Expanded Fréchet Model: Mathematical Properties, Copula, Different Estimation Methods, Applications and Validation Testing

Mukhtar M. Salah, M. El-Morshedy, M. S. Eliwa and Haitham M. Yousof
Additional contact information
Mukhtar M. Salah: Department of Mathematics, College of Science in Al-Zulfi, Majmaah University, Al-Majmaah 11952, Saudi Arabia
M. El-Morshedy: Department of Mathematics, College of Science and Humanities in Al-Kharj, Prince Sattam bin Abdulaziz University, Al-Kharj 11942, Saudi Arabia
M. S. Eliwa: Department of Mathematics, Faculty of Science, Mansoura University, Mansoura 35516, Egypt
Haitham M. Yousof: Department of Statistics, Mathematics and Insurance, Benha University, Benha 13513, Egypt

Mathematics, 2020, vol. 8, issue 11, 1-29

Abstract: The extreme value theory is expanded by proposing and studying a new version of the Fréchet model. Some new bivariate type extensions using Farlie–Gumbel–Morgenstern copula, modified Farlie–Gumbel–Morgenstern copula, Clayton copula, and Renyi’s entropy copula are derived. After a quick study for its properties, different non-Bayesian estimation methods under uncensored schemes are considered, such as the maximum likelihood estimation method, Anderson–Darling estimation method, ordinary least square estimation method, Cramér–von-Mises estimation method, weighted least square estimation method, left-tail Anderson–Darling estimation method, and right-tail Anderson–Darling estimation method. Numerical simulations were performed for comparing the estimation methods using different sample sizes for three different combinations of parameters. The Barzilai–Borwein algorithm was employed via a simulation study. Three applications were presented for measuring the flexibility and the importance of the new model for comparing the competitive distributions under the uncensored scheme. Using the approach of the Bagdonavicius–Nikulin goodness-of-fit test for validation under the right censored data, we propose a modified chi-square goodness-of-fit test for the new model. The modified goodness-of-fit statistic test was applied for the right censored real data set, called leukemia free-survival times for autologous transplants. Based on the maximum likelihood estimators on initial data, the modified goodness-of-fit test recovered the loss in information while the grouping data and followed chi-square distributions. All elements of the modified goodness-of-fit criteria tests are explicitly derived and given.

Keywords: Fréchet distribution; extreme value theory; copula; estimation; censored validation; Barzilai–Borwein; Bagdonavicius–Nikulin; non-Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2227-7390/8/11/1949/pdf (application/pdf)
https://www.mdpi.com/2227-7390/8/11/1949/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:8:y:2020:i:11:p:1949-:d:439776

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().