Journal of Statistics: Advances in Theory and Applications最新文献

On Pooled OLS and Panel Regression Models for Assessing the Contributions of Electronic Payment System on Commercial Banks Profitability 评估电子支付系统对商业银行盈利能力贡献的集合OLS和面板回归模型

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-07-10 DOI: 10.18642/jsata_7100122206

Kayode S. Adekeye, Kelvin E. Igwe, O. M. Olayiwola

引用次数: 0

Inferences on A Normal Mean with an Auxiliary Variable 带辅助变量的正态均值的推论

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-07-10 DOI: 10.18642/jsata_7100122198

Jianqi Yu

引用次数: 0

Consistency of the Modified Semi-Parametric MLE under the Linear Regression Model with Right-Censored Data 右截数据线性回归模型下修正半参数最大似然的一致性

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-07-10 DOI: 10.18642/jsata_7100122213

Qiqing Yu

引用次数: 1

A New Strategy of Hybrid Models using ARIMA, ANN, and DWT in Time Series Modelling 时间序列建模中使用ARIMA、ANN和DWT的混合模型新策略

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-04-05 DOI: 10.18642/jsata_7100122182

Tsung-Lin Li, Chen-An Tsai

{"title":"A New Strategy of Hybrid Models using ARIMA, ANN, and DWT in Time Series Modelling","authors":"Tsung-Lin Li, Chen-An Tsai","doi":"10.18642/jsata_7100122182","DOIUrl":"https://doi.org/10.18642/jsata_7100122182","url":null,"abstract":"Time series forecasting is a challenging task of interest in many disciplines. A variety of techniques have been developed to deal with the problem through a combination of different disciplines. Although various researches have proved successful for hybrid models, none of them carried out the comparisons with solid statistical test. This paper proposes a new stepwise model determination method for artificial neural network (ANN) and a novel hybrid model combining autoregressive integrated moving average (ARIMA) model, ANN and discrete wavelet transformation (DWT). Simulation studies are conducted to compare the performance of different models, including ARIMA, ANN, ARIMA-ANN, DWT-ARIMA-ANN and the proposed method, ARIMA-DWT-ANN. Also, two real data sets, Lynx data and cabbage data, are used to demonstrate the applications. Our proposed method, ARIMA-DWT-ANN, outperforms other methods in both simulated datasets and Lynx data, while ANN shows a better performance in the cabbage data. We conducted a two-way ANOVA test to compare the performances of methods. The results showed a significant difference between methods. As a brief conclusion, it is suggested to try on ANN and ARIMA-DWT-ANN due to their robustness and high accuracy. Since the performance of hybrid models may vary across data sets based on their ARIMA alike or ANN alike natures, they should all be considered when encountering a new data to reach an optimal performance.","PeriodicalId":113994,"journal":{"name":"Journal of Statistics: Advances in Theory and Applications","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125404847","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: 0

The Covid-19 Effect on Security Mortgage Valuation Covid-19对证券抵押贷款估值的影响

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-04-05 DOI: 10.18642/jsata_7100122193

Giovanna Di Lorenzo, Massimiliano Politano

{"title":"The Covid-19 Effect on Security Mortgage Valuation","authors":"Giovanna Di Lorenzo, Massimiliano Politano","doi":"10.18642/jsata_7100122193","DOIUrl":"https://doi.org/10.18642/jsata_7100122193","url":null,"abstract":"The reverse mortgage market has been expanding rapidly in developed economies in recent years. Reverse mortgages provide an alternative source of funding for retirement income and health care costs. We often hear the phrase “house rich and cash poor” to refer the increasing number of elderly persons who hold a substantial proportion of their assets in home equity. Reverse mortgage contracts involve a range of risks from the insurer’s perspective. When the outstanding balance exceeds the housing value before the loan is settled, the insurer suffers an exposure to crossover risk induced by three risk factors: interest rates, house prices, and mortality rates. In this context, Covid-19 has occurred and the insurer is faced with this additional source of risk. We analyse the combined impact of these risks on the pricing and the risk profile of reverse mortgage loans. We consider a CIR process for the evolution of the interest rate, a Black & Scholes model for the dynamics of house prices and the Gompertz model for the trend in mortality Our results show that the decrease in the mortality curve due to Covid exposes the insurer to higher risks once the shock is reabsorbed. The risk is higher the higher the age of entry. Only a significant reduction of the shock adjustment coefficient will return the situation to normality.","PeriodicalId":113994,"journal":{"name":"Journal of Statistics: Advances in Theory and Applications","volume":"155 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123502022","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: 0

