Search results for: generalized hypergeometric function
5603 On the Fractional Integration of Generalized Mittag-Leffler Type Functions
Authors: Christian Lavault
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In this paper, the generalized fractional integral operators of two generalized Mittag-Leffler type functions are investigated. The special cases of interest involve the generalized M-series and K-function, both introduced by Sharma. The two pairs of theorems established herein generalize recent results about left- and right-sided generalized fractional integration operators applied here to the M-series and the K-function. The note also results in important applications in physics and mathematical engineering.Keywords: Fox–Wright Psi function, generalized hypergeometric function, generalized Riemann– Liouville and Erdélyi–Kober fractional integral operators, Saigo's generalized fractional calculus, Sharma's M-series and K-function
Procedia PDF Downloads 4395602 Nonhomogeneous Linear Fractional Differential Equations Will Bessel Functions of the First Kind Giving Hypergeometric Functions Solutions
Authors: Fernando Maass, Pablo Martin, Jorge Olivares
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Fractional derivatives have become very important in several areas of Engineering, however, the solutions of simple differential equations are not known. Here we are considering the simplest first order nonhomogeneous differential equations with Bessel regular functions of the first kind, in this way the solutions have been found which are hypergeometric solutions for any fractional derivative of order α, where α is rational number α=m/p, between zero and one. The way to find this result is by using Laplace transform and the Caputo definitions of fractional derivatives. This method is for values longer than one. However for α entire number the hypergeometric functions are Kumer type, no integer values of alpha, the hypergeometric function is more complicated is type ₂F₃(a,b,c, t2/2). The argument of the hypergeometric changes sign when we go from the regular Bessel functions to the modified Bessel functions of the first kind, however it integer seems that using precise values of α and considering no integers values of α, a solution can be obtained in terms of two hypergeometric functions. Further research is required for future papers in order to obtain the general solution for any rational value of α.Keywords: Caputo, fractional calculation, hypergeometric, linear differential equations
Procedia PDF Downloads 1965601 Hypergeometric Solutions to Linear Nonhomogeneous Fractional Equations with Spherical Bessel Functions of the First Kind
Authors: Pablo Martin, Jorge Olivares, Fernando Maass
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The use of fractional derivatives to different problems in Engineering and Physics has been increasing in the last decade. For this reason, we have here considered partial derivatives when the integral is a spherical Bessel function of the first kind in both regular and modified ones simple initial conditions have been also considered. In this way, the solution has been found as a combination of hypergeometric functions. The case of a general rational value for α of the fractional derivative α has been solved in a general way for alpha between zero and two. The modified spherical Bessel functions of the first kind have been also considered and how to go from the regular case to the modified one will be also shown.Keywords: caputo fractional derivatives, hypergeometric functions, linear differential equations, spherical Bessel functions
Procedia PDF Downloads 3245600 Derivatives Formulas Involving I-Functions of Two Variables and Generalized M-Series
Authors: Gebreegziabher Hailu Gebrecherkos
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This study explores the derivatives of functions defined by I-functions of two variables and their connections to generalized M-series. We begin by defining I-functions, which are generalized functions that encompass various special functions, and analyze their properties. By employing advanced calculus techniques, we derive new formulas for the first and higher-order derivatives of I-functions with respect to their variables; we establish some derivative formulae of the I-function of two variables involving generalized M-series. The special cases of our derivatives yield interesting results.Keywords: I-function, Mellin-Barners control integral, generalized M-series, higher order derivative
Procedia PDF Downloads 155599 Linear fractional differential equations for second kind modified Bessel functions
Authors: Jorge Olivares, Fernando Maass, Pablo Martin
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Fractional derivatives have been considered recently as a way to solve different problems in Engineering. In this way, second kind modified Bessel functions are considered here. The order α fractional differential equations of second kind Bessel functions, Kᵥ(x), are studied with simple initial conditions. The Laplace transform and Caputo definition of fractional derivatives are considered. Solutions have been found for ν=1/3, 1/2, 2/3, -1/3, -1/2 and (-2/3). In these cases, the solutions are the sum of two hypergeometric functions. The α fractional derivatives have been for α=1/3, 1/2 and 2/3, and the above values of ν. No convergence has been found for the integer values of ν Furthermore when α has been considered as a rational found m/p, no general solution has been found. Clearly, this case is more difficult to treat than those of first kind Bessel Function.Keywords: Caputo, modified Bessel functions, hypergeometric, linear fractional differential equations, transform Laplace
