arXiv subjects

Diakarya Barro

Publications and source records attributed to Diakarya Barro.

5 recordsLinked to original sources

arXiv2022

Stochastic modeling using Adomian method and fractionnal differential equations

In this paper, we propose a fractional differential equation of order one-half, to model the evolution through time of the dynamics of accumulation and elimination of the contaminant in human organism with a deficient immune system, during consecutive intakes of contaminated food. This process quantifies the exposure to toxins of subjects living with comorbidity (children not breast-fed, the elderly, pregnant women) to food-born diseases. The Adomian Decomposition Method and the fractional integration of Riemann Liouville are used in the modeling processes.

stat.ME↗

arXiv2022

Sampling spatial structures in geostatistical framework

Extreme values geostatistics make it possible to model the asymptotic behaviors of random phenomena which depends on space or time parameters. In this paper, we propose new models of the extremal coefficient within a spatial stationary fields underlied by multivariate copulas. Some models of extensions of the extremogram and the cross-extremogram are constructed in a spatial framework. Moreover, both these two geostatistcal tools are modeled using the extremal variogram which characterizes the asymptotic stochastic behavior of the phenomena.

stat.ME↗

arXiv2021

Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas

In this article, we present an approach which allows to take into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associeted options. Specifically, the marginal distribution of assets returns is modeled by a mixture of two gaussiens distributions. Moreover, we model the joint dependence structure of the returns using an extremal copula which is suitable for our financial data. Applications are made on the Atos and Dassault Systems actions of the CAC40 index. Monte-Carlo method is used to compute the values of some equity options: the call on maximum, the call on minimum, the digital option and the spreads option with the basket (Atos, Dassault systems).

q-fin.PR↗

arXiv2021

Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs

This study aims to widen the sphere of pratical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory. A sequential process of modeling of the VaR of a portfolio based on the ARMA-APARCH-EVT-HAC model was discussed. The empirical analysis conducted with data from international stock market indices clearly illustrates the performance and accuracy of modeling based on HACs.

q-fin.ST↗

arXiv2021

Modeling space-time trends and dependence in extreme precipitations of Burkina Faso by the approach of the Peaks-Over-Threshold

Modeling extremes of climate variables in the framework of climate change is a particularly difficult task, since it implies taking into account spatio-temporal nonstationarities. In this paper, we propose a new method for estimating extreme precipitation at the points where we have not observations using information from marginal distributions and dependence structure. To reach this goal we combine two statistical approaches of extreme values theory allowing on the one hand to control temporal and spatial non-stationarities via a tail trend function with a spatio-temporal structure in the marginal distributions and by modeling on the other hand the dependence structure by a latent spatial process using generalized `-Pareto processes. This new methodology for trend analysis of extreme events is applied to rainfall data from Burkina Faso. We show that extreme precipitation is spatially and temporally correlated for distances of approximately 200 km. Locally, extreme rainfall has more of an upward than downward trend.

stat.ME↗