共查询到20条相似文献,搜索用时 31 毫秒
1.
Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2015), can capture the buffering phenomena of time series in both the conditional mean and variance. Thus, it provides us a new way to study the nonlinearity of time series. Compared with the existing AR-GARCH and threshold AR-GARCH models, an application to several exchange rates highlights the importance of the BAR-GARCH model. 相似文献
2.
This paper treats the problem of stochastic comparisons for the extreme order statistics arising from heterogeneous beta distributions. Some sufficient conditions involved in majorization-type partial orders are provided for comparing the extreme order statistics in the sense of various magnitude orderings including the likelihood ratio order, the reversed hazard rate order, the usual stochastic order, and the usual multivariate stochastic order. The results established here strengthen and extend those including Kochar and Xu (2007), Mao and Hu (2010), Balakrishnan et al. (2014), and Torrado (2015). A real application in system assembly and some numerical examples are also presented to illustrate the theoretical results. 相似文献
3.
Sanaullah et al. (2014) have suggested generalized exponential chain ratio estimators under stratified two-phase sampling scheme for estimating the finite population mean. However, the bias and mean square error (MSE) expressions presented in that work need some corrections, and consequently the study based on efficiency comparison also requires corrections. In this article, we revisit Sanaullah et al. (2014) estimator and provide the correct bias and MSE expressions of their estimator. We also propose an estimator which is more efficient than several competing estimators including the classes of estimators in Sanaullah et al. (2014). Three real datasets are used for efficiency comparisons. 相似文献
4.
Vikas Kumar 《统计学通讯:理论与方法》2017,46(17):8343-8354
In this article, the concept of cumulative residual entropy (CRE) given by Rao et al. (2004) is extended to Tsallis entropy function and dynamic version, both residual and past of it. We study some properties and characterization results for these generalized measures. In addition, we provide some characterization results of the first-order statistic based on the Tsallis survival entropy. 相似文献
5.
Recently, Abbasnejad et al. (2010) proposed a measure of uncertainty based on survival function, called the survival entropy of order α. A dynamic form of the survival entropy of order α is also proposed by them. In this paper, we derive the weighted form of these measures. The properties of the new measures are also discussed. 相似文献
6.
The objective of this paper is to study U-type designs for Bayesian non parametric response surface prediction under correlated errors. The asymptotic Bayes criterion is developed in terms of the asymptotic approach of Mitchell et al. (1994) for a more general covariance kernel proposed by Chatterjee and Qin (2011). A relationship between the asymptotic Bayes criterion and other criteria, such as orthogonality and aberration, is then developed. A lower bound for the criterion is also obtained, and numerical results show that this lower bound is tight. The established results generalize those of Yue et al. (2011) from symmetrical case to asymmetrical U-type designs. 相似文献
7.
M. Mirali 《统计学通讯:理论与方法》2017,46(22):11047-11059
Some extensions of Shannon entropy to the survival function have been recently proposed. Misagh et al. (2011) introduced weighted cumulative residual entropy (WCRE) that was studied more by Mirali et al. (2015). In this article, the dynamic version of WCRE is proposed. Some relationships of this measure with well-known reliability measures and ageing classes are studied and some characterization results for exponential and Rayleigh distributions are provided. Also, a non parametric estimation of dynamic version of WCRE is introduced and its asymptotic behavior is investigated. 相似文献
8.
By using the medical data analyzed by Kang et al. (2007), a Bayesian procedure is applied to obtain control limits for the coefficient of variation. Reference and probability matching priors are derived for a common coefficient of variation across the range of sample values. By simulating the posterior predictive density function of a future coefficient of variation, it is shown that the control limits are effectively identical to those obtained by Kang et al. (2007) for the specific dataset they used. This article illustrates the flexibility and unique features of the Bayesian simulation method for obtaining posterior distributions, predictive intervals, and run-lengths in the case of the coefficient of variation. A simulation study shows that the 95% Bayesian confidence intervals for the coefficient of variation have the correct frequentist coverage. 相似文献
9.
When a sufficient correlation between the study variable and the auxiliary variable exists, the ranks of the auxiliary variable are also correlated with the study variable, and thus, these ranks can be used as an effective tool in increasing the precision of an estimator. In this paper, we propose a new improved estimator of the finite population mean that incorporates the supplementary information in forms of: (i) the auxiliary variable and (ii) ranks of the auxiliary variable. Mathematical expressions for the bias and the mean-squared error of the proposed estimator are derived under the first order of approximation. The theoretical and empirical studies reveal that the proposed estimator always performs better than the usual mean, ratio, product, exponential-ratio and -product, classical regression estimators, and Rao (1991), Singh et al. (2009), Shabbir and Gupta (2010), Grover and Kaur (2011, 2014) estimators. 相似文献
10.
In this article, we are going to study the almost everywhere convergence for sequences of pairwise negatively quadrant dependent random variables by using truncation technique and Kolmogorov-type generalized three-series theorem. Our results generalize and improve the corresponding results of Wu (2002) and Li and Yang (2008). We also give some examples showing that our extensions are not trivial. 相似文献
11.
This article recasts the optimal allocations of coverage limits for two independent random losses. Under some regularity conditions on the two concerned probability density functions, we build the sufficient and necessary condition for the existence of the optimal allocation of coverage limits, and derive the optimal allocation whenever they do exist. The results supplement Lu and Meng (2011, Proposition 5.2) and Hu and Wang (2014, Theorem 5.1). 相似文献
12.