Procedia PDF Downloads 3415598 Generalized Extreme Value Regression with Binary Dependent Variable: An Application for Predicting Meteorological Drought Probabilities
Authors: Retius Chifurira
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Logistic regression model is the most used regression model to predict meteorological drought probabilities. When the dependent variable is extreme, the logistic model fails to adequately capture drought probabilities. In order to adequately predict drought probabilities, we use the generalized linear model (GLM) with the quantile function of the generalized extreme value distribution (GEVD) as the link function. The method maximum likelihood estimation is used to estimate the parameters of the generalized extreme value (GEV) regression model. We compare the performance of the logistic and the GEV regression models in predicting drought probabilities for Zimbabwe. The performance of the regression models are assessed using the goodness-of-fit tests, namely; relative root mean square error (RRMSE) and relative mean absolute error (RMAE). Results show that the GEV regression model performs better than the logistic model, thereby providing a good alternative candidate for predicting drought probabilities. This paper provides the first application of GLM derived from extreme value theory to predict drought probabilities for a drought-prone country such as Zimbabwe.Keywords: generalized extreme value distribution, general linear model, mean annual rainfall, meteorological drought probabilities
Procedia PDF Downloads 1995597 An Application of Sinc Function to Approximate Quadrature Integrals in Generalized Linear Mixed Models
Authors: Altaf H. Khan, Frank Stenger, Mohammed A. Hussein, Reaz A. Chaudhuri, Sameera Asif
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This paper discusses a novel approach to approximate quadrature integrals that arise in the estimation of likelihood parameters for the generalized linear mixed models (GLMM) as well as Bayesian methodology also requires computation of multidimensional integrals with respect to the posterior distributions in which computation are not only tedious and cumbersome rather in some situations impossible to find solutions because of singularities, irregular domains, etc. An attempt has been made in this work to apply Sinc function based quadrature rules to approximate intractable integrals, as there are several advantages of using Sinc based methods, for example: order of convergence is exponential, works very well in the neighborhood of singularities, in general quite stable and provide high accurate and double precisions estimates. The Sinc function based approach seems to be utilized first time in statistical domain to our knowledge, and it's viability and future scopes have been discussed to apply in the estimation of parameters for GLMM models as well as some other statistical areas.Keywords: generalized linear mixed model, likelihood parameters, qudarature, Sinc function
Procedia PDF Downloads 3945596 Kinetic Model to Interpret Whistler Waves in Multicomponent Non-Maxwellian Space Plasmas
Authors: Warda Nasir, M. N. S. Qureshi
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Whistler waves are right handed circularly polarized waves and are frequently observed in space plasmas. The Low frequency branch of the Whistler waves having frequencies nearly around 100 Hz, known as Lion roars, are frequently observed in magnetosheath. Another feature of the magnetosheath is the observations of flat top electron distributions with single as well as two electron populations. In the past, lion roars were studied by employing kinetic model using classical bi-Maxwellian distribution function, however, could not be justified both on quantitatively as well as qualitatively grounds. We studied Whistler waves by employing kinetic model using non-Maxwellian distribution function such as the generalized (r,q) distribution function which is the generalized form of kappa and Maxwellian distribution functions by employing kinetic theory with single or two electron populations. We compare our results with the Cluster observations and found good quantitative and qualitative agreement between them. At times when lion roars are observed (not observed) in the data and bi-Maxwellian could not provide the sufficient growth (damping) rates, we showed that when generalized (r,q) distribution function is employed, the resulted growth (damping) rates exactly match the observations.Keywords: kinetic model, whistler waves, non-maxwellian distribution function, space plasmas
Procedia PDF Downloads 3135595 The Generalized Pareto Distribution as a Model for Sequential Order Statistics
Authors: Mahdy Esmailian, Mahdi Doostparast, Ahmad Parsian
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In this article, sequential order statistics (SOS) censoring type II samples coming from the generalized Pareto distribution are considered. Maximum likelihood (ML) estimators of the unknown parameters are derived on the basis of the available multiple SOS data. Necessary conditions for existence and uniqueness of the derived ML estimates are given. Due to complexity in the proposed likelihood function, a useful re-parametrization is suggested. For illustrative purposes, a Monte Carlo simulation study is conducted and an illustrative example is analysed.Keywords: bayesian estimation, generalized pareto distribution, maximum likelihood estimation, sequential order statistics
