共查询到20条相似文献,搜索用时 15 毫秒
1.
Some alternative estimators to the maximum likelihood estimators of the two parameters of the Birnbaum–Saunders distribution are proposed. Most have high efficiencies as measured by root mean square error and are robust to departure from the model as well as to outliers. In addition, the proposed estimators are easy to compute. Both complete and right-censored data are discussed. Simulation studies are provided to compare the performance of the estimators. 相似文献
2.
In this note we consider the equality of the ordinary least squares estimator (OLSE) and the best linear unbiased estimator
(BLUE) of the estimable parametric function in the general Gauss–Markov model. Especially we consider the structures of the
covariance matrix V for which the OLSE equals the BLUE. Our results are based on the properties of a particular reparametrized version of the
original Gauss–Markov model.
相似文献
3.
ABSTRACTIn this article, we give explicit formulas and study practical computations for the distribution function of sequential Hölder norms of a Brownian motion and of a Brownian bridge. We also discuss some statistical applications in the detection of some short “epidemic” changes in a sample. 相似文献
4.
5.
Risto Heijmans 《Statistical Papers》1999,40(1):107-115
In this paper we investigate the behaviour of a ratio of random variables and try to find conditions under which, this expectation
equals the ratio of expectations. 相似文献
6.
Almut E. D. Veraart 《AStA Advances in Statistical Analysis》2011,95(3):253-291
This paper studies the impact of jumps on volatility estimation and inference based on various realised variation measures
such as realised variance, realised multipower variation and truncated realised multipower variation. We review the asymptotic
theory of those realised variation measures and present a new estimator for the asymptotic ‘variance’ of the centered realised
variance in the presence of jumps. Next, we compare the finite sample performance of the various estimators by means of detailed
Monte Carlo studies. Here we study the impact of the jump activity, of the jump size of the jumps in the price and of the
presence of additional independent or dependent jumps in the volatility. We find that the finite sample performance of realised
variance and, in particular, of log-transformed realised variance is generally good, whereas the jump-robust statistics tend
to struggle in the presence of a highly active jump process. 相似文献
7.
Kenneth Nordström 《统计学通讯:理论与方法》2013,42(12):4471-4489
A survey is given of known proofs of the antitonicity of the inverse matrix function for positive definite matrices w.r.t. the Lowner partial ordering, and of the corresponding result for the Moore-Penrose inverse of nonnegative definite matrices [the theorem of Milliken and Akdeniz (1977)]. A short new proof of the latter result is obtained by employing an extremal representation of a nonnegative definite quadratic form. Another proof of this result involving Schur complements is also given, and is seen to be extendable to the case of symmetric (not necessarily nonnegative definite) matrices. A geometrical interpretation of Milliken and Akdeniz's theorem is presented. As an application, the relationship between the concepts of greater (maximum) concentration and smaller (minimum) dispersion is considered for a pair (class) of vector-valued statistics with possibly degenerate distributions. 相似文献
8.
《Journal of Statistical Computation and Simulation》2012,82(10):2285-2294
The Birnbaum–Saunders (BS) distribution is a positively skewed distribution, frequently used for analysing lifetime data. In this paper, we propose a simple method of estimation for the parameters of the two-parameter BS distribution by making use of some key properties of the distribution. Compared with the maximum likelihood estimators and the modified moment estimators, the proposed method has smaller bias, but having the same mean square errors as these two estimators. We also discuss some methods of construction of confidence intervals. The performance of the estimators is then assessed by means of Monte Carlo simulations. Finally, an example is used to illustrate the method of estimation developed here. 相似文献
9.
Robert. E. Odeh 《统计学通讯:模拟与计算》2013,42(1):29-48
Friedman’s (1937, 1940) S-statistic is designed to test the hypothesis that there is no treatment effect in a randomized-block design with k treatments and n blocks. In this paper we give tables of the null distribution of S for k = 5, n = 6(1)8, and for k = 6, n = 2(1)6. Computational details are discussed. 相似文献
10.
Motivated by an application in Electrical Engineering, we derive the exact distribution of the sum of the largest n?k out of n normally distributed random variables, with differing mean values. Comparisons are made with two normal approximations to this distribution—one arising from the asymptotic negligibility of the omitted order statistics and one from the theory of L-statistics. The latter approximation is found to be in excellent agreement with the exact distribution. 相似文献
11.
The Whittaker–Henderson (WH) graduation is a widely applied smoothing method. This paper contributes to the literature by providing explicit formulas for the smoother weights of the WH graduation of order 1 along with some related results, which leads to a richer understanding of the filter. 相似文献
12.
