中实现的,能够解决大规模运输问题以满足工业需求。给出了五(5)个示例的样本来评估该方法的效率。与现有方法相比,从研究中得出的初始基本可行解(根据DBAM)代表了具有更高精度的最优解。研究结果表明,DBAM是解决工业运输问题的最佳方法之一。
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引用次数: 0
Bayesian estimation for the type-I hybrid xgamma distribution using asymmetric loss function 使用非对称损失函数的i型混合xgamma分布的贝叶斯估计
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-04 DOI: 10.18187/pjsor.v19i1.2808
A. Yadav
This article proposes the Bayes estimation of the parameter and reliability function for xgamma distribution in the presence of type-I hybrid censored observations. The Bayes estimate of the parameter has been obtained by assuming informative and non-informative priors using general entropy loss function. Obviously, censoring adds difficulties in estimation procedure; hence the Bayes estimators computed with type-I hybrid censored observation under the mentioned prior often do not assume any standard form. Therefore, Bayes estimates are computed using Tierney-Kadane approximation and Markov Chain Monte Carlo numerical technique. Further, different interval estimates namely asymptotic confidence interval, bootstrap confidence interval and highest posterior density interval along with the width of the interval and coverage probability are also discussed. The maximum likelihood estimate for the same has also been computed using non- linear maximization iterative procedure and compared with corresponding Bayes estimates using Monte Carlo simulations. The comparison of the estimators are made in terms of average loss over whole sample space and corresponding length of the interval. lastly, one medical data set has been considered for the real application of the proposed study.
本文提出了存在i型混合截尾观测值时xgamma分布参数和可靠性函数的贝叶斯估计。利用一般熵损失函数,通过假设信息先验和非信息先验,得到了参数的贝叶斯估计。显然,审查增加了估计过程中的困难;因此,在上述条件下,使用i型混合删减观测计算的贝叶斯估计量通常不具有任何标准形式。因此,使用Tierney-Kadane近似和Markov链蒙特卡罗数值技术计算贝叶斯估计。进一步讨论了不同的区间估计,即渐近置信区间、自举置信区间和最高后验密度区间随区间宽度和覆盖概率的变化。用非线性最大化迭代法计算了最大似然估计,并用蒙特卡罗模拟与相应的贝叶斯估计进行了比较。从整个样本空间的平均损失和相应的区间长度两方面对两种估计量进行了比较。最后,一个医疗数据集已被考虑为实际应用所提出的研究。
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引用次数: 0
Bayesian Inference for a Weighted Bilal Distribution: Regression Model 加权胆汁分布的贝叶斯推断:回归模型
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-04 DOI: 10.18187/pjsor.v19i1.4140
Yupapin Atikankul
In this paper, a new lifetime distribution is proposed. Various statistical properties of the proposed distribution such as survival function, hazard rate function, mean residual life function, moments, moment generating function, Bonferroni curve, Lorenz curve, and order statistic are presented. The Bayesian estimator of the distribution parameter is derived. The behavior of the Bayesian estimator is assessed by a simulation study. Furthermore, a regression model is developed based on the proposed distribution. Some real data applications are analyzed to show the potentiality of the proposedmodels.
本文提出了一种新的寿命分布。给出了该分布的各种统计性质,如生存函数、危险率函数、平均剩余寿命函数、矩、矩生成函数、Bonferroni曲线、Lorenz曲线和阶统计量。给出了分布参数的贝叶斯估计量。通过仿真研究评估了贝叶斯估计器的性能。在此基础上建立了回归模型。通过对实际数据应用的分析,证明了所提模型的可行性。
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引用次数: 0
Approximate MLEs for the location and scale parameters of the Poisson-half-logistic distribution 泊松半逻辑分布的位置和尺度参数的近似MLE
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2023-03-04 DOI: 10.18187/pjsor.v19i1.4018
M. Niaparast, Leila Esmaeili
Recently, the application of compound distributions has increased due to the flexibility in fitting to actual data in various fields such as economics, insurance, etc. Poisson-half-logistic distribution is one of these distributions with an increasing-constant hazard rate that can be used in parallel systems and complementary risk models. Because of the complexity of the form of this distribution, it is not possible to obtain classical parameter estimates (such as MLE) by the analytical method for the location and scale parameters. We present a simple way of deriving explicit estimators by approximating the likelihood equations appropriately. This paper presents AMLE (Approximate MLE) method to obtain the location and scale parameters estimation. Using simulation, we show that this method is as efficient as the maximum likelihood estimators (MLEs), we obtain the variance of estimators from the inverse of the observed Fisher information matrix, and we see that when sample size increases bias and variance of these estimators, MSEs of parameters decrease. Finally, we present a numerical example to illustrate the methods of inference developed here.
