共查询到20条相似文献,搜索用时 46 毫秒
1.
Yang Xing 《统计学通讯:理论与方法》2013,42(5):972-982
The introduction of the Hausdorff α-entropy in Xing (2008a), Xing (2008b), Xing (2010), Xing (2011), and Xing and Ranneby (2009) has lead a series of improvements of well-known results on posterior consistency. In this paper we discuss an application of the Hausdorff α-entropy. We construct a universal prior distribution such that the corresponding posterior distribution is almost surely consistent. The approach of the construction of this type of prior distribution is natural, but it works very well for all separable models. We illustrate such prior distributions by examples. In particular, we obtain that if the true density function is known to be some normal probability density function with unknown mean and unknown variance then without any additional assumption one can construct a prior distribution which leads to posterior consistency. 相似文献
2.
Mariagiulia Matteucci 《统计学通讯:理论与方法》2014,43(4):751-770
The article aims at evaluating the parameter recovery for the multidimensional additive IRT model (Sheng, 2005; Sheng and Wikle, 2009). By estimating the model parameters via Gibbs sampler, a simulation study is conducted under different testing conditions, e.g., dimensionality, test and subtest lengths, correlation matrices, and different values of discrimination parameters. The results show that, especially when the test length is short and the abilities are highly correlated, the accuracy of the parameter estimates is reduced and more iterations are required to convergence. An application in educational testing is also described to show the effectiveness of the model in use. 相似文献
3.
Housila P. Singh 《统计学通讯:理论与方法》2013,42(23):4222-4238
This article considers some classes of estimators of the population median of the study variable using information on an auxiliary variable with their properties under large sample approximation. Asymptotic optimum estimator (AOE) in each class of estimators has been investigated along with the approximate mean square error formulae. It has been shown that the proposed classes of estimators are better than these considered by Gross (1980), Kuk and Mak (1989), Singh et al. (2003a), and Al and Cingi (2009). An empirical study is carried out to judge the merits of the suggested class of estimators over other existing estimators. 相似文献
4.
A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
Tomasz R. Bielecki Areski Cousin Stéphane Crépey Alexander Herbertsson 《统计学通讯:理论与方法》2014,43(7):1362-1389
In Bielecki et al. (2014a), the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in Bielecki et al. (2014b,c) where numerical illustrations assumed deterministic intensities and constant recoveries. In the present paper, we show how to incorporate stochastic default intensities and random recoveries in the bottom-up modeling framework of Bielecki et al. (2014a) while preserving numerical tractability. These two features are of primary importance for applications like CVA computations on credit derivatives (Assefa et al., 2011; Bielecki et al., 2012), as CVA is sensitive to the stochastic nature of credit spreads and random recoveries allow to achieve satisfactory calibration even for “badly behaved” data sets. This article is thus a complement to Bielecki et al. (2014a), Bielecki et al. (2014b) and Bielecki et al. (2014c). 相似文献
5.
Singh et al. (1986) proposed an almost unbiased ridge estimator using Jackknife method that required transformation of the regression parameters. This article shows that the same method can be used to derive the Jackknifed ridge estimator of the original (untransformed) parameter without transformation. This method also leads in deriving easily the second-order Jackknifed ridge that may reduce the bias further. We further investigate the performance of these estimators along with a recent method by Batah et al. (2008) called modified Jackknifed ridge theoretically as well as numerically. 相似文献
6.
In this article, we consider two different shared frailty regression models under the assumption of Gompertz as baseline distribution. Mostly assumption of gamma distribution is considered for frailty distribution. To compare the results with gamma frailty model, we consider the inverse Gaussian shared frailty model also. We compare these two models to a real life bivariate survival data set of acute leukemia remission times (Freireich et al., 1963). Analysis is performed using Markov Chain Monte Carlo methods. Model comparison is made using Bayesian model selection criterion and a well-fitted model is suggested for the acute leukemia data. 相似文献
7.
Mike G. Tsionas 《统计学通讯:理论与方法》2018,47(12):3022-3028
The properties of high-dimensional Bingham distributions have been studied by Kume and Walker (2014). Fallaize and Kypraios (2016) propose the Bayesian inference for the Bingham distribution and they use developments in Bayesian computation for distributions with doubly intractable normalizing constants (Møller et al. 2006; Murray, Ghahramani, and MacKay 2006). However, they rely heavily on two Metropolis updates that they need to tune. In this article, we propose instead a model selection with the marginal likelihood. 相似文献
8.
Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model
Electricity market prices are highly volatile and often have high spikes. Both government authorities and market participants require sophisticated models and techniques for forecasting future prices and managing relevant financial risks in such a volatile market. This article extends the conditional autoregressive geometric process (CARGP) model (Chan et al., 2012) to the CARGP model with thresholds and jumps, which is abbreviated as CARGP-TJ model in this article. We will demonstrate that the proposed CARGP-TJ model not only captures the unique features of the electricity price but also performs better than other existing models. For robustness consideration, a heavy-tailed error distribution is adopted. Model implementation relies on the powerful Bayesian Markov chain Monte Carlo simulation techniques via WinBUGS software. The analysis of the daily maximum electricity prices of the New South Wales, Australia reveals that the proposed CARGP-TJ model captures the price spikes well for both in-sample estimation and out-of-sample forecast. 相似文献
9.