Procedia PDF Downloads 5085594 A New Fixed Point Theorem for Almost θ-Contraction
Authors: Hichem Ramoul
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In this work, we introduce a new type of contractive maps and we establish a new fixed point theorem for the class of almost θ-contractions (more general than the class of almost contractions) in a complete generalized metric space. The major novelty of our work is to prove a new fixed point result by weakening some hypotheses imposed on the function θ which will change completely the classical technique used in the literature review to prove fixed point theorems for almost θ-contractions in a complete generalized metric space.Keywords: almost contraction, almost θ-contraction, fixed point, generalized metric space
Procedia PDF Downloads 3025593 The Normal-Generalized Hyperbolic Secant Distribution: Properties and Applications
Authors: Hazem M. Al-Mofleh
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In this paper, a new four-parameter univariate continuous distribution called the Normal-Generalized Hyperbolic Secant Distribution (NGHS) is defined and studied. Some general and structural distributional properties are investigated and discussed, including: central and non-central n-th moments and incomplete moments, quantile and generating functions, hazard function, Rényi and Shannon entropies, shapes: skewed right, skewed left, and symmetric, modality regions: unimodal and bimodal, maximum likelihood (MLE) estimators for the parameters. Finally, two real data sets are used to demonstrate empirically its flexibility and prove the strength of the new distribution.Keywords: bimodality, estimation, hazard function, moments, Shannon’s entropy
Procedia PDF Downloads 3475592 The Impact of Socialization Preferences on Perceptions of Generalized Social Trust in China
Authors: Menghzheng Yao
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Generalized social trust among Chinese has been declining in the past few decades, making the search for its causes necessary. Drawing on the symbolic interaction theory and the 2012 Chinese General Social Survey data, this research investigated the impact of people’s socialization preferences and frequencies on their perceptions of generalized social trust in China. This research also took a preliminary step towards understanding the spatial differences of the generalized social trust using the ArcGIS software. The results show that respondents who interacted with their neighbors more frequently were more likely to have higher levels of perceptions of generalized social trust. Several demographics were also significantly related to perception of generalized social trust. Elderly and better educated Chinese and people with higher self-perceived social status were associated with greater levels of generalized social trust perception, while urban dwellers and religious respondents expressed lower levels of such perception. Implications for future research and policy are discussed.Keywords: China, generalized social trust, symbolic interaction, ArcGIS
Procedia PDF Downloads 3755591 Nano Generalized Topology
Authors: M. Y. Bakeir
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Rough set theory is a recent approach for reasoning about data. It has achieved a large amount of applications in various real-life fields. The main idea of rough sets corresponds to the lower and upper set approximations. These two approximations are exactly the interior and the closure of the set with respect to a certain topology on a collection U of imprecise data acquired from any real-life field. The base of the topology is formed by equivalence classes of an equivalence relation E defined on U using the available information about data. The theory of generalized topology was studied by Cs´asz´ar. It is well known that generalized topology in the sense of Cs´asz´ar is a generalization of the topology on a set. On the other hand, many important collections of sets related with the topology on a set form a generalized topology. The notion of Nano topology was introduced by Lellis Thivagar, which was defined in terms of approximations and boundary region of a subset of an universe using an equivalence relation on it. The purpose of this paper is to introduce a new generalized topology in terms of rough set called nano generalized topologyKeywords: rough sets, topological space, generalized topology, nano topology
Procedia PDF Downloads 4275590 Parametric Modeling for Survival Data with Competing Risks Using the Generalized Gompertz Distribution
Authors: Noora Al-Shanfari, M. Mazharul Islam
