Local Power Analyses of Goodness-of-fit Tests for Copulas

Abstract.  The asymptotic behaviour of several goodness-of-fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Cramér–von Mises functional of the empirical copula process and new moment-based goodness-of-fit statistics are made by considering their associated asymptotic local power curves. It is shown that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramér–von Mises test and that some of the moment-based statistics can provide simple and efficient goodness-of-fit methods.     

A note on the non-negativity of continuous-time ARMA and GARCH processes

A general approach for modeling the volatility process in continuous-time is based on the convolution of a kernel with a non-decreasing Lévy process, which is non-negative if the kernel is non-negative. Within the framework of Continuous-time Auto-Regressive Moving-Average (CARMA) processes, we derive a necessary condition for the kernel to be non-negative, and propose a numerical method for checking the non-negativity of a kernel function. These results can be lifted to solving a similar problem with another approach to modeling volatility via the COntinuous-time Generalized Auto-Regressive Conditional Heteroscedastic (COGARCH) processes.     

Nonparametric and semiparametric estimation of the three way receiver operating characteristic surface

In many situations the diagnostic decision is not limited to a binary choice. Binary statistical tools such as receiver operating characteristic (ROC) curve and area under the ROC curve (AUC) need to be expanded to address three-category classification problem. Previous authors have suggest various ways to model the extension of AUC but not the ROC surface. Only simple parametric approaches are proposed for modeling the ROC measure under the assumption that test results all follow normal distributions. We study the estimation methods of three-dimensional ROC surfaces with nonparametric and semiparametric estimators. Asymptotical results are provided as a basis for statistical inference. Simulation studies are performed to assess the validity of our proposed methods in finite samples. We consider an Alzheimer's disease example from a clinical study in the US as an illustration. The nonparametric and semiparametric modelling approaches for the three way ROC analysis can be readily generalized to diagnostic problems with more than three classes.     

A case–control study relating railroad worker mortality to diesel exhaust exposure using a threshold regression model

A case–control study of lung cancer mortality in U.S. railroad workers in jobs with and without diesel exhaust exposure is reanalyzed using a new threshold regression methodology. The study included 1256 workers who died of lung cancer and 2385 controls who died primarily of circulatory system diseases. Diesel exhaust exposure was assessed using railroad job history from the US Railroad Retirement Board and an industrial hygiene survey. Smoking habits were available from next-of-kin and potential asbestos exposure was assessed by job history review. The new analysis reassesses lung cancer mortality and examines circulatory system disease mortality. Jobs with regular exposure to diesel exhaust had a survival pattern characterized by an initial delay in mortality, followed by a rapid deterioration of health prior to death. The pattern is seen in subjects dying of lung cancer, circulatory system diseases, and other causes. The unique pattern is illustrated using a new type of Kaplan–Meier survival plot in which the time scale represents a measure of disease progression rather than calendar time. The disease progression scale accounts for a healthy-worker effect when describing the effects of cumulative exposures on mortality.     

Nonparametric control charts based on runs and Wilcoxon-type rank-sum statistics

In this article, we introduce three new distribution-free Shewhart-type control charts that exploit run and Wilcoxon-type rank-sum statistics to detect possible shifts of a monitored process. Exact formulae for the alarm rate, the run length distribution, and the average run length (ARL) are all derived. A key advantage of these charts is that, due to their nonparametric nature, the false alarm rate (FAR) and in-control run length distribution is the same for all continuous process distributions. Tables are provided for the implementation of the charts for some typical FAR values. Furthermore, a numerical study carried out reveals that the new charts are quite flexible and efficient in detecting shifts to Lehmann-type out-of-control situations.     

管理是企业永恒的主题

在我国社会主义市场经济条件下,确立管理对经济效益的决定作用,大刀阔斧地改革落后的管理模式是企业改革最迫切、最重要的任务,也是实行现代企业制度的重点.     

论行政强制执行的基本原则

作为行政权行使过程中一项相对独立的法律制度,行政强制执行必须遵守下列原则:人权原则、法治原则、比例原则、制衡原则、正当程序原则、救济原则、合作与协作相结合原则。     

论实践“以人为本”的基本原则

"以人为本"是科学发展观的实质和核心,如何践行"以人为本"是理论研究和实际工作的一个重要课题.实践"以人为本"就要以人的现实需要作为出发点,以充分发挥人的作用为准则,以人的全面发展为目标.     

基于 RosettaNet 视角的商业银行金融服务能力跨组织协同流程研究

银行的信息系统原来以削减流程成本、优化流程结构为主要目的,现在需要转向关注应对灵活的商业模式,以及与各类企业的跨界无缝合作,进而能够使用IT优势影响与各类企业的合作模式,帮助银行创造价值。为了应对以上需求,提出了从金融服务嵌入的角度将银行产品进行解构并重构,以RosettaNet的技术经验和视角构建商业银行金融服务能力体系FSIF,并建立跨组织协同工作流模型。