| 1. |
- A. Alkhamisi, Mahdi, et al.
(författare)
-
A Monte Carlo Study of Recent Ridge Parameters
- 2007
-
Ingår i: Communications in statistics. Simulation and computation. - 0361-0918 .- 1532-4141. ; 36:3, s. 535-547
-
Tidskriftsartikel (refereegranskat)
|
|
| 2. |
- Andersson, Eva M., 1968
(författare)
-
Effect of Dependency in Systems for Multivariate Surveillance
- 2009
-
Ingår i: Communications in Statistics - Simulation and Computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 38:3, s. 454-472
-
Tidskriftsartikel (refereegranskat)abstract
- Systems for multivariate on-line surveillance (e.g., outbreak detection) are investigated. Optimal systems for statistical surveillance are based on likelihood ratios. Three systems are compared: based on each marginal density, based on the joint density, and based on the Hotelling's T2. The effect of dependency between the monitored processes is investigated, and the effect of correlation between the change times. When the first change occurs immediately, the three methods give similar delay of an alarm, in the situation with independency. For late changes, T2 has the longest delay, both for independent processes and for processes with a positive covariance.
|
|
| 3. |
- Angelov, Nikolay, et al.
(författare)
-
Testing for unit root against stationarity using the likelihood ratio test
- 2007
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 36:2, s. 391-412
-
Tidskriftsartikel (refereegranskat)abstract
- In a first order autoregressive model with drift, we derive the likelihood ratio test for a unit root against the stationary alternative. We also derive the test in a state space model with trend. Finite sample and asymptotic critical values are obtained by Monte Carlo simulations. A simulation study investigates the power performance of the likelihood ratio test and we also examine how a bias correction of the test affects the results.
|
|
| 4. |
- Broström, Göran, et al.
(författare)
-
Partial Partial Likelihood
- 2008
-
Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 37:4, s. 679-686
-
Tidskriftsartikel (refereegranskat)abstract
- The maximum likelihood and maximum partial likelihood approaches to the proportional hazards model are unified. The purpose is to give a general approach to the analysis of the proportional hazards model, whether the baseline distribution is absolutely continuous, discrete, or a mixture. The advantage is that heavily tied data will be analyzed with a discrete time model, while data with no ties is analyzed with ordinary Cox regression. Data sets in between are treated by a compromise between the discrete time model and Efron's approach to tied data in survival analysis, and the transitions between modes are automatic. A simulation study is conducted comparing the proposed approach to standard methods of handling ties. A recent suggestion, that revives Breslow's approach to tied data, is finally discussed.
|
|
| 5. |
- Fackle Fornius, Ellinor
(författare)
-
Sequential Designs for Binary Data with the Purpose to Maximize the Probability of Response
- 2008
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:6, s. 1219-1238
-
Tidskriftsartikel (refereegranskat)abstract
- Two kinds of sequential designs are proposed for finding the point that maximizes the probability of response assuming a binary response variable and a quadratic logistic regression model. One is a parametric optimal design approach and the other one is a nonparametric stochastic approximation approach. The suggested sequential designs are evaluated and compared in a simulation study. In summary the parametric approach performed very well whereas its competitor failed in some cases.
|
|
| 6. |
- Holgersson, Thomas, et al.
(författare)
-
A Comparison of Conditioned Versus Unconditioned Forecasts of the VAR(1) Process
- 2005
-
Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 34:2, s. 415-427
-
Tidskriftsartikel (refereegranskat)abstract
- The properties of a forecast usually depend upon whether or not the forecast is conditioned on the final period observation. In the case of unconditioned forecasts, it is well known that the point predictions are unbiased. If, on the other hand, the forecast is conditional, then the forecast may be biased. Existing analytical results in literature are insufficient for describing the properties of the conditioned forecast properly, particularly in multivariate models. This article examines some finite sample properties of conditioned forecasts of the VAR(1) process by means of Monte Carlo experiments. We use a number of parameter settings for the VAR(1) process to demonstrate that the forecast bias of the conditioned forecast may be considerable. Hence, unless the analyst has a clear idea of whether the conditioned or unconditioned forecast is relevant for the time series being analyzed, statistical inferences may be seriously erratic.
|
|
| 7. |
- Hussain, Shakir, et al.
(författare)
-
Performance Evaluation Based on the Robust Mahalanobis Distance and Multilevel Modelling Using Two New Strategies
- 2008
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:10, s. 1966-1980
-
Tidskriftsartikel (refereegranskat)abstract
- In this article, we propose a general framework for performance evaluation of organizations and individuals over time using routinely collected performance variables or indicators. Such variables or indicators are often correlated over time, with missing observations, and often come from heavy-tailed distributions shaped by outliers. Two new double robust and model-free strategies are used for evaluation (ranking) of sampling units. Strategy 1 can handle missing data using residual maximum likelihood (RML) at stage two, while strategy two handles missing data at stage one. Strategy 2 has the advantage that overcomes the problem of multicollinearity. Strategy one requires independent indicators for the construction of the distances, where strategy two does not. Two different domain examples are used to illustrate the application of the two strategies. Example one considers performance monitoring of gynecologists and example two considers the performance of industrial firms.
|
|
| 8. |
- Karlsson, Andreas
(författare)
-
Nonlinear quantile regression estimation of longitudinal data
- 2008
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:1, s. 114-131
-
Tidskriftsartikel (refereegranskat)abstract
- This article examines a weighted version of the quantile regression estimator as defined by Koenker and Bassett (1978), adjusted to the case of nonlinear longitudinal data. Using a four-parameter logistic growth function and error terms following an AR(1) model, different weights are used and compared in a simulation study. The findings indicate that the nonlinear quantile regression estimator is performing well, especially for the median regression case, that the differences between the weights are small, and that the estimator performs better when the correlation in the AR(1) model increases. A comparison is also made with the corresponding mean regression estimator, which is found to be less robust. Finally, the estimator is applied to a data set with growth patterns of two genotypes of soybean, which gives some insights into how the quantile regressions provide a more complete picture of the data than the mean regression.
|
|
| 9. |
- Lyhagen, Johan, 1969-
(författare)
-
A method to generate multivariate data with the desired moments
- 2008
-
Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 37:10, s. 2063-2075
-
Tidskriftsartikel (refereegranskat)abstract
- We show how it is possible to generate multivariate data which has moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the multivariate setting. The use in bootstrapping is discussed and the method is exemplified with a Monte Carlo simulation where the importance of the ability of generating data with control of higher moments is shown.
|
|
| 10. |
|
|