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The cumulative incidence function (CIF) is a fundamental approach for analyzing survival data in the presence of competing risks, which estimates the marginal probability for each competing event. Parametric modeling of CIF has the advantage of fitting various shapes of CIF and estimates the impact of covariates with maximum efficiency. To calculate the total CIF's covariate influence using a parametric model., it is essential to parametrize the baseline of the CIF. As the CIF is an improper function by nature, it is necessary to utilize an improper distribution when applying parametric models. The Gompertz distribution, which is an improper distribution, is limited in its applicability as it only accounts for monotone hazard shapes. The generalized Gompertz distribution, however, can adapt to a wider range of hazard shapes, including unimodal, bathtub, and monotonic increasing or decreasing hazard shapes. In this paper, the generalized Gompertz distribution is used to parametrize the baseline of the CIF, and the parameters of the proposed model are estimated using the maximum likelihood approach. The proposed model is compared with the existing Gompertz model using the Akaike information criterion. Appropriate statistical test procedures and model-fitting criteria will be used to test the adequacy of the model. Both models are applied to the ‘colon’ dataset, which is available in the “biostat3” package in R.Keywords: competing risks, cumulative incidence function, improper distribution, parametric modeling, survival analysis
Procedia PDF Downloads 1025589 Generalized Central Paths for Convex Programming
Authors: Li-Zhi Liao
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The central path has played the key role in the interior point method. However, the convergence of the central path may not be true even in some convex programming problems with linear constraints. In this paper, the generalized central paths are introduced for convex programming. One advantage of the generalized central paths is that the paths will always converge to some optimal solutions of the convex programming problem for any initial interior point. Some additional theoretical properties for the generalized central paths will be also reported.Keywords: central path, convex programming, generalized central path, interior point method
Procedia PDF Downloads 3255588 Upper Bound of the Generalized P-Value for the Difference between Two Future Population Means
Authors: Rada Somkhuean, Sa-aat Niwitpong, Suparat Niwitpong
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This paper presents the generalized p-values for testing the difference between two future population means when the variances are unknown, in both cases for when the variances are equal and unequal. We also derive a closed form expression of the upper bound of the proposed generalized p-value.Keywords: generalized p-value, two future population means, upper bound, variances
Procedia PDF Downloads 3835587 Parameter Estimation for the Mixture of Generalized Gamma Model
Authors: Wikanda Phaphan
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Mixture generalized gamma distribution is a combination of two distributions: generalized gamma distribution and length biased generalized gamma distribution. These two distributions were presented by Suksaengrakcharoen and Bodhisuwan in 2014. The findings showed that probability density function (pdf) had fairly complexities, so it made problems in estimating parameters. The problem occurred in parameter estimation was that we were unable to calculate estimators in the form of critical expression. Thus, we will use numerical estimation to find the estimators. In this study, we presented a new method of the parameter estimation by using the expectation – maximization algorithm (EM), the conjugate gradient method, and the quasi-Newton method. The data was generated by acceptance-rejection method which is used for estimating α, β, λ and p. λ is the scale parameter, p is the weight parameter, α and β are the shape parameters. We will use Monte Carlo technique to find the estimator's performance. Determining the size of sample equals 10, 30, 100; the simulations were repeated 20 times in each case. We evaluated the effectiveness of the estimators which was introduced by considering values of the mean squared errors and the bias. The findings revealed that the EM-algorithm had proximity to the actual values determined. Also, the maximum likelihood estimators via the conjugate gradient and the quasi-Newton method are less precision than the maximum likelihood estimators via the EM-algorithm.Keywords: conjugate gradient method, quasi-Newton method, EM-algorithm, generalized gamma distribution, length biased generalized gamma distribution, maximum likelihood method
Procedia PDF Downloads 2195586 Modelling of the Linear Operator in the Representation of the Function of Wave of a Micro Particle
Authors: Mohammedi Ferhate
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This paper deals with the generalized the notion of the function of wave a micro particle moving free, the concept of the linear operator in the representation function delta of Dirac which is a generalization of the symbol of Kronecker to the case of a continuous variation of the sizes concerned with the condition of orthonormation of the Eigen functions the use of linear operators and their Eigen functions in connection with the solution of given differential equations, it is of interest to study the properties of the operators themselves and determine which of them follow purely from the nature of the operators, without reference to specific forms of Eigen functions. The models simulation examples are also presented.Keywords: function, operator, simulation, wave
Procedia PDF Downloads 1455585 Investigation on Machine Tools Energy Consumptions
Authors: Shiva Abdoli, Daniel T.Semere