最近,由于在经济、保险等各个领域能够灵活地拟合实际数据,复合分布的应用有所增加。泊松半逻辑分布是其中一种具有不断增加的恒定危险率的分布,可用于并行系统和互补风险模型。由于这种分布形式的复杂性,不可能通过位置和尺度参数的分析方法获得经典的参数估计(如MLE)。我们提出了一种通过适当地逼近似然方程来导出显式估计量的简单方法。本文提出了AMLE(近似MLE)方法来获得位置和尺度参数的估计。通过仿真,我们证明了该方法与最大似然估计量(MLE)一样有效,我们从观测到的Fisher信息矩阵的逆中获得了估计量的方差,并且我们看到当样本大小增加这些估计量的偏差和方差时,参数的MSE减小。最后,我们给出了一个数值例子来说明这里发展的推理方法。
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引用次数: 0
Modified Regression Estimators for Improving Mean Estimation -Poisson Regression Approach 改进均值估计的修正回归估计-泊松回归方法
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2022-12-06 DOI: 10.18187/pjsor.v18i4.3955
Zakir Hussain Wani Jana, S. Rizvi, Manish Sharma, M. Bhat, Saqib Mushtaq
In this article, a class of Poisson-regression based estimators has been proposed for estimating the finite population mean in simple random sampling without replacement (SRSWOR). The Poisson-regression model is the most common method used to model count responses in many studies. The expression for bias and mean square error (MSE) of proposed class of estimators are obtained up to first order of approximation. The proposed estimators have been compared theoretically with the existing estimators, and the condition under which the proposed class of estimators perform better than existing estimators have been obtained. Two real data sets are considered to assess the performance of the proposed estimators. Numerical findings confirms that the proposed estimators dominate over the existing estimators such as Koc (2021) and Usman et al. (2021) in terms of mean squared error.
本文提出了一类基于泊松回归的估计量,用于估计无置换简单随机抽样(SRSWOR)中的有限总体均值。泊松回归模型是许多研究中最常用的计数反应模型。得到了该类估计器在一阶近似下的偏置和均方误差的表达式。将所提估计量与现有估计量进行了理论比较,得到了所提估计量优于现有估计量的条件。考虑两个真实数据集来评估所提出的估计器的性能。数值结果证实,在均方误差方面,所提出的估计器优于现有的估计器,如Koc(2021)和Usman等人(2021)。
{"title":"Modified Regression Estimators for Improving Mean Estimation -Poisson Regression Approach","authors":"Zakir Hussain Wani Jana, S. Rizvi, Manish Sharma, M. Bhat, Saqib Mushtaq","doi":"10.18187/pjsor.v18i4.3955","DOIUrl":"https://doi.org/10.18187/pjsor.v18i4.3955","url":null,"abstract":"In this article, a class of Poisson-regression based estimators has been proposed for estimating the finite population mean in simple random sampling without replacement (SRSWOR). The Poisson-regression model is the most common method used to model count responses in many studies. The expression for bias and mean square error (MSE) of proposed class of estimators are obtained up to first order of approximation. The proposed estimators have been compared theoretically with the existing estimators, and the condition under which the proposed class of estimators perform better than existing estimators have been obtained. Two real data sets are considered to assess the performance of the proposed estimators. Numerical findings confirms that the proposed estimators dominate over the existing estimators such as Koc (2021) and Usman et al. (2021) in terms of mean squared error.","PeriodicalId":19973,"journal":{"name":"Pakistan Journal of Statistics and Operation Research","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43327939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
I-optimal Designs for three and four component mixture models in orthogonal blocks 正交块中三、四组分混合模型的i -最优设计
