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Agro-Climatic Risks Analysis in Climate Variability Context in Ségou Region

Open Journal of Statistics 2023年第1期13卷 170-193页

作者： Diop Amadou barro diakarya Université de Ségou République du Mali Région de Ségou Université Thomas Sankara Burkina Faso Ouagadougou

In the Sahel region, the population depends largely on rain-fed agriculture. In West Africa in particular, climate models turn out to be unable to capture some basic features of present-day climate variability. This study proposes a contribution to the analysis of the evolution of agro-climatic risks in the context of climate variability. Some statistical tests are used on the main variables of the rainy season to determine the trends and the variabilities described by the data series. Thus, the paper provides a statistical modeling of the different agro-climatic risks while the seasonal variability of agro-climatic parameters was analyzed as well as their inter annual variability. The study identifies the probability distributions of agroclimatic risks and the characterization of the rainy season was clarified.

关键词： Climate Variability Agro-Climatic Risks Seasonal Evolution Variability Parameters Tests

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Extreme Values Approach in Food Risk Modeling

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Open Journal of Statistics 2022年第5期12卷 691-710页

作者： Komla Elom Adedje diakarya barro Université Thomas Sankara Ouagadougou Burkina Faso

In this paper we estimate the incubation period of a possible pathology following exposure to dioxins during a poor diet. The tools developed for this purpose include the probabilistic extremal model and the stochastic behavior of the distribution tails of the contamination. We propose a cumulative distribution function for a random variable that follows both a Gaussian distribution and a GPD. A global optimization method is also explored for the efficient estimation of parameters of GPD.

关键词： Extreme Values Tail Dioxin Dietary Risk Incubation Period

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Sampling Geostatistical Structures in Extremal Framework

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Open Journal of Statistics 2023年第1期13卷 46-60页

作者： Fabrice Ouoba Hay Yoba Talkibing diakarya barro Université de Fada N’Gourma Fada N’Gourma Burkina Faso Université Joseph Ki-Zerbo Ouagadougou Burkina Faso Université Thomas Sankara Ouagadougou Burkina Faso

Geostatistics of extreme values makes it possible to model the asymptotic behavior of random phenomena that depend on time or space. In this paper, we propose new models of the extremal coefficient of a stationary random field where the cumulative distribution is associated with a multivariate copula. More precisely, some models of extensions of the extremogram and these derivatives are built in a spatial framework. Moreover, both these two geostatistical tools are modeled using the extremal variogram which characterizes the asymptotic stochastic behavior of the phenomena.

关键词： Extremal Index Extremogram Variogram Copulas Stationary Process Extreme Values

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Management of a Complex Portfolio of Assets with Stochastic Drifts and Volatilities

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Open Journal of Statistics 2022年第6期12卷 827-838页

作者： Wendkouni Yaméogo Korotimi Ouédraogo diakarya barro LANIBIO Université Joseph KI-ZERBO Ouagadougou Burkina Faso Université Thomas SANKARA Ouagadougou Burkina Faso

In financial analysis risk quantification is essential for efficient portfolio management in a stochastic framework. In this paper we study the value at risk, the expected shortfall, marginal expected shortfall and value at risk, incremental value at risk and expected shortfall, the marginal and discrete marginal contributions of a portfolio. Each asset in the portfolio is characterized by a trend, a volatility and a price following a three-dimensional diffusion process. The interest rate of each asset evolves according to the Hull and White model. Furthermore, we propose the optimization of this portfolio according to the value at risk model.

关键词： Value at Risk Expected Shortfall Stochastic Process Interest Rate

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