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Several researches have been conducted to study consumption of energy in cutting process. Most of these researches are focusing to measure the consumption and propose consumption reduction methods. In this work, the relation between the cutting parameters and the consumption is investigated in order to establish a generalized energy consumption model that can be used for process and production planning in real production lines. Using the generalized model, the process planning will be carried out by taking into account the energy as a function of the selected process parameters. Similarly, the generalized model can be used in production planning to select the right operational parameters like batch sizes, routing, buffer size, etc. in a production line. The description and derivation of the model as well as a case study are given in this paper to illustrate the applicability and validity of the model.Keywords: process parameters, cutting process, energy efficiency, Material Removal Rate (MRR)
Procedia PDF Downloads 4965584 Generalized Chaplygin Gas and Varying Bulk Viscosity in Lyra Geometry
Authors: A. K. Sethi, R. N. Patra, B. Nayak
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In this paper, we have considered Friedmann-Robertson-Walker (FRW) metric with generalized Chaplygin gas which has viscosity in the context of Lyra geometry. The viscosity is considered in two different ways (i.e. zero viscosity, non-constant r (rho)-dependent bulk viscosity) using constant deceleration parameter which concluded that, for a special case, the viscous generalized Chaplygin gas reduces to modified Chaplygin gas. The represented model indicates on the presence of Chaplygin gas in the Universe. Observational constraints are applied and discussed on the physical and geometrical nature of the Universe.Keywords: bulk viscosity, lyra geometry, generalized chaplygin gas, cosmology
Procedia PDF Downloads 1745583 Weyl Type Theorem and the Fuglede Property
Authors: M. H. M. Rashid
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Given H a Hilbert space and B(H) the algebra of bounded linear operator in H, let δAB denote the generalized derivation defined by A and B. The main objective of this article is to study Weyl type theorems for generalized derivation for (A,B) satisfying a couple of Fuglede.Keywords: Fuglede Property, Weyl’s theorem, generalized derivation, Aluthge transform
Procedia PDF Downloads 1275582 Local Homology Modules
Authors: Fatemeh Mohammadi Aghjeh Mashhad
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In this paper, we give several ways for computing generalized local homology modules by using Gorenstein flat resolutions. Also, we find some bounds for vanishing of generalized local homology modules.Keywords: a-adic completion functor, generalized local homology modules, Gorenstein flat modules
Procedia PDF Downloads 4175581 On the Analysis of Strategies of Buechi Games
Authors: Ahmad Termimi Ab Ghani, Kojiro Higuchi
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In this paper, we present some results of simultaneous infinite games. We mainly work with generalized reachability games and Buechi games. These games are two-player concurrent games where each player chooses simultaneously their moves at each step. Our goal is to give simple expressions of values for each game. Moreover, we are interested in the question of what type of optimal (ε-optimal) strategy exists for both players depending on the type of games. We first show the determinacy (optimal value) and optimal (ε-optimal) strategies in generalized reachability games. We provide a simple expressions of value of this game and prove the existence of memoryless randomized ε-optimal strategy for Player I in any generalized reachability games. We then observe games with more complex objectives, games with Buechi objectives. We present how to compute an ε-optimal strategies and approximate a value of game in some way. Specifically, the results of generalized reachability games are used to show the value of Buechi games can be approximated as values of some generalized reachability games.Keywords: optimal Strategies, generalized reachability games, Buechi games
Procedia PDF Downloads 5925580 On Fourier Type Integral Transform for a Class of Generalized Quotients
Authors: A. S. Issa, S. K. Q. AL-Omari
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In this paper, we investigate certain spaces of generalized functions for the Fourier and Fourier type integral transforms. We discuss convolution theorems and establish certain spaces of distributions for the considered integrals. The new Fourier type integral is well-defined, linear, one-to-one and continuous with respect to certain types of convergences. Many properties and an inverse problem are also discussed in some details.Keywords: Boehmian, Fourier integral, Fourier type integral, generalized quotient
Procedia PDF Downloads 3645579 Balancing a Rotary Inverted Pendulum System Using Robust Generalized Dynamic Inverse: Design and Experiment
Authors: Ibrahim M. Mehedi, Uzair Ansari, Ubaid M. Al-Saggaf, Abdulrahman H. Bajodah