Exponential Type Estimator for the Population Mean Under Ranked Set Sampling 排序集抽样下总体均值的指数型估计

Journal of Statistics: Advances in Theory and Applications Pub Date : 2021-04-05 DOI: 10.18642/jsata_7100122173

K. U. I. Rather, C. Kadilar

引用次数: 1

Generalized Beta-Exponential Weibull Distribution and its Applications 广义指数威布尔分布及其应用

Journal of Statistics: Advances in Theory and Applications Pub Date : 2020-12-10 DOI: 10.18642/jsata_7100122158

N. Badmus, O. Faweya, Kazeem Adedayo Adeleke

引用次数: 0

Geometric Regression for Modelling Count Data on the Time-to-First Antenatal Care Visit 第一次产前护理访问时间的几何回归模型计数数据

Journal of Statistics: Advances in Theory and Applications Pub Date : 2020-04-10 DOI: 10.18642/jsata_7100122148

Z. M. Al-Balushi, M. M. Islam

引用次数: 0

Issues with the Random Effects Approach in Meta-Analysis of Sparse Incidence Data 稀疏关联数据元分析中随机效应方法的问题

Journal of Statistics: Advances in Theory and Applications Pub Date : 2020-04-10 DOI: 10.18642/jsata_7100122116

E. Milanzi, M. Spittal, L. Gurrin

{"title":"Issues with the Random Effects Approach in Meta-Analysis of Sparse Incidence Data","authors":"E. Milanzi, M. Spittal, L. Gurrin","doi":"10.18642/jsata_7100122116","DOIUrl":"https://doi.org/10.18642/jsata_7100122116","url":null,"abstract":"The current interest in meta-analysis of count data in which some studies have zero events (sparse data) has led to re-assessment of commonly used meta-analysis methods to establish their validity in such scenarios. The general consensus is that methods which exclude studies with zero events should be avoided. In the family of parametric methods, random effects models come out highly recommended. While acknowledging the strength of this approach, one of its aspects with potentially undesirable impact on the results, is often overlooked. The random effects approach accounts for the variation in the effect measure across studies by using models with random slopes. It has been shown that parameters associated with a random structure risk being estimated with biased unless the distribution of the random effects is correctly specified. In meta-analysis the parameter of interest, average effect measure, is associated with a random structure (random slope). Information on how the effect measure point and precision estimates are affected by misspecification of random effects distribution is still lacking. To fill in the information gap, we used a simulation study to investigate the impact of misspecification of distribution of random effects in this context and provide guidelines in using the random effects approach. Our results indicated that relative bias in the estimated effect measure could be as high as 30% and 95% confidence interval coverage as low as 0%. These results send a clear message that possible effects of misspecification of the distribution of random effects should not be ignored. In light of these findings, we have proposed a sensitivity analysis that also establishes whether a random slope model is necessary.","PeriodicalId":113994,"journal":{"name":"Journal of Statistics: Advances in Theory and Applications","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114475222","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: 0

A PSEUDO-LIKELIHOOD APPROACH FOR THE META-ANALYSIS OF HOMOGENEOUS TREATMENT EFFECTS: EXPLOITING THE INFORMATION CONTAINED IN SINGLE-ARM AND DOUBLE-ZERO STUDIES 同质治疗效果荟萃分析的伪似然方法:利用单臂和双零研究中包含的信息

Journal of Statistics: Advances in Theory and Applications Pub Date : 2019-07-15 DOI: 10.18642/jsata_7100122046

Romain Piaget-Rossel, P. Taffé

引用次数: 2