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Gumbel GARCH model with stock application Gumbel GARCH模型与股票应用
Advances in Methodology and Statistics Pub Date : 2018-01-01 DOI: 10.51936/jmnw8190
M. Mohammadpour, Fatemeh Ziaeenejad
{"title":"Gumbel GARCH model with stock application","authors":"M. Mohammadpour, Fatemeh Ziaeenejad","doi":"10.51936/jmnw8190","DOIUrl":"https://doi.org/10.51936/jmnw8190","url":null,"abstract":"The paper proposes a new GARCH model with Gumbel conditional distribution. Several statistical properties of the model are established, like autocorrelation function and stationarity. We consider two methods for estimating the unknown parameters of the model and investigate properties of the estimators. The performances of the estimators are checked by a simulation study. We investigate the application of the process using a real stock data.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114788419","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
impact of an extreme observation in a paired samples design 配对样本设计中极端观测值的影响
Advances in Methodology and Statistics Pub Date : 2017-07-01 DOI: 10.51936/ktch6909
Ben Derrick, A. Broad, D. Toher, Paul White
{"title":"impact of an extreme observation in a paired samples design","authors":"Ben Derrick, A. Broad, D. Toher, Paul White","doi":"10.51936/ktch6909","DOIUrl":"https://doi.org/10.51936/ktch6909","url":null,"abstract":"The effect of systematically altering the value of a single observation within a paired differences design is considered. A paradox is observed for the paired samples t-test, where increasing the value of an observation in the direction of the true mean difference results in a higher p-value. Using simulation, deviations from robustness of the paired samples t-test is demonstrated, and is contrasted with Yuen's paired samples t-test and the Wilcoxon signed rank sum test.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"503 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115390152","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: 7
Bad luck of cancer – or misinterpreted statistics? 癌症的坏运气——还是被误解的统计数据?
Advances in Methodology and Statistics Pub Date : 2017-07-01 DOI: 10.51936/tvcb8684
J. Stare
{"title":"Bad luck of cancer – or misinterpreted statistics?","authors":"J. Stare","doi":"10.51936/tvcb8684","DOIUrl":"https://doi.org/10.51936/tvcb8684","url":null,"abstract":"A paper in Science (January 2015) claimed that the majority, 65% to be precise, of cancers is due to bad luck, so non-preventable. In this paper we show that the analyses, presented in the paper, give absolutely no grounds to make such a claim. Some of the arguments have in the meantime appeared elsewhere, but some have not. We also show that the authors' assumptions and their data can only support a claim of no more than 5% of cancers being random.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127861647","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
Italian Ph.D. holders and mismatch in education and skills 意大利博士学位，教育和技能不匹配
Advances in Methodology and Statistics Pub Date : 2017-07-01 DOI: 10.51936/isjb4010
Rosalia Castellano, G. Punzo, A. Rocca
{"title":"Italian Ph.D. holders and mismatch in education and skills","authors":"Rosalia Castellano, G. Punzo, A. Rocca","doi":"10.51936/isjb4010","DOIUrl":"https://doi.org/10.51936/isjb4010","url":null,"abstract":"Ph.D. education is a key element in innovation and the generation of new knowledge. Nevertheless, in Italy, the share of doctoral graduates is still lower than the average for OECD member countries. This paper investigates the effectiveness of doctoral education and the extent to which the Italian labour market properly absorbs the rising flow of Ph.D. holders. The effectiveness is assessed from the twofold perspective of the formal relevance of a Ph.D. qualification in the labour market and the substantial applicability of skills acquired to different occupations inside and outside university. Logit models enable sketches of the main determinants of overeducation and overskilling among Italian Ph.D.'s, whereas log-earnings equations allow assessment of the role of educational and skills mismatches in terms of wage penalties. Oaxaca-Blinder decompositions help analyse some causes of these mismatches. The different patterns of overeducation and overskilling among Ph.D. holders working inside and outside academe lead to different degrees of pay penalties.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"180 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132031106","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
Impact of questionnaire length and complexity on survey time 问卷长度和复杂程度对调查时间的影响
Advances in Methodology and Statistics Pub Date : 2017-07-01 DOI: 10.51936/vdqs5871
Berislav Žmuk
