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Filtered fractional Poisson processes 过滤分数泊松过程
Q Mathematics Pub Date : 2015-09-01 DOI: 10.1016/j.stamet.2015.04.004
B.L.S. Prakasa Rao

We introduce a class of processes termed as filtered fractional Poisson processes (FFPP) and study their properties and give some applications of these to stochastic models. In addition, we study filtered fractional Levy processes (FFLP) as a generalization of these models.

本文介绍了一类被称为过滤分数泊松过程的过程,研究了它们的性质,并给出了它们在随机模型中的一些应用。此外,我们研究了滤波分数阶Levy过程(FFLP)作为这些模型的推广。
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引用次数: 4
On concomitants of order statistics arising from the extended Farlie–Gumbel–Morgenstern bivariate logistic distribution and its application in estimation 扩展Farlie-Gumbel-Morgenstern双变量logistic分布引起的有序统计量的伴随性及其在估计中的应用
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2015.02.002
Anne Philip, P. Yageen Thomas

In this paper, we consider concomitants of order statistics arising from the extended Farlie–Gumbel–Morgenstern bivariate logistic distribution and develop its distribution theory. Using ranked set sample obtained from the above distribution, unbiased estimators of the parameters associated with the study variate involved in it are generated. The best linear unbiased estimators (BLUEs) based on observations in the ranked set sample of those parameters as well have been derived. The efficiencies of the BLUEs relative to the respective unbiased estimators generated also have been evaluated.

本文考虑了广义Farlie-Gumbel-Morgenstern二元logistic分布所产生的序统计量的伴随性,并发展了其分布理论。使用从上述分布中获得的排序集样本,生成与其中涉及的研究变量相关的参数的无偏估计量。基于这些参数的排序集样本的观测结果,也得到了最佳的线性无偏估计(BLUEs)。还评估了blue相对于生成的各自无偏估计器的效率。
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引用次数: 10
A family of skew distributions with mode-invariance through transformation of scale 通过尺度变换得到一类模不变的偏态分布
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2015.02.003
Hironori Fujisawa , Toshihiro Abe

Recently, a new family of skew distributions was proposed using a specific class of transformation of scale, in which the normalizing constant remains unchanged and unimodality is readily assured. In this paper, we introduce the mode invariance in this family, which allows us to easily study certain properties, including monotonicity of skewness, and incorporate various favorable properties. The entropy maximization for a skew distribution is discussed. A numerical study is also conducted.

最近,利用一类特殊的尺度变换,提出了一种新的偏态分布族,这种偏态分布族的归一化常数保持不变,且易于保证单峰性。在本文中,我们引入了模态不变性,使我们可以很容易地研究某些性质,包括偏度的单调性,并纳入各种有利的性质。讨论了偏态分布的熵最大化问题。并进行了数值研究。
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引用次数: 6
Further results on closure properties of LPQE order LPQE序闭包性质的进一步结果
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2014.12.003
Dian-tong Kang

Di Crescenzo and Longobardi (2002) introduced the past entropy, Sunoj et al. (2013) gave a quantile version for the past entropy, termed as the past quantile entropy (PQE). Based on the PQE function, they defined a new stochastic order called as less PQE (LPQE) order and studied some properties of this order. In the present paper, we focus our interests on further closure properties of this new order. Some characterizations of the LPQE order are investigated, closure and reversed closure properties are obtained. The preservation of the LPQE order in the proportional failure rate and reversed failure rate models is discussed.

Di Crescenzo和Longobardi(2002)引入了过去熵,Sunoj等人(2013)给出了过去熵的分位数版本,称为过去分位数熵(PQE)。在PQE函数的基础上,他们定义了一种新的随机阶,称为少PQE (LPQE)阶,并研究了该阶的一些性质。在本文中,我们关注于这一新阶的进一步闭包性质。研究了LPQE阶的一些性质,得到了闭包和反闭包性质。讨论了比例故障率和反向故障率模型中LPQE顺序的保持问题。
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引用次数: 7
A simple approach for testing constant failure rate against different ageing classes for discrete data 对离散数据的不同老化类别测试恒定故障率的简单方法
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2015.02.001
K.K. Sudheesh , P. Anisha , C.M. Deemat

In this paper, we develop simple non-parametric test based on U-statistics for testing constant failure rate against IFR, IFRA, DMRL, NBU and NBUE alternatives. The asymptotic properties of the test statistics are studied. In particular, the test statistics are shown to be asymptotically normal and consistent against the relevant alternatives. Some numerical results are presented to demonstrate the performance of the proposed tests.

在本文中,我们开发了基于u统计量的简单非参数测试,用于测试IFR, IFRA, DMRL, NBU和NBUE替代方案的恒定故障率。研究了检验统计量的渐近性质。特别是,测试统计量被证明是渐近正态的,并且相对于相关的选择是一致的。给出了一些数值结果来验证所提出的测试方法的性能。
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引用次数: 5
Copula parameter change test for nonlinear AR models with nonlinear GARCH errors 具有非线性GARCH误差的非线性AR模型的Copula参数变化检验
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2014.12.001
Sangyeol Lee , Byungsoo Kim

In this paper, we study the problem of testing for a copula parameter change in nonlinear autoregressive (AR) models with nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) errors. To perform a test, we propose the cusum test based on pseudo maximum likelihood estimates of copula parameters. We derive its limiting null distribution under regularity conditions. For illustration, we conduct a simulation study with an emphasis on STAR–STGARCH models. A real data analysis applied to the S&P 500 index and IBM stock price is also considered.

