Tahani Coolen-Maturi

Durham University

49Publications

9H-index

302Citations

Publications 49

Newest

On nonparametric predictive inference for asset and European option trading in the binomial tree model

#1Junbin Chen (Durham University)H-Index: 1

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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AbstractThis article introduces a novel method for asset and option trading in a binomial scenario. This method uses nonparametric predictive inference (NPI), a statistical methodology within impre...

#1Ting He (Durham University)H-Index: 1

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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AbstractIn finance, option pricing is one of the main topics. A basic model for option pricing is the Binomial Tree Model, proposed by Cox, Ross, and Rubinstein in 1979 (CRR). This model assumes that the underlying asset price follows a binomial distribution with a constant upward probability, the so-called risk-neutral probability. In this article, we propose a novel method based on the binomial tree. Rather than using the risk-neutral probability, we apply Nonparametric Predictive Inference (N...

#1Tahani Coolen-Maturi (Durham University)H-Index: 9

#2Frank P. A. Coolen (Durham University)H-Index: 24

Credit rating or credit scoring systems are important tools for estimating the obligor's creditworthiness and for providing an indication of the obligor's future status. The discriminatory power of a credit rating or credit scoring system refers to its ex ante ability to distinguish between two or more classes of borrowers. One of the most popular tools for the validation of the power of credit rating or credit scoring models to distinguish between two (or more) classes of borrowers is the recei...

Nonparametric predictive comparison of two diagnostic tests based on total numbers of correctly diagnosed individuals.

#1Manal H. Alabdulhadi (Qassim University)H-Index: 1

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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In clinical applications, it is important to compare and study the ability of diagnostic tests to discriminate between individuals with and without the disease. In this paper, comparison of two diagnostic tests is presented and discussed using nonparametric predictive inference (NPI). We compare the two tests by considering the total numbers of correct diagnoses for specific numbers of future healthy individuals and future patients. This NPI approach for comparison of diagnostic tests is also ge...

#1Kong Fah Tee (University of Greenwich)H-Index: 15

#2Konstantinos Pesinis (University of Greenwich)H-Index: 3

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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Abstract Risk analysis based on historical failure data can form an integral part of the integrity management of oil and gas pipelines. The scarcity and lack of consistency in the information provided by major incident databases leads to non-specific results of the risk status of pipes under consideration. In order to evaluate pipeline failure rates, the rate of occurrence of failures is commonly adopted. This study aims to derive inductive inferences from the 179 reported ruptures of a set of o...

#1Asamh S.M. Al Luhayb (Durham University)

#2Tahani Coolen-Maturi (Durham University)H-Index: 9

Last.Frank P. A. Coolen (Durham University)H-Index: 24

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A new generalized smoothed bootstrap technique is presented for data including right-censored observations. The method is based on Banks’ bootstrap [2] and the right-censoring A (n) assumption introduced by [7], which is a generalization of Hill’s A (n) assumption [12]. We use two examples to show how the smoothed bootstrap is applied to make inferences about a survival function, namely an estimate of the survival function and corresponding bootstrap based point-wise confidence intervals. We com...

#1Xianzhen Huang (NU: Northeastern University)H-Index: 7

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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In recent research, the major focus on reliability-redundancy allocation problems has been on the possibility of using more efficient and effective algorithms to improve convergence speed and solution accuracy of the optimization model. But the model of reliability-redundancy allocation itself has not been investigated further. In this paper, we try to simplify the optimization model of the reliability-redundancy allocation problem by using the theory of survival signature. To achieve this, the ...

Introducing nonparametric predictive inference methods for reproducibility of likelihood ratio tests.

#1Filipe J. MarquesH-Index: 8

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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This paper introduces the nonparametric predictive inference approach for reproducibility of likelihood ratio tests. The general idea of this approach is outlined for tests between two simple hypotheses, followed by an investigation of reproducibility for tests between two beta distributions. The paper reports on the first steps of a wider research programme towards tests involving composite hypotheses and substantial computational challenges.

Approximations for the Likelihood Ratio Statistic for Hypothesis Testing Between Two Beta Distributions

#1Filipe J. MarquesH-Index: 8

#2Frank P. A. Coolen (Durham University)H-Index: 24

Last.Tahani Coolen-Maturi (Durham University)H-Index: 9

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In this paper, the likelihood ratio to test between two Beta distributions is addressed. The exact distribution of the likelihood ratio statistic, for simple hypotheses, is obtained in terms of Gamma or Generalized Integer Gamma distributions, when the first or the second of the two parameters of the Beta distributions are equal and integers. In the remaining cases addressed, near-exact or asymptotic approximations are developed for the likelihood ratio statistic. Both the exact, asymptotic or n...

#1Xianzhen HuangH-Index: 7

#2Frank P. A. CoolenH-Index: 24

Last.Yimin Zhang

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Reliability importance which serves to quantify the influence of each component (or each type of components) in each phase on the reliability of a phased mission system (PMS) plays an important role in security assessment and risk management. In this paper, we present a new and efficient method for reliability importance analysis of PMSs using the theory of survival signature. A new kind of survival signature is applied to assess the reliability of PMS with multiple types of components. A closed...

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