test最新文献 - Book学术

Bayesian joint quantile autoregression 贝叶斯联合分位数自回归

test Pub Date : 2023-11-12 DOI: 10.1007/s11749-023-00895-6

Jorge Castillo-Mateo, Alan E. Gelfand, Jesús Asín, Ana C. Cebrián, Jesús Abaurrea

引用次数: 0

Comments on: Statistical inference and large-scale multiple testing for high-dimensional regression models 点评:高维回归模型的统计推断和大规模多元检验

test Pub Date : 2023-11-07 DOI: 10.1007/s11749-023-00898-3

Ya’acov Ritov

引用次数: 0

Model checking for generalized partially linear models 广义部分线性模型的模型检验

test Pub Date : 2023-11-06 DOI: 10.1007/s11749-023-00897-4

Xinmin Li, Haozhe Liang, Wolfgang Härdle, Hua Liang

引用次数: 0

Comments on: Statistical inference and large-scale multiple testing for high-dimensional regression models 点评:高维回归模型的统计推断和大规模多元检验

test Pub Date : 2023-11-03 DOI: 10.1007/s11749-023-00896-5

Gerda Claeskens, Maarten Jansen

引用次数: 0

Bayesian analysis of testing general hypotheses in linear models with spherically symmetric errors 球对称误差线性模型一般假设检验的贝叶斯分析

test Pub Date : 2023-10-30 DOI: 10.1007/s11749-023-00892-9

Min Wang, Keying Ye, Zifei Han

引用次数: 0

Estimation of stability index for symmetric $$alpha $$-stable distribution using quantile conditional variance ratios 使用分位数条件方差比估计对称$$alpha $$ -稳定分布的稳定性指数

test Pub Date : 2023-10-30 DOI: 10.1007/s11749-023-00894-7

Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska

{"title":"Estimation of stability index for symmetric $$alpha $$-stable distribution using quantile conditional variance ratios","authors":"Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska","doi":"10.1007/s11749-023-00894-7","DOIUrl":"https://doi.org/10.1007/s11749-023-00894-7","url":null,"abstract":"Abstract The class of $$alpha $$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>α</mml:mi> </mml:math> -stable distributions is widely used in various applications, especially for modeling heavy-tailed data. Although the $$alpha $$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>α</mml:mi> </mml:math> -stable distributions have been used in practice for many years, new methods for identification, testing, and estimation are still being refined and new approaches are being proposed. The constant development of new statistical methods is related to the low efficiency of existing algorithms, especially when the underlying sample is small or the distribution is close to Gaussian. In this paper, we propose a new estimation algorithm for the stability index, for samples from the symmetric $$alpha $$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>α</mml:mi> </mml:math> -stable distribution. The proposed approach is based on a quantile conditional variance ratio. We study the statistical properties of the proposed estimation procedure and show empirically that our methodology often outperforms other commonly used estimation algorithms. Moreover, we show that our statistic extracts unique sample characteristics that can be combined with other methods to refine existing methodologies via ensemble methods. Although our focus is set on the symmetric $$alpha $$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>α</mml:mi> </mml:math> -stable case, we demonstrate that the considered statistic is insensitive to the skewness parameter change, so our method could be also used in a more generic framework. For completeness, we also show how to apply our method to real data linked to financial market and plasma physics.","PeriodicalId":101465,"journal":{"name":"test","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136103877","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Unit-Weibull autoregressive moving average models 单位-威布尔自回归移动平均模型

test Pub Date : 2023-10-24 DOI: 10.1007/s11749-023-00893-8

Guilherme Pumi, Taiane Schaedler Prass, Cleiton Guollo Taufemback

引用次数: 1

Statistical analysis of measures of non-convexity 非凸性测度的统计分析

test Pub Date : 2023-10-12 DOI: 10.1007/s11749-023-00889-4

Alejandro Cholaquidis, Ricardo Fraiman, Leonardo Moreno, Beatriz Pateiro-López

引用次数: 0

Conditional tail moment and reinsurance premium estimation under random right censoring 随机右删减下的条件尾矩与再保险保费估计

test Pub Date : 2023-10-09 DOI: 10.1007/s11749-023-00890-x

Yuri Goegebeur, Armelle Guillou, Jing Qin