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= 1−e 0, k lainnya: P N (t) =k k>0 λ (t) e k!, k=1,2,3, …

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The document discusses probability distributions including the Poisson distribution, the Weibull distribution, and the generalized Pareto distribution. It provides equations for the probability mass function and expected value and variance of the Poisson distribution. It also gives the probability density function, expected value, and variance of the Weibull distribution. The document describes how to estimate the parameters of the Weibull distribution from sample data. It then discusses how these distributions can be used to model a compound process where the number of events follows a Poisson distribution and the sizes or durations of individual events follow a Weibull or generalized Pareto distribution.

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= 1−e 0, k lainnya: P N (t) =k k>0 λ (t) e k!, k=1,2,3, …

Uploaded by

dwimahr
26 views3 pages
The document discusses probability distributions including the Poisson distribution, the Weibull distribution, and the generalized Pareto distribution. It provides equations for the probability mass function and expected value and variance of the Poisson distribution. It also gives the probability density function, expected value, and variance of the Weibull distribution. The document describes how to estimate the parameters of the Weibull distribution from sample data. It then discusses how these distributions can be used to model a compound process where the number of events follows a Poisson distribution and the sizes or durations of individual events follow a Weibull or generalized Pareto distribution.

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The document discusses probability distributions including the Poisson distribution, the Weibull distribution, and the generalized Pareto distribution. It provides equations for the probability mass function and expected value and variance of the Poisson distribution. It also gives the probability density function, expected value, and variance of the Weibull distribution. The document describes how to estimate the parameters of the Weibull distribution from sample data. It then discusses how these distributions can be used to model a compound process where the number of events follows a Poisson distribution and the sizes or durations of individual events follow a Weibull or generalized Pareto distribution.

Copyright:

© All Rights Reserved
Download as DOCX, PDF, TXT or read online from Scribd
Download as docx, pdf, or txt
26 views3 pages

= 1−e 0, k lainnya: P N (t) =k k>0 λ (t) e k!, k=1,2,3, …

Uploaded by

dwimahr
The document discusses probability distributions including the Poisson distribution, the Weibull distribution, and the generalized Pareto distribution. It provides equations for the probability mass function and expected value and variance of the Poisson distribution. It also gives the probability density function, expected value, and variance of the Weibull distribution. The document describes how to estimate the parameters of the Weibull distribution from sample data. It then discusses how these distributions can be used to model a compound process where the number of events follows a Poisson distribution and the sizes or durations of individual events follow a Weibull or generalized Pareto distribution.

Copyright:

© All Rights Reserved
Download as DOCX, PDF, TXT or read online from Scribd
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k

( λ ( t ) ) e−λ ( t )
{
P ( N ( t )=k|k > 0 )= k ! ( 1−e−λ ( t )) , k=1,2,3 , …
0 , k lainnya

λ ( t ) e λ ( t)
E [ N ( t ) ]=
e λ (t )−1

λ ( t ) e λ (t ) λ (t )
Var [ N ( t ) ]= λ (t )
e −1 [ 1− λ (t )
e −1 ]
t2

λ ( t )=∫ N p ( t ) h ( t ) dt
t1

f (t)
h ( t )=
1−F ( t )

Generalized Pareto
1
1 x−μ −1−
f ( x )=
σ (
1+ k
σ ) k

−1
x−μ
F ( x )=1− 1+k
σ ( ) k

Weibull

α −1 α
α x x

{
f ( x )= β β () exp −

0
( ( )) β

E [ X i ]= βΓ 1+ ( α1 ),
2
2
α
2
Var [ X i ]=β Γ 1+ − Γ 1+
1
α [( ) [ ( )] ] .
n 1

( )
α^ α^
∑ xi
^β= i=1
n
n

∑ ( x αi^ ln x i ) 1 1
n
i=1
n
− = ∑ ln x i
α^ n i=1
∑ x αi^
i=1

S ( t ) =f ( N ( t ) , X t )

S ( t ) =X 1 + X 2 +…+ X N (t )
^ ^ λ (t )
^ ^ ^ ¿ ^β Γ 1+ 1 λ ( t ) e
E [ S ( t ) ]= E [ X t ] E [ N ( t ) ]
α^ e ^
λ( t )
−1
( )
2 ^ ^
λ ( t ) eλ( t )
^ ^^ ^2 ^ ^ 2
{( ) [ ( )] } e
2 1
Var [ S ( t ) ] =Var [ X t ] E [ N ( t ) ] + ¿ ( E [ X t ]) Var [ N ( t ) ] ¿ ¿ β Γ 1+ α^ − Γ 1+ α^ ^
λ (t )
−1
^
2 ^ ^
[ ]
λ (t )
1 λ (t )e λ (t )
( ( ))
+ ^β Γ 1+
α^ ^
e λ (t )−1
1− ^
e λ ( t) −1

1
P (|μ−^μ|≥ k σ^2 ) ≤ 2
√ k

μ= μ^ + k σ^2
√
(T r Generalized Pareto ( μr , σ r ) )

( Xr Weibull ( α r , βr ) )

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