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dc.contributor.authorOliveira, Melquisadec Souza-
dc.contributor.authorQuintino, Felipe Sousa-
dc.contributor.authorAguiar, Dióscoros-
dc.contributor.authorRathie, Pushpa Narayan-
dc.contributor.authorSantos, Helton Saulo Bezerra dos-
dc.contributor.authorFonseca, Tiago Alves da-
dc.contributor.authorOzelim, Luan Carlos de Sena Monteiro-
dc.date.accessioned2024-10-20T19:14:22Z-
dc.date.available2024-10-20T19:14:22Z-
dc.date.issued2024-05-23-
dc.identifier.citationOLIVEIRA, Melquisadec et al. On the stress-strength reliability of transmuted GEV random variables with applications to financial assets selection. Entropy, [S. l.], v. 26, n. 6, 441, 2024. DOI: https://doi.org/10.3390/e26060441. Disponível em: https://www.mdpi.com/1099-4300/26/6/441. Acesso em: 20 out. 2024.pt_BR
dc.identifier.urihttp://repositorio.unb.br/handle/10482/50624-
dc.language.isoengpt_BR
dc.publisherMDPIpt_BR
dc.rightsAcesso Abertopt_BR
dc.titleOn the stress-strength reliability of transmuted GEV random variables with applications to financial assets selectionpt_BR
dc.typeArtigopt_BR
dc.subject.keywordModelos estocásticospt_BR
dc.subject.keywordConfiabilidade tensão-resistênciapt_BR
dc.subject.keywordDistribuição (Probabilidades)pt_BR
dc.rights.license© 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/)pt_BR
dc.identifier.doihttps://doi.org/10.3390/e26060441pt_BR
dc.description.abstract1In reliability contexts, probabilities of the type R = P(X < Y), where X and Y are random variables, have shown to be useful tools to compare the performance of these stochastic entities. By considering that both X and Y follow a transmuted generalized extreme-value (TGEV) distribution, new analytical relationships were derived for R in terms of special functions. The results hereby obtained are more flexible when compared to similar results found in the literature. To highlight the applicability and correctness of our results, we conducted a Monte-Carlo simulation study and investigated the use of the reliability measure P(X < Y) to select among financial assets whose returns were characterized by the random variables X and Y. Our results highlight that R is an interesting alternative to modern portfolio theory, which usually relies on the contrast of involved random variables by a simple comparison of their means and standard deviations.pt_BR
dc.identifier.orcidhttps://orcid.org/0009-0005-5863-7041pt_BR
dc.identifier.orcidhttps://orcid.org/0000-0003-0286-0541pt_BR
dc.identifier.orcidhttps://orcid.org/0009-0007-5251-4942pt_BR
dc.identifier.orcidhttps://orcid.org/0000-0002-9790-369Xpt_BR
dc.identifier.orcidhttps://orcid.org/0000-0002-4467-8652pt_BR
dc.identifier.orcidhttps://orcid.org/0009-0004-5147-4393pt_BR
dc.identifier.orcidhttps://orcid.org/0000-0002-2581-0486pt_BR
dc.contributor.affiliationUniversity of Brasília, Department of Statisticspt_BR
dc.contributor.affiliationUniversity of Brasília, Department of Statisticspt_BR
dc.contributor.affiliationUniversidade Federal de Jataí, Instituto de Ciências Exatas e Tecnológicaspt_BR
dc.contributor.affiliationUniversity of Brasília, Department of Statisticspt_BR
dc.contributor.affiliationUniversity of Brasília, Department of Statisticspt_BR
dc.contributor.affiliationUniversity of Brasília, Gama Engineering Collegept_BR
dc.contributor.affiliationUniversity of Brasília, Department of Civil and Environmental Engineeringpt_BR
dc.description.unidadeInstituto de Ciências Exatas (IE)pt_BR
dc.description.unidadeDepartamento de Estatística (IE EST)pt_BR
dc.description.unidadeFaculdade UnB Gama (FGA)pt_BR
dc.description.unidadeFaculdade de Tecnologia (FT)pt_BR
dc.description.unidadeDepartamento de Engenharia Civil e Ambiental (FT ENC)pt_BR
dc.description.ppgPrograma de Pós-Graduação em Estatísticapt_BR
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