排序方式: 共有11条查询结果,搜索用时 15 毫秒
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Fedya Telmoudi Mohamed EL Ghourabi Mohamed Limam 《Journal of applied statistics》2016,43(8):1386-1399
Usually, parametric procedures used for conditional variance modelling are associated with model risk. Model risk may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification risks. Hence, non-parametric artificial intelligence models can be considered as alternative models given that they do not rely on an explicit form of the volatility. In this paper, we consider the least-squares support vector regression (LS-SVR), weighted LS-SVR and Fixed size LS-SVR models in order to handle the problem of conditional risk estimation taking into account issues of model risk. A simulation study and a real application show the performance of proposed volatility and VaR models. 相似文献
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A conditional Poisson model is proposed for situations where one wants to compare the rate parameters for several populations, adjusting for a 'size' parameter and the random e ects of the subjects. Sometimes the physical nature of the problem makes it logical to consider some order restrictions on the rate parameters. The rate parameters are estimated and tested for under such order restrictions. This investigation is motivated by a real-life example on butterfly behavior, and the estimation and tests of hypotheses are illustrated over this data set. 相似文献
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Non-parametric Regression with Dependent Censored Data 总被引:1,自引:0,他引:1
Abstract. Let ( X i , Y i ) ( i = 1 ,…, n ) be n replications of a random vector ( X , Y ), where Y is supposed to be subject to random right censoring. The data ( X i , Y i ) are assumed to come from a stationary α -mixing process. We consider the problem of estimating the function m ( x ) = E ( φ ( Y ) | X = x ), for some known transformation φ . This problem is approached in the following way: first, we introduce a transformed variable , that is not subject to censoring and satisfies the relation , and then we estimate m ( x ) by applying local linear regression techniques. As a by-product, we obtain a general result on the uniform rate of convergence of kernel type estimators of functionals of an unknown distribution function, under strong mixing assumptions. 相似文献
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HOHSUK NOH ANOUAR EL GHOUCH INGRID VAN KEILEGOM 《Scandinavian Journal of Statistics》2013,40(1):105-118
Abstract. In regression experiments, to learn about the strength of the relationship between a covariate vector and a dependent variable, we propose a ‘coefficient of determination’ based on the quantiles. Such a coefficient is a ‘local’ measure in the sense that the strength is measured at a prespecified quantile level. Once estimated, it can be used, for example, to measure the relative importance of a subset of covariates in the quantile regression context. Related to this coefficient, we also propose a new ‘local’ lack‐of‐fit measure of a given parametric model. We provide some asymptotic results of the proposed measures and carry out a Monte Carlo simulation study to illustrate their use and performance in practice. 相似文献
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Continued globalization, extensive use of information technologies, increasing cross-functional dependencies, and new organizational forms are rapidly changing the learning context of operations management. This paper describes an example of a mba elective course that has been created to address and learn from these new realities. We have taken a process view of the global firm, focusing mainly on the new product/service development, order fulfillment, and supply chain/ after-sales service processes. We have designed our course to contain most of the traditional topics in operations management (om) with information systems (is) woven in to support the key business processes. Our underlying belief is that these two functional areas should be seen as a blend, a seamless merging of the two fields, to obtain a competitive advantage. Besides teaching om and is in this integrated manner, the course engages in face-to-face student consulting projects with multinational companies. This paper describes our rationale for the course design and how it has been implemented over the last 6 years-as well as our plans for the future. 相似文献
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ANOUAR EL GHOUCH MARC G. GENTON TAOUFIK BOUEZMARNI 《Scandinavian Journal of Statistics》2013,40(3):455-470
Abstract. In the context of multivariate mean regression, we propose a new method to measure and estimate the inadequacy of a given parametric model. The measure is basically the missed fraction of variation after adjusting the best possible parametric model from a given family. The proposed approach is based on the minimum L 2 ‐distance between the true but unknown regression curve and a given model. The estimation method is based on local polynomial averaging of residuals with a polynomial degree that increases with the dimension d of the covariate. For any d ≥ 1 and under some weak assumptions we give a Bahadur‐type representation of the estimator from which ‐consistency and asymptotic normality are derived for strongly mixing variables. We report the outcomes of a simulation study that aims at checking the finite sample properties of these techniques. We present the analysis of a dataset on ultrasonic calibration for illustration. 相似文献
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Ridge regression solves multicollinearity problems by introducing a biasing parameter that is called ridge parameter; it shrinks the estimates and their standard errors in order to reach acceptable results. Selection of the ridge parameter was done using several subjective and objective techniques that are concerned with certain criteria. In this study, selection of the ridge parameter depends on other important statistical measures to reach a better value of the ridge parameter. The proposed ridge parameter selection technique depends on a mathematical programming model and the results are evaluated using a simulation study. The performance of the proposed method is good when the error variance is greater than or equal to one; the sample consists of 20 observations, the number of explanatory variables in the model is 2, and there is a very strong correlation between the two explanatory variables. 相似文献
8.
Cunningham-Williams RM Cottler LB Compton WM Spitznagel EL Ben-Abdallah A 《Journal of gambling studies / co-sponsored by the National Council on Problem Gambling and Institute for the Study of Gambling and Commercial Gaming》2000,16(4):347-376
Little is known about gambling rates of drug users recruited from drug treatment compared with those recruited from the community. We use the Diagnostic Interview Schedule (DIS) to provide lifetime prevalence estimates of problem gambling (i.e., at least one gambling problem) and DSM-III-R pathological gambling (i.e., at least four gambling problems) and describe the association between gambling and psychiatric disorders for drug users recruited from drug treatment settings (n = 512) and from the community (n = 478). We also report the relative risk of being a recreational and problem gambler in this sample. The sample was first interviewed in 1989–90 as a partof two NIDA-funded St. Louis-based studies. The prevalence of problem gambling in the overall sample was 22% and the prevalence of pathological gambling was 11%. There were no statistically significant differences in problem and pathological gambling rates for subjects recruited from drug treatment and those recruited from the community. The conditional prevalence rates, that is, the rate of problem and pathological gambling only among gamblers were 27% and 13.5%, respectively. Major findings indicate that problem gambling was associated with Antisocial Personality Disorder (ASPD), even after controlling for recruitment source and socio-demographic characteristics. In fact, when examining the temporal order of these disorders, we found that pathological gambling was always secondary to ASPD, occurring on average 11.4 years after the onset of ASPD. Problem gamblers, compared with everyone else, were more likely to be male, African-American, recruited from drug treatment, have ASPD and be dependent on illicit drugs. Multinomial logistic regression analysis predicted the relative risk of being a recreational and problem gambler (compared with a nongambler) in this sample according to socio-demographics, ASPD, and dependence on illicit drugs. Results imply that screening for gambling problems will need to be broad-based among drug users. 相似文献
9.
EL Sharp E Schindler N Lewis W Friesen 《Kōtuitui : New Zealand Journal of Social Sciences Online》2016,11(2):133-145
ABSTRACTThis article explores alternative food initiatives (AFI) and their performances of benign transgression. Through collaborative activist-and-academic-storytelling we tease apart the divergent practices of AFIs to question what mediates these performances in the grey area between conventional and alternative practice. Grounded examples of AFIs performing alternative economy and related acts of ‘irritant’ civil disobedience show how subverting normative practices of power and authority can catalyse social reproduction of difference, and tangibly alter the conventional food system. 相似文献
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