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| 2. |
- Brännäs, Kurt, et al.
(författare)
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Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
- 2004
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 33:11, s. 2745-2758
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Tidskriftsartikel (refereegranskat)abstract
- This paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data models, some well-known estimators are adapted, and a generalized method of moments (GMM) estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.
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| 3. |
- Ekström, Magnus, 1966-
(författare)
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Nonparametric estimation of the variance of sample means based on nonstationary spatial data
- 2002
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Ingår i: Communications in Statistics - Theory and Methods. - : Marcel Dekker. - 0361-0926 .- 1532-415X. ; 31:10, s. 1743-1775
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Tidskriftsartikel (refereegranskat)abstract
- In Politis and Romano (Politis, D.N.; Romano, J.P. Nonparametric Resampling for Homogeneous Strong Mixing Random Fields. Journal of Multivariate Analysis 1993, 47, 301–328.), different block resampling estimators of variance of general linear statistics, e.g., a sample mean, were proposed under the assumption of stationarity. In the present paper such estimators of variance of sample means, computed from nonstationary spatially indexed data , where is a finite subset of the integer lattice , are studied. Consistency of estimators of variance will be shown for the following kind of data: Observations taken from different lattice points are allowed to come from different distributions, and the dependence structure is allowed to differ over the lattice. We assume that all observed values are from distributions with the same expected value, or with expected values that decompose additively into directional components. Furthermore, it will be assumed that observations separated by a certain distance are independent.
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| 4. |
- Lindkvist, Håkan, et al.
(författare)
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Asymptotic properties of estimators in a model of life data with warnings
- 2004
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 34:2, s. 461-474
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Tidskriftsartikel (refereegranskat)abstract
- We consider a model where elements of a single type are life tested. All elements are observed up to the time of their failures or censorings. Three types of events are possible to observe during life testing for each element: failure, censoring, and warning, where a warning can only be observed before a failure or before censoring has occurred. It is essential to know if warnings influence subsequent failures. Two subsets of data are simultaneously considered: the first consisting of only the times of the first occurrences of failure, censoring, or warning, and the second consisting of the times for those elements where warnings occurred before failures or censorings. The first subset belongs to the competing risks model, and the second consists of left-truncated data. Estimators of the cumulative hazard function before and after warnings are derived and proved to be consistent, with asymptotic normal distributions. A null hypothesis where the cumulative hazard functions before and after warnings are proportional and a corresponding alternative hypothesis that they are not proportional are defined. Under this null hypothesis an estimator for the constant of proportionality is derived and showed to be strongly consistent. Martingale techniques are used and numerical examples are provided.
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| 5. |
- Pavlenko, Tatjana
(författare)
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Feature informativeness in high-dimensional discriminant analysis
- 2003
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 32:2, s. 459-474
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Tidskriftsartikel (refereegranskat)abstract
- A concept of feature informativeness was introduced as a way of measuring the discriminating power of a set of features. A question of interest is how this property of features affects the discrimination performance. The effect is assessed by means of a weighted discriminant function, which distributes weights among features according to their informativeness. The asymptotic normality of the weighted discriminant function is proven and the limiting expressions for the errors are obtained in the growing dimension asymptotic framework, i.e., when the number of features is proportional to the sample size. This makes it possible to establish the optimal in a sense of minimum error probability type of weighting.
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| 6. |
- Silvestrov, Dmitrii, et al.
(författare)
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A pricing process with stochastic volatility controlled by a semi-Markov process
- 2004
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 33:3, s. 591-608
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Tidskriftsartikel (refereegranskat)abstract
- This paper is devoted to the investigation of the geometrical Brownian motion as a price process where the drift and volatility are controlled by a semi-Markov process. Conditions of risk-neutral measure are given as well as a formula for the risk-neutral price for European options. The discrete version, the binomial model controlled by a semi-Markov chain, is examined and limit theorems describing the transition from discrete time binomial to continuous time model are given. A system of partial differential equations for distribution functions of average volatility is given. Related Monte Carlo algorithms are described.
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| 7. |
- Silvestrov, Dmitrii S.
(författare)
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Upper bounds for exponential moments of hitting times for semi-Markov processes
- 2004
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 33:3, s. 533-544
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Tidskriftsartikel (refereegranskat)abstract
- Necessary and sufficient conditions for the existence of exponential moments for hitting times for semi-Markov processes are found. These conditions and the corresponding upper bounds for exponential moments are given in terms of test-functions. Applications to hitting times forsemi-Markov random walks and queuing systems illustrate the results.
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| 8. |
- Franzén, Stefan, 1967
(författare)
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SPRT fixed length confidence intervals
- 2004
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Ingår i: COMMUNICATIONS IN STATISTICS-THEORY AND METHODS. - 0361-0926. ; 33:2, s. 305-319
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Tidskriftsartikel (refereegranskat)
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| 9. |
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| 10. |
- Rech, Gianluigi, et al.
(författare)
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A simple variable selection technique for nonlinear models
- 2001
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926. ; 30:6, s. 1227-1241
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Tidskriftsartikel (refereegranskat)abstract
- Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is computationally much less demanding and performs well in comparison with methods currently available. It is based on a polynomial approximation of the nonlinear model. Performing the selection only requires repeated least squares estimation of models that are linear in parameters. The main limitation of the method is that the number of variables among which to select cannot be very large if the sample is small and the order of an adequate polynomial at the same time is high. Large samples can be handled without problems.
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