Yu-Ye Zou 《统计学通讯:理论与方法》2017,46(2):1007-1023
In this article, we study global L2 error of non linear wavelet estimator of density in the Besov space Bspq for missing data model when covariables are present and prove that the estimator can achieve the optimal rate of convergence, which is similar to the result studied by Donoho et al. (1996) in complete independent data case with term-by-term thresholding of the empirical wavelet coefficients. Finite-sample behavior of the proposed estimator is explored via simulations. 相似文献
13.
This paper applies stratified random sampling using Neyman allocation to Mangat et al. (1992) unrelated question randomized response (RR) strategy for both completely truthful reporting and less than completely truthful reporting. It is shown that, for the prior information given, our new model is more efficient in terms of variance (in the case of completely truthful reporting) and mean square error (in terms of less than completely truthful reporting) than Kim and Elam's (2007) model. Numerical illustrations and graphs are also given in support of the present study. 相似文献
14.
Housila P. Singh 《统计学通讯:理论与方法》2017,46(1):389-405
The crux of this paper is to estimate the mean of the number of persons possessing a rare sensitive attribute based on the Mangat (1992) randomization device by utilizing the Poisson distribution in survey sampling. It is shown that the proposed model is more efficient than Land et al. (2011) when the proportion of persons possessing a rare unrelated attribute is known. Properties of the proposed randomized response model have been studied along with recommendations. We have also extended the proposed model to stratified random sampling on the lines of Lee et al. (2013). It has been also shown that the proposed estimator is better than Lee et al.'s (2013) estimator. Numerical illustrations are also given in support of the present study. 相似文献
15.
In analogy with the weighted Shannon entropy proposed by Belis and Guiasu (1968) and Guiasu (1986), we introduce a new information measure called weighted cumulative residual entropy (WCRE). This is based on the cumulative residual entropy (CRE), which is introduced by Rao et al. (2004). This new information measure is “length-biased” shift dependent that assigns larger weights to larger values of random variable. The properties of WCRE and a formula relating WCRE and weighted Shannon entropy are given. Related studies of reliability theory is covered. Our results include inequalities and various bounds to the WCRE. Conditional WCRE and some of its properties are discussed. The empirical WCRE is proposed to estimate this new information measure. Finally, strong consistency and central limit theorem are provided. 相似文献
16.
Sample size estimation for comparing the rates of change in two-arm repeated measurements has been investigated by many investigators. In contrast, the literature has paid relatively less attention to sample size estimation for studies with multi-arm repeated measurements where the design and data analysis can be more complex than two-arm trials. For continuous outcomes, Jung and Ahn (2004) and Zhang and Ahn (2013) have presented sample size formulas to compare the rates of change and time-averaged responses in multi-arm trials, using the generalized estimating equation (GEE) approach. To our knowledge, there has been no corresponding development for multi-arm trials with count outcomes. We present a sample size formula for comparing the rates of change in multi-arm repeated count outcomes using the GEE approach that accommodates various correlation structures, missing data patterns, and unbalanced designs. We conduct simulation studies to assess the performance of the proposed sample size formula under a wide range of designing configurations. Simulation results suggest that empirical type I error and power are maintained close to their nominal levels. The proposed method is illustrated using an epileptic clinical trial example. 相似文献
17.
Empirical Bayes (EB) methods are very useful for post selection inference. Following Datta et al. (2002), we construct EB confidence intervals for the selected population mean. The EB intervals are adjusted to achieve the target coverage probabilities asymptotically up to the second order. Both unconditional coverage probabilities of EB intervals and corresponding probabilities conditional on ancillary statistics are found. 相似文献
18.
The crux of this article is to estimate the mean of the number of persons possessing a rare sensitive attribute based on the Mangat (1991) randomization device by utilizing the Poisson distribution in simple random sampling and stratified sampling. Properties of the proposed randomized response (RR) model have been studied along with recommendations. It is also shown that the proposed model is more efficient than that of Land et al. (2011) in simple random sampling and that of Lee et al. (2013) in stratified random sampling when the proportion of persons possessing a rare unrelated attribute is known. Numerical illustrations are also given in support of the present study. 相似文献
19.
In this article, we develop the skew-generalized normal distribution introduced by Arellano-Valle et al. (2004) to a new family of the Beta skew-generalized normal (BSGN) distribution . Here, we present some theorems and properties of BSGN distribution and obtain its moment-generating function. 相似文献
20.
In this paper, the focus is on sequential analysis of multivariate financial time series with heavy tails. The mean vector and the covariance matrix of multivariate non linear models are simultaneously monitored by modifying conventional control charts to identify structural changes in the data. The considered target process is a constant conditional correlation model (cf. Bollerslev, 1990), an extended constant conditional correlation model (cf. He and Teräsvirta, 2004), a dynamic conditional correlation model (cf. Engle, 2002), or a generalized dynamic conditional correlation model (cf. Capiello et al., 2006). For statistical surveillance we use control charts based on residuals. Further, the procedures are constructed for t-distribution. The detection speed of these charts is compared via Monte Carlo simulation. In the empirical study, the procedure with the best performance is applied to log-returns of the stock market indices FTSE and CAC. 相似文献