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
10.
Simard et al. [16 17] proposed a transformation distance called “tangent distance” (TD) which can make pattern recognition be efficient. The key idea is to construct a distance measure which is invariant with respect to some chosen transformations. In this research, we provide a method using adaptive TD based on an idea inspired by “discriminant adaptive nearest neighbor” [7]. This method is relatively easy compared with many other complicated ones. A real handwritten recognition data set is used to illustrate our new method. Our results demonstrate that the proposed method gives lower classification error rates than those by standard implementation of neural networks and support vector machines and is as good as several other complicated approaches. 相似文献
11.
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
12.
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
13.
This article addresses the problem of estimating the population mean in stratified random sampling using the information of an auxiliary variable. A class of estimators for population mean is defined with its properties under large sample approximation. In particular, various classes of estimators are identified as particular member of the suggested class. It has been shown that the proposed class of estimators is better than usual unbiased estimator, usual combined ratio estimator, usual product estimator, usual regression estimator and Koyuncu and Kadilar (2009) class of estimators. The results have been illustrated through an empirical study. 相似文献
14.
This paper is based on the application of a Bayesian model to a clinical trial study to determine a more effective treatment to lower mortality rates and consequently to increase survival times among patients with lung cancer. In this study, Qian et al. [13] strived to determine if a Weibull survival model can be used to decide whether to stop a clinical trial. The traditional Gibbs sampler was used to estimate the model parameters. This paper proposes to use the independent steady-state Gibbs sampling (ISSGS) approach, introduced by Dunbar et al. [3], to improve the original Gibbs sampler in multidimensional problems. It is demonstrated that ISSGS provides accuracy with unbiased estimation and improves the performance and convergence of the Gibbs sampler in this application. 相似文献
15.
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et al., 2001; Martens et al., 2004). The present article provides some illustrative analysis of how long memory may arise from the accumulative process underlying realized volatility. The article also uses results in Lieberman and Phillips (2004, 2005) to refine statistical inference about d by higher order theory. Standard asymptotic theory has an O(n ?1/2) error rate for error rejection probabilities, and the theory used here refines the approximation to an error rate of o(n ?1/2). The new formula is independent of unknown parameters, is simple to calculate and user-friendly. The method is applied to test whether the reported long memory parameter estimates of Andersen et al. (2001) and Martens et al. (2004) differ significantly from the lower boundary (d = 0.5) of nonstationary long memory, and generally confirms earlier findings. 相似文献
16.
《统计学通讯:模拟与计算》2012,41(6):804-819
Poisson point processes play important role in various domains of Probability Theory and Mathematical Statistics. In this article, we investigate only two applications of Poisson point processes: a generated white noise problem and parameters estimation problem. This work continues the investigations started in paper Egorov and Kondybaev (2009). 相似文献
17.
Maher Kachour 《统计学通讯:理论与方法》2014,43(2):355-376
In recent years, there has been a growing interest in modelling integred-valued time series. In this article, we propose a modified and generalized version of the first order rounded integer-valued autoregressive RINAR(1) model, originally introduced by Kachour and Yao (2009). Indeed, this class can be considered as an alternative of classical models based on the thinning operators. Using a Markov chain method, conditions for stationarity and the existence of moments are investigated. Least squares estimator of the model parameters is considered and its consistence is established. Finally, we describe the price change data using a model of the new class. 相似文献
18.
Jinho Park 《统计学通讯:理论与方法》2013,42(7):1523-1536
Li et al. (2007) developed an estimation method for quantile functions in a reproducing kernel Hilbert space for complete data, and Park and Kim (2011) proposed an estimation method using the ε-insensitive loss. This article extends these estimation methods to left-truncated and right-censored data. As a measure of goodness of fit, the check loss and the ε-insensitive loss were used to estimate the quantile function. The ε-insensitive loss can shrink the estimated coefficients toward zero; hence, it can reduce the variability of the estimates. Simulation studies show that the estimated quantile functions based on the ε-insensitive loss perform slightly better when ε is adequately chosen. 相似文献
19.
Viswanathan Ramakrishnan 《统计学通讯:模拟与计算》2013,42(3):405-418
In many genetic analyses of dichotomous twin data, odds ratios have been used to test hypotheses on heritability and shared common environment effects of a given disease (Lichtenstein et al., 2000; Ahlbom et al., 1997; Ramakrishnan et al., 1992, 4). However, estimates of these two effects have not been dealt with in the literature. In epidemiology, the attributable fraction (AF), a function of the odds ratio and the prevalence of the risk factor has been used to describe the contribution of a risk factor to a disease in a given population (Leviton, 1973). In this article, we adapt the AF to quantify the heritability and the shared common environment. Twin data on cancer, gallstone disease and phobia are used to illustrate the applicability of the AF estimate as a measure of heritability. 相似文献
20.
This article focuses on the conditional density of a scalar response variable given a random variable taking values in a semimetric space. The local linear estimators of the conditional density and its derivative are considered. It is assumed that the observations form a stationary α-mixing sequence. Under some regularity conditions, the joint asymptotic normality of the estimators of the conditional density and its derivative is established. The result confirms the prospect in Rachdi et al. (2014) and can be applied in time-series analysis to make predictions and build confidence intervals. The finite-sample behavior of the estimator is investigated by simulations as well. 相似文献