《Journal of Statistical Computation and Simulation》2012,82(1):17-38
The numerical treatment of nonlinear model fitting problems often can be simplified by manipulating the model equations. Algebraic manipulations including nonlinear transformations of model parameters, do not change the numerical result of the adjustment and can be a powerful method to improve the performance of solution algorithms. Nonlinear transformations of the observations, on the other hand, do change the numerical results unless the normal equations are transformed accordingly. The latter transformation has been neglected by previous authors and this article provides a complete set of formulas that are needed to implement transformations of observations. The transformations are in general less useful than parameter transformations for the improvement of algorithms but may have other applications in particular situations. 相似文献
13.
This paper presents a modified Whittaker–Henderson (WH) Method of Graduation. After giving a closed-form solution, we show that it is of practical use because it provides not only a smoothed series identical to that of the WH graduation, but also an extrapolation beyond the sample limit of current data. In addition, we introduce two other penalized least squares problems and show that they provide the same results as those of the modified WH graduation. 相似文献
14.
This paper tackles the problem of detecting abrupt changes in the mean of a heteroscedastic signal by model selection, without
knowledge on the variations of the noise. A new family of change-point detection procedures is proposed, showing that cross-validation
methods can be successful in the heteroscedastic framework, whereas most existing procedures are not robust to heteroscedasticity.
The robustness to heteroscedasticity of the proposed procedures is supported by an extensive simulation study, together with
recent partial theoretical results. An application to Comparative Genomic Hybridization (CGH) data is provided, showing that
robustness to heteroscedasticity can indeed be required for their analysis. 相似文献
15.
A. J. Jaffe 《The American statistician》2013,67(1):27-31
A second course in statistics, for nonstatisticians who will use packaged statistical software in their work, is outlined. The course is directed toward the wise choice, use, and evaluation of statistical computer packages. The goal of the course is to train educated consumers of statistical programs. Particular attention is paid to computer-based data analysis, interpretation of output, comparison of competing packages, and statistical problems that arise when computers are employed to analyze large data sets. 相似文献
16.
J. S. Cramer 《商业与经济统计学杂志》2013,31(2):225-232
In the identity of exchange I distinguish between currency and bank payments on one side and several types of transactions and the transfer of idle money on the other. An attempt is made to measure these variables, with varying success. On the payments side I argue that currency velocity is constant (and low) and that the vast rise of bank money velocity is largely due to increased short-term investment of idle funds. The results suggest an upward shift in the level of transactions in 1968–1972, which I attribute to changes in the international role of the dollar. 相似文献
17.
The present article discusses the statistical distribution for the estimator of Rosenthal's ‘file-drawer’ number NR, which is an estimator of unpublished studies in meta-analysis. We calculate the probability distribution function of NR. This is achieved based on the central limit theorem and the proposition that certain components of the estimator NR follow a half-normal distribution, derived from the standard normal distribution. Our proposed distributions are supported by simulations and investigation of convergence. 相似文献
18.
The Birnbaum–Saunders (BS) distribution is a positively skewed distribution and is a common model for analysing lifetime data. In this paper, we discuss the existence and uniqueness of the maximum likelihood estimates (MLEs) of the parameters of BS distribution based on Type-I, Type-II and hybrid censored samples. The line of proof is based on the monotonicity property of the likelihood function. We then describe the numerical iterative procedure for determining the MLEs of the parameters, and point out briefly some recently developed simple methods of estimation in the case of Type-II censoring. Some graphical illustrations of the approach are given for three real data from the reliability literature. Finally, for illustrative purpose, we also present an example in which the MLEs do not exist. 相似文献
19.
Eun-Ja Shin 《Serials Review》2017,43(2):137-146
The growth of mega-journals has also brought about changes in authorship. This study uses collected data to identify the transitions of mega-journal publishing and changes of authorship. For authors interested in publishing in mega-journals, the publication of South Korean authors in these mega-journals is specifically sampled and checked, revealing that mega-journals are increasingly the targets for publication. Some mega-journals have an impact factor even if they have only been publishing for 5–10 years. Ten out of 12 SCIE mega-journals collected in this study show a high impact factor, which is above average. Furthermore, the number of articles published by South Korean authors in major mega-journals is also on the rise. The result of this study will be useful for mega-journal editors, who are keen to know what factors influence author choice of journals, and for those who attempt to predict what impact mega-journals will have on scholarly journal publishing in the future. 相似文献
20.
ABSTRACTWe derive the exact distribution of the maximum likelihood estimator of the mean reversion parameter (κ) in the Ornstein–Uhlenbeck process using numerical integration through analytical evaluation of a joint characteristic function. Different scenarios are considered: known or unknown drift term, fixed or random start-up value, and zero or positive κ. Monte Carlo results demonstrate the remarkably reliable performance of our exact approach across all the scenarios. In comparison, misleading results may arise under the asymptotic distributions, including the advocated infill asymptotic distribution, which performs poorly in the tails when there is no intercept in the regression and the starting value of the process is nonzero. 相似文献