共查询到20条相似文献,搜索用时 29 毫秒
1.
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
2.
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
3.
This article studies the heavy-traffic (HT) behavior of queueing networks with a single roving server. External customers arrive at the queues according to independent renewal processes and after completing service, a customer either leaves the system or is routed to another queue. This type of customer routing in queueing networks arises very naturally in many application areas (in production systems, computer- and communication networks, maintenance, etc.). In these networks, the single most important characteristic of the system performance is oftentimes the path time, i.e., the total time spent in the system by an arbitrary customer traversing a specific path. The current article presents the first HT asymptotic for the path-time distribution in queueing networks with a roving server under general renewal arrivals. In particular, we provide a strong conjecture for the system’s behavior under HT extending the conjecture of Coffman et al.[8,9] to the roving server setting of the current article. By combining this result with novel light-traffic asymptotics, we derive an approximation of the mean path time for arbitrary values of the load and renewal arrivals. This approximation is not only highly accurate for a wide range of parameter settings, but is also exact in various limiting cases. 相似文献
4.
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
5.
Junyong Park Jayson D. Wilbur Jayanta K. Ghosh Cindy H. Nakatsu Corinne Ackerman 《统计学通讯:模拟与计算》2013,42(4):855-869
We adopt boosting for classification and selection of high-dimensional binary variables for which classical methods based on normality and non singular sample dispersion are inapplicable. Boosting seems particularly well suited for binary variables. We present three methods of which two combine boosting with the relatively classical variable selection methods developed in Wilbur et al. (2002). Our primary interest is variable selection in classification with small misclassification error being used as validation of proposed method for variable selection. Two of the new methods perform uniformly better than Wilbur et al. (2002) in one set of simulated and three real life examples. 相似文献
6.
M. Taghipour 《统计学通讯:理论与方法》2017,46(4):1694-1708
7.
Shesh N. Rai Jianmin Pan Xiaobin Yuan Jianguo Sun Melissa M. Hudson Deo K. Srivastava 《统计学通讯:理论与方法》2013,42(17):3117-3133
New drug discovery in the pediatrics has dramatically improved survival, but with long- term adverse events. This motivates the examination of adverse outcomes such as long-term toxicity in a phase IV trial. An ideal approach to monitor long-term toxicity is to systematically follow the survivors, which is generally not feasible. Instead, cross-sectional surveys are conducted in Hudson et al. (2007), with one of the objectives to estimate the cumulative incidence rates along with specific interest in fixed-term (5 or 10 year) rates. We present inference procedures based on current status data to our motivating example with very interesting findings. 相似文献
8.
The Significance Analysis of Microarrays (SAM; Tusher et al., 2001) method is widely used in analyzing gene expression data while controlling the FDR by using resampling-based procedure in the microarray setting. One of the main components of the SAM procedure is the adjustment of the test statistic. The introduction of the fudge factor to the test statistic aims at deflating the large value of test statistics due to the small standard error of gene-expression. Lin et al. (2008) pointed out that the fudge factor does not effectively improve the power and the control of the FDR as compared to the SAM procedure without the fudge factor in the presence of small variance genes. Motivated by the simulation results presented in Lin et al. (2008), in this article, we extend our study to compare several methods for choosing the fudge factor in the modified t-type test statistics and use simulation studies to investigate the power and the control of the FDR of the considered methods. 相似文献
9.
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
10.
Tony Vangeneugden Geert Molenberghs Geert Verbeke Clarice G.B. Demétrio 《统计学通讯:理论与方法》2014,43(19):4164-4178
In hierarchical data settings, be it of a longitudinal, spatial, multi-level, clustered, or otherwise repeated nature, often the association between repeated measurements attracts at least part of the scientific interest. Quantifying the association frequently takes the form of a correlation function, including but not limited to intraclass correlation. Vangeneugden et al. (2010) derived approximate correlation functions for longitudinal sequences of general data type, Gaussian and non-Gaussian, based on generalized linear mixed-effects models. Here, we consider the extended model family proposed by Molenberghs et al. (2010). This family flexibly accommodates data hierarchies, intra-sequence correlation, and overdispersion. The family allows for closed-form means, variance functions, and correlation function, for a variety of outcome types and link functions. Unfortunately, for binary data with logit link, closed forms cannot be obtained. This is in contrast with the probit link, for which such closed forms can be derived. It is therefore that we concentrate on the probit case. It is of interest, not only in its own right, but also as an instrument to approximate the logit case, thanks to the well-known probit-logit ‘conversion.’ Next to the general situation, some important special cases such as exchangeable clustered outcomes receive attention because they produce insightful expressions. The closed-form expressions are contrasted with the generic approximate expressions of Vangeneugden et al. (2010) and with approximations derived for the so-called logistic-beta-normal combined model. A simulation study explores performance of the method proposed. Data from a schizophrenia trial are analyzed and correlation functions derived. 相似文献
11.
