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1.
We consider a class of dependent Bernoulli variables where the conditional success probability is a linear combination of the last few trials and the original success probability. We obtain its limit theorems including the strong law of large numbers, weak invariance principle, and law of the iterated logarithm. We also derive some statistical inference results which make the model applicable. Simulation results are exhibited as well to show that with small sample size the convergence rate is satisfying and the proposed estimators behave well. 相似文献
2.
Bertram Price 《统计学通讯:理论与方法》2013,42(7):661-671
Finite sample properties of estimators for the parameters of a dependent Bernoulli process are investigated using Monte Carlo techniques. A ratio estimator is proposed for the dependence parameter of the model and is compared to the approximate maximum likelihood estimator given by Klotz. It is shown that both estimators have a downward bias that is extreme in certain cases and that samples well in excess of 200 may be necessary before the asymptotic theory can be applied. 相似文献
3.
Zvi Gilula 《统计学通讯:理论与方法》2013,42(20):2047-2055
This paper discusses some of the problematic aspects of the term “dependence” and suggests a measure of a special kind of association - complete dependence - between two discrete random variables measured on a nominal scale. 相似文献
4.
A random vector X = (X 1,…,X n ) is negatively associated if and only if for every pair of partitions X 1 = (X π(1),…,X π(k)), X 2 = (X π(k+1),…,X π(n)) of X , P( X 1 ? A, X 2 ? B) ≤ P( X 1 ? A)P( X 2 ? B) whenever A and B are open upper sets and π is any permutation of {1,…,n}. In this paper, we develop some of concepts of negative dependence, which are weaker than negative association but stronger than negative orthant dependence by requiring the above inequality to hold only for some upper sets A and B and applying the arguments in Shaked. 相似文献
5.
We present an almost sure central limit theorem for the product of the partial sums of m-dependent random variables. In order to obtain the main result, we prove a corresponding almost sure central limit theorem for a triangular array. 相似文献
6.
We propose new dependence measures for two real random variables not necessarily linearly related. Covariance and linear correlation
are expressed in terms of principal components and are generalized for variables distributed along a curve. Properties of
these measures are discussed. The new measures are estimated using principal curves and are computed for simulated and real
data sets. Finally, we present several statistical applications for the new dependence measures. 相似文献
7.
I counterexample is presented to the result by Alam and Malleolus asserting that if Y is stochastically increasing in a random vector X, then Y is stochastically increasing in a subvector of X. Their result concerning m*-positive dependence, whose proof relies on the erroneous result, is still true. 相似文献
8.
Y.S. Sathe 《统计学通讯:理论与方法》2013,42(10):3855-3858
Upper and lower bounds are obtained on the mean of the r-th smallest order statistics based on n independent exponential random variables under a certain condition on r. 相似文献
9.
Paulo H. Ferreira 《统计学通讯:模拟与计算》2019,48(1):150-168
This article extends the analysis of the Seemingly Unrelated Regression (SUR) Tobit model for two right-censored dependent variables by modeling its nonlinear dependence structure through the rotated by 180 degrees version of the Clayton copula. An advantage of our approach is to provide unbiased point estimates of the marginal and copula parameters. Moreover, we discuss the construction of confidence intervals using bootstrap resampling procedures. The results of the performed simulation study demonstrate the good performance of the proposed methods. We illustrate our procedures using bivariate customer churn data from a Brazilian commercial bank. 相似文献
10.
In this paper, we propose an asymmetric class of bivariate copulas. This class is obtained through limiting properties of the extended copula introduced by Bekrizadeh, et al. (2015), and includes some of known copulas. Some general formulas for well-known association measures and concepts of dependence of the proposed model are obtained. This paper highlights the usefulness of this new bivariate copula for modeling the interested variables whose marginal distribution effect on joint distribution isn't identical. We apply some subfamilies of this new class to model a dataset of medical science to show the superiority of presented model in comparison with the known copulas. These results will be investigated using simulation. 相似文献
11.
A bandit problem with infinitely many Bernoulli arms is considered. The parameters of Bernoulli arms are independent and identically
distributed random variables from a generalized beta distributionG3B(a, b, λ) witha, b>0 and 0<λ<2. Under the generalized beta prior distributions, we first derive the asymptotic expected failure rates ofk-failure strategies, and then obtain a lower bound for the expected failure rate over all strategies investigated in Berry
et al. (1997). The asymptotic expected failure rates for the other three strategies studied in Berry et al. (1997) are also
included. Numerical estimations for a variety of generalized beta prior distributions are presented to illustrate the performances
of these strategies. 相似文献
12.