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2022-12-06 DOI: 10.18187/pjsor.v18i4.3369
T. Hasan, Syed Adil Hussain
In Industrial and Pharmaceutical experiments it is desired to have best predictions of the response on the basis of small amount of data.  Mixture experiment generally aims to predict the response(s) for all possible mixture blends. When we compute optimal design for mixture response surface we must focus on prediction capability of the design. The conventional optimal criteria, such as D-, A- and E-optimality are not suitable for determining the prediction capability of designs. As I-optimal design minimizes the average variance of prediction over the mixture region, so it clearly focuses on prediction capability of the design. Hence I-optimal criterion seems to be more appropriate in this conjecture.  In this paper we propose the construction of I-optimal mixture designs for a quadratic Scheffé’s and Darroch and Waller’s model in three and four components, using two orthogonal blocks.  I-efficiency of designs is compared with the I-efficiency of D-optimal designs for Scheffé’s and Darroch and Waller’s models.
在工业和制药实验中,希望在少量数据的基础上对反应作出最好的预测。混合试验通常旨在预测所有可能的混合混合的响应。在进行混合响应面优化设计计算时,必须关注设计的预测能力。传统的D-最优、A-最优和e -最优等优化准则不适合用于确定设计的预测能力。由于i -最优设计使混合区域预测的平均方差最小化,因此它明显侧重于设计的预测能力。因此,i -最优准则似乎在这个猜想中更合适。本文提出了用两个正交块构造三分量和四分量的二次scheff模型和Darroch和Waller模型的i -最优混合设计。对scheff、Darroch和Waller的模型比较了设计的i -效率和d -最优设计的i -效率。
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引用次数: 0
A new Jackknifing ridge estimator for logistic regression model 逻辑回归模型的一种新的Jackknifeng-ridge估计
IF 1.5 Q3 STATISTICS & PROBABILITY Pub Date : 2022-12-06 DOI: 10.18187/pjsor.v18i4.3748
Z. Algamal, N. Hammood
The ridge regression model has been consistently demonstrated to be an attractive shrinkage method to reduce the effects of multicollinearity. The logistic regression model is a well-known model in application when the response variable is binary data. However, it is known that multicollinearity negatively affects the variance of maximum likelihood estimator of the logistic regression coefficients. To address this problem, a logistic ridge estimator has been proposed by numerous researchers. In this paper, a new Jackknifing logistic ridge estimator (NLRE) is proposed and derived. The idea behind the NLRE is to get diagonal matrix with small values of diagonal elements that leading to decrease the shrinkage parameter and, therefore, the resultant estimator can be better with small amount of bias. Our Monte Carlo simulation results suggest that the NLRE estimator can bring significant improvement relative to other existing estimators. In addition, the real application results demonstrate that the NLRE estimator outperforms both logistic ridge estimator and maximum likelihood estimator in terms of predictive performance.
山脊回归模型一直被证明是一种有吸引力的收缩方法,可以减少多重共线性的影响。当响应变量是二进制数据时,逻辑回归模型是应用中众所周知的模型。然而,已知多重共线性对逻辑回归系数的最大似然估计的方差有负面影响。为了解决这个问题,许多研究人员提出了一种逻辑脊估计。本文提出并推导了一种新的Jackknifing逻辑脊估计量(NLRE)。NLRE背后的思想是获得具有较小对角元素值的对角矩阵,从而降低收缩参数,因此,在较小的偏差下,所得估计器可以更好。我们的蒙特卡罗模拟结果表明,相对于其他现有的估计量,NLRE估计量可以带来显著的改进。此外,实际应用结果表明,NLRE估计器在预测性能方面优于逻辑岭估计器和最大似然估计器。
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引用次数: 3
期刊
Pakistan Journal of Statistics and Operation Research
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