Published in Metrika
Three functional measures of the shape of univariate distributions are proposed which are consistent with respect to the convex transform order. The first two are weighted tail indices that characterize location-scale families of distributions, whilst the third is a skewness measure. Properties of the new measures are established for various classe...
Published in Metrika
The first part of this paper deals with developing a purely sequential methodology for the point estimation of the mean μ\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$...
Published in Metrika
The generalized linear mixed model (GLMM) extends classical regression analysis to non-normal, correlated response data. Because inference for GLMMs can be computationally difficult, simplifying distributional assumptions are often made. We focus on the robustness of estimators when a main component of the model, the random effects distribution, is...
Published in Metrika
The covariance matrix plays a crucial role in portfolio optimization problems as the risk and correlation measure of asset returns. An improved estimation of the covariance matrix can enhance the performance of the portfolio. In this paper, based on the Cholesky decomposition of the covariance matrix, a Stein-type shrinkage strategy for portfolio w...
Published in Metrika
This paper addresses the problem of estimating, from randomly censored data subject to competing risks, the extreme value index of the (sub)-distribution function associated to one particular cause, in a heavy-tail framework. Asymptotic normality of the proposed estimator is established. This estimator has the form of an Aalen-Johansen integral and...
Published in Metrika
The efficiency concepts of Bahadur and Pitman are used to compare the Wilcoxon tests in paired and independent survey samples. A comparison through the length of corresponding confidence intervals is also done. Simple conditions characterizing the dominance of a procedure are derived. Statistical tests for checking these conditions are suggested an...
Published in Metrika
With the explosion of digital information, high-dimensional data is frequently collected in prevalent domains, in which the dimension of covariates can be much larger than the sample size. Many effective methods have been developed to reduce the dimension of such data recently, however, few methods might perform well for survival data with censorin...
Published in Metrika
This paper is concerned with the semiparametric regression model yi=xiβ+g(ti)+σiei,i=1,2,…,n,\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$y_i=x_i\beta +g(t_i)+\sigma...
Published in Metrika
We deal with the Bayes type estimators and the maximum likelihood type estimators of both drift and volatility parameters for small diffusion processes defined by stochastic differential equations with small perturbations from high frequency data. From the viewpoint of numerical analysis, initial Bayes type estimators for both drift and volatility ...
Published in Metrika
The problems of constructing prediction intervals (PIs) for the binomial and Poisson distributions are considered. New highest posterior mass (HPM) PIs based on fiducial approach are proposed. Other fiducial PIs, an exact PI and approximate PIs are reviewed and compared with the HPM-PIs. Exact coverage studies and expected widths of prediction inte...