Using Monte Carlo simulation, we compare the performance of five asymptotic test procedures and a randomized permutation test procedure for testing the homogeneity of odds ratio under the stratified matched-pair design. We note that the weighted-least-square test procedure is liberal, while Pearson's goodness-of-fit (PGF) test procedure with the continuity correction is conservative. We note that PGF without the continuity correction, the conditional likelihood ratio test procedure, and the randomized permutation test procedure can generally perform well with respect to Type I error. We use the data taken from a case–control study regarding the endometrial cancer incidence published elsewhere to illustrate the use of these test procedures. 相似文献
13.
In this article, we study the effect of dependence on the distributional properties of functions of two random variables. Expressions for the cumulative distribution functions of the linear combinations, products, and ratios of two dependent random variables in terms of their associated copula are derived. We discuss the effect of dependence on quantities such as the variances of linear combinations of functions, the value-at-risk measure, and the stress–strength parameter. Several examples, a simulation study, and a real data analysis are provided to illustrate the result. 相似文献
14.
Wolfgang Wiedermann 《统计学通讯:理论与方法》2018,47(21):5255-5264
Measures of direction dependence enable researchers to determine the directionality of linear effects in bivariate data. Existing fourth moment-based approaches assume that regression errors are at least mesokurtic. Direction dependence measures based on the co-kurtosis of variables are proposed that relax this assumption. Simulations suggest that co-kurtosis-based measures perform equally well as existing kurtosis-based methods when distributional assumptions of the latter are fulfilled. However, kurtosis-based approaches are sensitive to platy- or leptokurtic errors, while co-kurtosis-based measures protect Type I error and power rates. Data requirements necessary for causal inference and recommendations for selecting proper direction dependence measures are discussed. 相似文献
15.
N. Balakrishnan 《统计学通讯:理论与方法》2013,42(3):855-861
Joshi (1973) and Balakrishnan and Malik (1985) have derived some some identities for the moments of order statistics from independent and identically distributed random variables. In this paper, we make use of a basic result due to David and Joshi (1968) and show that these identities for the moments also hold when the order statistics arise from exchangeable variables. 相似文献
16.
A frequency domain bootstrap (FDB) is a common technique to apply Efron’s independent and identically distributed resampling technique (Efron, 1979) to periodogram ordinates – especially normalized periodogram ordinates – by using spectral density estimates. The FDB method is applicable to several classes of statistics, such as estimators of the normalized spectral mean, the autocorrelation (but not autocovariance), the normalized spectral density function, and Whittle parameters. While this FDB method has been extensively studied with respect to short-range dependent time processes, there is a dearth of research on its use with long-range dependent time processes. Therefore, we propose an FDB methodology for ratio statistics under long-range dependence, using semi- and nonparametric spectral density estimates as a normalizing factor. It is shown that the FDB approximation allows for valid distribution estimation for a broad class of stationary, long-range (or short-range) dependent linear processes, without any stringent assumptions on the distribution of the underlying process. The results of a large simulation study show that the FDB approximation using a semi- or nonparametric spectral density estimator is often robust for various values of a long-memory parameter reflecting magnitude of dependence. We apply the proposed procedure to two data examples. 相似文献
17.
Philip J. Smith 《统计学通讯:模拟与计算》2013,42(1):69-84
Prior information regarding the interrelation of two Bernoulli processes may justify a clinical trial designed to corroborate this information. Antelman (1973) has studied the Dirichlet-beta which permits the expression of the prior knowledge of such interrelation. However, use of this prior distribution leads to complicated and intractable analyses. Alternately, such prior information regarding the interrelation of the processes may be adequately summarized by a simple Dirichlet distribution. Procedures for testing hypotheses regarding a priori interrelations of the success probabilities of the processes are given. Exact expressions for the posterior probabi1ities of these hypotheses are shown to be approximately equal to weighted p-values or 1ikelihood ratios. 相似文献
18.
ABSTRACTIn a load-sharing system, the failure of a component affects the residual lifetime of the surviving components. We propose a model for the load-sharing phenomenon in k-out-of-m systems. The model is based on exponentiated conditional distributions of the order statistics formed by the failure times of the components. For an illustration, we consider two component parallel systems with the initial lifetimes of the components having Weibull and linear failure rate distributions. We analyze one data set to show that the proposed model may be a better fit than the model based on sequential order statistics. 相似文献
19.
L. G. Godfrey 《Econometric Reviews》1992,11(3):329-336
The asymptotic distribution of the F statistic calculated from instrumental variable'two stage least squares residuals is obtained. 相似文献
20.
L. G. Godfrey 《Econometric Reviews》2013,32(3):329-336
The asymptotic distribution of the F statistic calculated from instrumental variable‘two stage least squares residuals is obtained. 相似文献