Sensitivity analysis in ordered and restricted parameter models |
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| Authors: | Enrique Castillo Carmen Castillo Ali S. Hadi |
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| Affiliation: | 1. Department of Applied Mathematics and Computational Sciences, University of Cantabria, Spain;2. Department of Civil Engineering, University of Castilla-La Mancha, Spain;3. Department of Mathematics, The American University in Cairo, Egypt |
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| Abstract: | This paper deals with the problem of local sensitivity analysis in ordered parameter models. In addition to order restrictions, some constraints imposed on the parameters by the model and/or the data are considered. Measures for assessing how much a change in the data modifies the results and conclusions of a statistical analysis of these models are presented. The sensitivity measures are derived using recent results in mathematical programming. The estimation problem is formulated as a primal nonlinear programming problem, and the sensitivities of the parameter estimates as well as the objective function sensitivities with respect to data are obtained. They are very effective in revealing the influential observations in this type of models and in evaluating the changes due to changes in data values. The methods are illustrated by their application to a wide variety of examples of order-restricted models including ordered exponential family parameters, ordered multinomial parameters, ordered linear model parameters, ordered and data constrained parameters, and ordered functions of parameters. |
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| Keywords: | Data constrained parameters Dual problem Exponential families Mathematical programming Ordered linear model parameters Ordered multinomial parameters Primal problem Sensitivity analysis |
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