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This paper presents a methodology for balancing a rotary inverted pendulum system using Robust Generalized Dynamic Inversion (RGDI) under influence of parametric variations and external disturbances. In GDI control, dynamic constraints are formulated in the form of asymptotically stable differential equation which encapsulates the control objectives. The constraint differential equations are based on the deviation function of the angular position and its rates from their reference values. The constraint dynamics are inverted using Moore-Penrose Generalized Inverse (MPGI) to realize the control expression. The GDI singularity problem is addressed by augmenting a dynamic scale factor in the interpretation of MPGI which guarantee asymptotically stable position tracking. An additional term based on Sliding Mode Control is appended within GDI control to make it robust against parametric variations, disturbances and tracking performance deterioration due to generalized inversion scaling. The stability of the closed loop system is ensured by using positive definite Lyapunov energy function that guarantees semi-global practically stable position tracking. Numerical simulations are conducted on the dynamic model of rotary inverted pendulum system to analyze the efficiency of proposed RGDI control law. The comparative study is also presented, in which the performance of RGDI control is compared with Linear Quadratic Regulator (LQR) and is verified through experiments. Numerical simulations and real-time experiments demonstrate better tracking performance abilities and robustness features of RGDI control in the presence of parametric uncertainties and disturbances.Keywords: generalized dynamic inversion, lyapunov stability, rotary inverted pendulum system, sliding mode control
Procedia PDF Downloads 1715578 The Impact of Audit Committee Industry Expertise on Internal Audit Function
Authors: Abdulaziz Alzeban
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This study examines whether internal audit function is indeed greater when audit committee members have industry expertise combined with auditing expertise. Data from a survey of 64 chief internal auditors from companies registered on the Saudi Stock Exchange TADAWL, provides results that suggest that when audit committee members possess both industry expertise and auditing expertise, the committee’s role in improving the quality of internal audit is enhanced. This outcome is concluded as one that can be generalized beyond the Saudi Arabian context.Keywords: internal audit, audit committee, industry expertise, function
Procedia PDF Downloads 3565577 Generalized Additive Model Approach for the Chilean Hake Population in a Bio-Economic Context
Authors: Selin Guney, Andres Riquelme
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The traditional bio-economic method for fisheries modeling uses some estimate of the growth parameters and the system carrying capacity from a biological model for the population dynamics (usually a logistic population growth model) which is then analyzed as a traditional production function. The stock dynamic is transformed into a revenue function and then compared with the extraction costs to estimate the maximum economic yield. In this paper, the logistic population growth model for the population is combined with a forecast of the abundance and location of the stock by using a generalized additive model approach. The paper focuses on the Chilean hake population. This method allows for the incorporation of climatic variables and the interaction with other marine species, which in turn will increase the reliability of the estimates and generate better extraction paths for different conservation objectives, such as the maximum biological yield or the maximum economic yield.Keywords: bio-economic, fisheries, GAM, production
Procedia PDF Downloads 2505576 Jensen's Inequality and M-Convex Functions
Authors: Yamin Sayyari
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In this paper, we generalized the Jensen's inequality for m-convex functions and also we present a correction of Jensen's inequality which is a better than the generalization of this inequality for m-convex functions. Finally, we have found new lower and new upper bounds for Jensen's discrete inequality.Keywords: Jensen's inequality, m-convex function, Convex function, Inequality
Procedia PDF Downloads 1445575 Durrmeyer Type Modification of q-Generalized Bernstein Operators
Authors: Ruchi, A. M. Acu, Purshottam N. Agrawal
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The purpose of this paper to introduce the Durrmeyer type modification of q-generalized-Bernstein operators which include the Bernstein polynomials in the particular α = 0. We investigate the rate of convergence by means of the Lipschitz class and the Peetre’s K-functional. Also, we define the bivariate case of Durrmeyer type modification of q-generalized-Bernstein operators and study the degree of approximation with the aid of the partial modulus of continuity and the Peetre’s K-functional. Finally, we introduce the GBS (Generalized Boolean Sum) of the Durrmeyer type modification of q- generalized-Bernstein operators and investigate the approximation of the Bögel continuous and Bögel differentiable functions with the aid of the Lipschitz class and the mixed modulus of smoothness.Keywords: Bögel continuous, Bögel differentiable, generalized Boolean sum, Peetre’s K-functional, Lipschitz class, mixed modulus of smoothness
Procedia PDF Downloads 2135574 Application of Generalized Autoregressive Score Model to Stock Returns
Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke
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The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.Keywords: generalized autoregressive score model, South Africa, stock returns, time-varying
Procedia PDF Downloads 500