Yuqiang Li 《统计学通讯:理论与方法》2013,42(18):3337-3348
It is proved that under certain conditions the conditional least-squares estimator of the offspring mean for a sequence of nearly critical Ji?ina processes with immigration is consistent but not asymptotically normal and the conditional least-squares estimator of the immigration mean is not consistent. These results differ from the existing results in the case where the initial values are zero (see Ispány et al., 2005). 相似文献
12.
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
13.
Lindeman et al. [12] provide a unique solution to the relative importance of correlated predictors in multiple regression by averaging squared semi-partial correlations obtained for each predictor across all p! orderings. In this paper, we propose a series of predictor sensitivity statistics that complement the variance decomposition procedure advanced by Lindeman et al. [12]. First, we detail the logic of averaging over orderings as a technique of variance partitioning. Second, we assess predictors by conditional dominance analysis, a qualitative procedure designed to overcome defects in the Lindeman et al. [12] variance decomposition solution. Third, we introduce a suite of indices to assess the sensitivity of a predictor to model specification, advancing a series of sensitivity-adjusted contribution statistics that allow for more definite quantification of predictor relevance. Fourth, we describe the analytic efficiency of our proposed technique against the Budescu conditional dominance solution to the uneven contribution of predictors across all p! orderings. 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.
This paper addresses a generalization of the bivariate Cauchy distribution discussed by Fang et al. (1990), derived from a trivariate normal distribution with a general correlation matrix. We obtain explicit expressions for the joint distribution function and joint density function, and show that they reduce in a special case to the corresponding expressions of Fang et al. (1990). Finally, we show that this generalized distribution is useful in determining the orthant probability of a bivariate skew-normal distribution of Azzalini and Dalla Valle (1996). 相似文献
16.
Tony Vangeneugden Geert Verbeke Clarice G.B. Demétrio 《Journal of applied statistics》2011,38(2):215-232
Vangeneugden et al. [15] derived approximate correlation functions for longitudinal sequences of general data type, Gaussian and non-Gaussian, based on generalized linear mixed-effects models (GLMM). Their focus was on binary sequences, as well as on a combination of binary and Gaussian sequences. Here, we focus on the specific case of repeated count data, important in two respects. First, we employ the model proposed by Molenberghs et al. [13], which generalizes at the same time the Poisson-normal GLMM and the conventional overdispersion models, in particular the negative-binomial model. The model flexibly accommodates data hierarchies, intra-sequence correlation, and overdispersion. Second, means, variances, and joint probabilities can be expressed in closed form, allowing for exact intra-sequence correlation expressions. Next to the general situation, some important special cases such as exchangeable clustered outcomes are considered, producing insightful expressions. The closed-form expressions are contrasted with the generic approximate expressions of Vangeneugden et al. [15]. Data from an epileptic-seizures trial are analyzed and correlation functions derived. It is shown that the proposed extension strongly outperforms the classical GLMM. 相似文献
17.
Victor H. Lachos Celso R.B. Cabral Carlos A. Abanto-Valle 《Journal of applied statistics》2012,39(3):531-549
In this paper, we utilize normal/independent (NI) distributions as a tool for robust modeling of linear mixed models (LMM) under a Bayesian paradigm. The purpose is to develop a non-iterative sampling method to obtain i.i.d. samples approximately from the observed posterior distribution by combining the inverse Bayes formulae, sampling/importance resampling and posterior mode estimates from the expectation maximization algorithm to LMMs with NI distributions, as suggested by Tan et al. [33]. The proposed algorithm provides a novel alternative to perfect sampling and eliminates the convergence problems of Markov chain Monte Carlo methods. In order to examine the robust aspects of the NI class, against outlying and influential observations, we present a Bayesian case deletion influence diagnostics based on the Kullback–Leibler divergence. Further, some discussions on model selection criteria are given. The new methodologies are exemplified through a real data set, illustrating the usefulness of the proposed methodology. 相似文献
18.
In this article, we consider a new insurance risk model based on the entrance process proposed in Li et al. (2005), and investigate the finite time ruin probabilities of this model. It is showed that an exponential upper bound for the finite time ruin probability exists, when the distributions of the claim size are light tailed. Furthermore, when the distributions of the claim size are heavy tailed, an asymptotic formula for the finite time ruin probability is obtained. 相似文献
19.
This article extends the correlation methodology developed by Chinchilli et al. (2005) for the 2 × 2 crossover design to more complex crossover designs for clinical trials. We describe how the methodology can be adapted to a general type of two-treatment crossover design which includes either at least two sequences or at least two treatment periods or both. We then derive the asymptotic theory for the corresponding correlation statistics, investigate the statistical accuracy of the estimators via bootstrap analyses, and demonstrate their use with two real data examples. 相似文献
20.
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