研究了具有非线性广义自回归条件异方差(GARCH)误差的非线性自回归(AR)模型的耦合参数变化检验问题。为了进行检验,我们提出了基于copula参数的伪极大似然估计的cusum检验。在正则性条件下,导出了它的极限零分布。为了说明,我们进行了一个模拟研究,重点是STAR-STGARCH模型。应用于标准普尔500指数和IBM股票价格的真实数据分析也被考虑。
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引用次数: 6
Adaptive testing for the partially linear single-index model with error-prone linear covariates 带有易出错线性协变量的部分线性单指标模型的自适应检验
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2014.12.002
Zhensheng Huang , Quanxi Shao , Zhen Pang , Bingqing Lin

Adaptive testing for the partially linear single-index model (PLSIM) with error-prone linear covariates is considered. This is a fundamentally important and interesting problem for the current model because existing literature often assumes that the model structure is known before making inferences. In practice, this may result in an incorrect inference on the PLSIM. In this study, we explore whether the link function satisfies some special shape constraints by using an efficient penalized estimating method. For this we propose a model structure selection method by constructing a new testing statistic in the current setting with measurement error, which may enhance the flexibility and predictive power of this model under the case that one can correctly choose an adaptive shape and model structure. The finite sample performance of the proposed methodology is investigated by using some simulation studies and a real example from the Framingham Heart Study.

研究了具有易出错线性协变量的部分线性单指标模型的自适应检验问题。对于当前模型来说,这是一个非常重要和有趣的问题,因为现有文献通常假设模型结构在进行推论之前是已知的。在实践中,这可能会导致对PLSIM的错误推断。本文采用一种有效的惩罚估计方法,探讨了连杆函数是否满足一些特殊的形状约束。为此,我们提出了一种模型结构选择方法,即在具有测量误差的当前设置中构造新的检验统计量,在能够正确选择自适应形状和模型结构的情况下,增强了模型的灵活性和预测能力。通过一些仿真研究和Framingham心脏研究的一个实际例子,对所提出方法的有限样本性能进行了研究。
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引用次数: 1
On some distributions arising from a generalized trivariate reduction scheme 关于由广义三元约化格式引起的一些分布
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2015.01.001
Christophe Chesneau , Maher Kachour , Dimitris Karlis

In this article we construct bivariate discrete distributions in Z2. We make use of a generalized trivariate reduction technique. The special case leading to a generalization of a bivariate Skellam distribution is studied in detail. Properties of the derived models as well as estimation are examined. Real data application is provided. Discussion of extensions to different models is also mentioned.

在本文中,我们构造了Z2中的二元离散分布。我们使用了一个广义的三元约简技术。详细研究了导致二元Skellam分布普遍化的特殊情况。对所得模型的性质和估计进行了检验。提供了实际数据应用。还讨论了不同模型的扩展。
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引用次数: 3
A macro-DAG structure based mixture model 基于宏观dag结构的混合模型
Q Mathematics Pub Date : 2015-07-01 DOI: 10.1016/j.stamet.2015.02.004
Bernard Chalmond

In the context of unsupervised classification of multidimensional data, we revisit the classical mixture model in the case where the dependencies among the random variables are described by a DAG structure. This structure is considered at two levels, the original DAG and its macro-representation. This two-level representation is the main base of the proposed mixture model. To perform unsupervised classification, we propose a dedicated algorithm called EM-mDAG, which extends the classical EM algorithm. In the Gaussian case, we show that this algorithm can be efficiently implemented. This approach has two main advantages. It favors the selection of a small number of classes and it allows a semantic interpretation of the classes based on a clustering within the macro-variables.

在多维数据无监督分类的背景下,我们在随机变量之间的依赖关系由DAG结构描述的情况下重新审视了经典混合模型。在两个层次上考虑这个结构,原始DAG和它的宏观表示。这种两级表示是混合模型的主要基础。为了进行无监督分类,我们提出了一种专用的EM- mdag算法,它扩展了经典的EM算法。在高斯情况下,我们证明了该算法可以有效地实现。这种方法有两个主要优点。它支持选择少量的类,并且允许基于宏变量内的聚类对类进行语义解释。
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引用次数: 1
Diagnostic check for heavy tail in linear time series 线性时间序列中重尾的诊断检查
Q Mathematics Pub Date : 2015-05-01 DOI: 10.1016/j.stamet.2014.11.001
Tony Siu Tung Wong

Justification of heavy tail is an important open problem. A systematic approach is proposed to verify heavy tail in linear time series. It consists of three parts, each of which is guided by statistical tests. The analysis is supplemented by an application to ozone concentration. The methodology has the advantage that the threshold selection is data-driven. Simulations show that test results are accurate even under model misspecification. The power is good under two heavy-tailed alternatives. The test is invariant when the time series clusters at extreme level in the study of the max-autoregressive process. It also gives a preliminary measure of tail heaviness if the underlying process is heavy-tailed.

重尾的正当性是一个重要的开放性问题。提出了一种验证线性时间序列重尾的系统方法。它由三部分组成,每一部分都以统计检验为指导。对臭氧浓度的应用补充了分析。该方法的优点是阈值选择是数据驱动的。仿真结果表明,在模型不规范的情况下,测试结果是准确的。在两种重尾替代方案下,电力很好。在研究最大自回归过程时,当时间序列聚类在极值水平时,检验是不变的。如果底层过程是重尾的,它也给出了尾重的初步度量。
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引用次数: 1
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Statistical Methodology
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