| 1. |
- Almasri, Abdullah, 1965-
(författare)
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Tests for Trend : a Simulation Study
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 39:3, s. 598-611
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Tidskriftsartikel (refereegranskat)abstract
- In this study, we use the wavelet analysis to construct a test statistic to test for the existence of a trend in the series. We also propose a new approach for testing the presence of trend based on the periodogram of the data. Since we are also interested in the presence of a long-memory process among the data, we study the properties of our test statistics under different degrees of dependency. We compare the results when using the band periodogram test and the wavelet test with results obtained by applying the ordinary least squares (OLS) method under the same conditions.
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| 2. |
- Amiri, Saeid, et al.
(författare)
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An Improvement of the Nonparametric Bootstrap Test for the Comparison of the Coefficient of Variations
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 39:9, s. 1726-1734
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Tidskriftsartikel (refereegranskat)abstract
- In this article, we propose a new test for examining the equality of the coefficient of variation between two different populations. The proposed test is based on the nonparametric bootstrap method. It appears to yield several appreciable advantages over the current tests. The quick and easy implementation of the test can be considered as advantages of the proposed test. The test is examined by the Monte Carlo simulations, and also evaluated using various numerical studies.
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| 3. |
- Asmussen, Sören, et al.
(författare)
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A Note on Skewness in Regenerative Simulation
- 2011
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 40:1, s. 45-57
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Tidskriftsartikel (refereegranskat)abstract
- The purpose of this article is to show, empirically and theoretically, that performance evaluation by means of regenerative simulation often involves random variables with distributions that are heavy tailed and heavily skewed. This, in turn, leads to the variance of estimators being poorly estimated, and confidence intervals having actual coverage quite different from (typically lower than) the nominal one. We illustrate these general ideas by estimating the mean occupancy and tail probabilities in M/G/1 queues, comparing confidence intervals computed from batch means to various intervals computed from regenerative cycles. In addition, we provide theoretical results on skewness to support the empirical findings.
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| 4. |
- Holgersson, Thomas
(författare)
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A Modified Skewness Measure for Testing Asymmetry
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 39:2, s. 335-346
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Tidskriftsartikel (refereegranskat)abstract
- Statistical practitioners frequently wish to know whether a variable is symmetrically distributed. There are a number of different tests available but the most commonly used one is perhaps that based on the standardized third central moment, as defined by Pearson and Fisher in the early 1900's. While this traditional skewness measure uniquely determines the symmetry of a variable within the Pearson family, it does not uniquely determine symmetry for a general distribution. In this article, we propose a modified version of the classical skewness test which is easy to conduct and consistent against a wide family of asymmetric distributions.
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| 5. |
- Holgersson, Thomas, et al.
(författare)
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Assessing Normality of High-Dimensional Data
- 2013
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Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 42:2, s. 360-369
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Tidskriftsartikel (refereegranskat)abstract
- The assumption of normality is crucial in many multivariate inference methods and may be even more important when the dimension of data is proportional to the sample size. It is therefore necessary that tests for multivariate non normality remain well behaved in such settings. In this article, we examine the properties of three common moment-based tests for non normality under increasing dimension asymptotics (IDA). It is demonstrated through Monte Carlo simulations that one of the tests is inconsistent under IDA and that one of them stands out as uniformly superior to the other two.
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| 6. |
- Häggström, Jenny, 1980-, et al.
(författare)
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Estimating prediction error : cross-validation vs. accumulated prediction error
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Informa plc.. - 0361-0918 .- 1532-4141. ; 39:5, s. 880-898
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Tidskriftsartikel (refereegranskat)abstract
- We study the validation of prediction rules such as regression models and classification algorithms through two out-of-sample strategies, cross-validation and accumulated prediction error. We use the framework of Efron (1983) where measures of prediction errors are defined as sample averages of expected errors and show through exact finite sample calculations that cross-validation and accumulated prediction error yield different smoothing parameter choices in nonparametric regression. The difference in choice does not vanish as sample size increases.
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| 7. |
- Javed, Farrukh, 1984-, et al.
(författare)
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GARCH-Type Models and Performance of Information Criteria
- 2013
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Ingår i: Communications in statistics. Simulation and computation. - 0361-0918 .- 1532-4141. ; 42:8, s. 1917-1933
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Tidskriftsartikel (refereegranskat)abstract
- This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.
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| 8. |
- Li, Yushu, et al.
(författare)
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Testing for Unit Root Against LSTAR Models: Wavelet Improvement under GARCH Distortion
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 39:2, s. 277-286
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Tidskriftsartikel (refereegranskat)abstract
- In this article, we propose a nonlinear Dickey-Fuller F test for unit root against first-order Logistic Smooth Transition Autoregressive (LSTAR) (1) model with time as the transition variable. The nonlinear Dickey-Fuller F test statistic is established under the null hypothesis of random walk without drift and the alternative model is a nonlinear LSTAR (1) model. The asymptotic distribution of the test is analytically derived while the small sample distributions are investigated by Monte Carlo experiment. The size and power properties of the test were investigated using Monte Carlo experiment. The results showed that there is a serious size distortion for the test when GARCH errors appear in the Data Generating Process (DGP), which led to an over-rejection of the unit root null hypothesis. To solve this problem, we use the Wavelet technique to count off the GARCH distortion and improve the size property of the test under GARCH error. We also discuss the asymptotic distributions of the test statistics in GARCH and wavelet environments.
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| 9. |
- Locking, Håkan, et al.
(författare)
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Performance of Some Ridge Parameters for Probit Regression : With Application to Swedish Job Search Data
- 2013
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Ingår i: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 42:3, s. 698-710
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Tidskriftsartikel (refereegranskat)abstract
- In ridge regression, the estimation of the ridge parameter is an important issue. This article generalizes some methods for estimating the ridge parameter for probit ridge regression (PRR) model based on the work of Kibria et al. (2011). The performance of these new estimators is judged by calculating the mean squared error (MSE) using Monte Carlo simulations. In the design of the experiment, we chose to vary the sample size and the number of regressors. Furthermore, we generate explanatory variables that are linear combinations of other regressors, which is a common situation in economics. In an empirical application regarding Swedish job search data, we also illustrate the benefits of the new method.
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| 10. |
- Mantalos, Panagiotis, 1956-, et al.
(författare)
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An Improved Divergence Information Criterion for the Determination of the Order of an AR Process
- 2010
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Ingår i: Communications in statistics. Simulation and computation. - : Taylor & Francis. - 0361-0918 .- 1532-4141. ; 39:5, s. 865-879
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Tidskriftsartikel (refereegranskat)abstract
- In this article we propose a modification of the recently introduced divergence information criterion (DIC, Mattheou et al., 2009) for the determination of the order of an autoregressive process and show that it is an asymptotically unbiased estimator of the expected overall discrepancy, a nonnegative quantity that measures the distance between the true unknown model and a fitted approximating model. Further, we use Monte Carlo methods and various data generating processes for small, medium, and large sample sizes in order to explore the capabilities of the new criterion in selecting the optimal order in autoregressive processes and in general in a time series context. The new criterion shows remarkably good results by choosing the correct model more frequently than traditional information criteria.
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