{"title":"Impact of questionnaire length and complexity on survey time","authors":"Berislav Žmuk","doi":"10.51936/vdqs5871","DOIUrl":"https://doi.org/10.51936/vdqs5871","url":null,"abstract":"In case of web surveys, researchers struggle to achieve satisfactory response rates and to collect data of good quality. Those two problems could be mitigated by a thorough approach to the questionnaire design and by changing questionnaire elements that could have an impact on the questionnaire length and complexity levels. In the paper, the questionnaire length and complexity are quantified by observing survey times or the times that respondents need to complete the provided questionnaire. The questionnaire length and complexity levels have an impact on survey times and consequently on response rates. The aim of the paper is to investigate how different questionnaire lengths and complexity levels influence survey times. The selected questionnaire length and complexity determinants are observed using the case of two different questionnaire versions. Those questionnaire versions have been used in a business web survey of Croatian enterprises. The results have shown that on average the long questionnaire version is twice longer and 142% more complex than the short questionnaire version. However, due to the interaction effect of length and complexity determinants, the long questionnaire version has on average 119% higher questionnaire length and complexity level than the short questionnaire version. The analysis has shown that this increase of the questionnaire length and complexity had a different impact on enterprises with different characteristics. Furthermore, the increase of the questionnaire length and complexity level did not lead to a proportionate increase in survey time at the overall enterprises level.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127666520","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: 3
Evaluation of the Gower coefficient modifications in hierarchical clustering 层次聚类中高尔系数修正的评价
Advances in Methodology and Statistics Pub Date : 2017-01-01 DOI: 10.51936/eqvy9516
Z. Šulc, Martin Matejka, Jiří Procházka, H. Řezanková
{"title":"Evaluation of the Gower coefficient modifications in hierarchical clustering","authors":"Z. Šulc, Martin Matejka, Jiří Procházka, H. Řezanková","doi":"10.51936/eqvy9516","DOIUrl":"https://doi.org/10.51936/eqvy9516","url":null,"abstract":"This paper thoroughly examines three recently introduced modifications of the Gower coefficient, which were determined for data with mixed-type variables in hierarchical clustering. On the contrary to the original Gower coefficient, which only recognizes if two categories match or not in the case of nominal variables, the examined modifications offer three different approaches to measuring the similarity between categories. The examined dissimilarity measures are compared and evaluated regarding the quality of their clusters measured by three internal indices (Dunn, silhouette, McClain) and regarding their classification abilities measured by the Rand index. The comparison is performed on 810 generated datasets. In the analysis, the performance of the similarity measures is evaluated by different data characteristics (the number of variables, the number of categories, the distance of clusters, etc.) and by different hierarchical clustering methods (average, complete, McQuitty and single linkage methods). As a result, two modifications are recommended for the use in practice.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131877477","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: 3
distribution of the ratio of normal random variables and the ellipticity of the Earth 正态随机变量的比率分布和地球的椭圆性
Advances in Methodology and Statistics Pub Date : 2017-01-01 DOI: 10.51936/lwgu8654
Gregory Kordas, George Petrakos
{"title":"distribution of the ratio of normal random variables and the ellipticity of the Earth","authors":"Gregory Kordas, George Petrakos","doi":"10.51936/lwgu8654","DOIUrl":"https://doi.org/10.51936/lwgu8654","url":null,"abstract":"In this paper we consider inference regarding the ratio of two normal and the ratio of two t-distributed random variables, using both the popular Fieller interval, as well as, exact distributions. We apply these methods to a historical dataset regarding the shape of the Earth, and estimate the Earth's flatness coefficient as a ratio of regression coefficients. We demonstrate the equivalence of the inference using the exact density of this ratio with that using the Fieller interval.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114456304","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
Pretest shrinkage estimators for the shape parameter of a Pareto model using prior point knowledge and record observations 预测试收缩估计的形状参数的帕累托模型使用先验点知识和记录的观察
Advances in Methodology and Statistics Pub Date : 2017-01-01 DOI: 10.51936/uivd4115
L. Barmoodeh, M. Naghizadeh Qomi
{"title":"Pretest shrinkage estimators for the shape parameter of a Pareto model using prior point knowledge and record observations","authors":"L. Barmoodeh, M. Naghizadeh Qomi","doi":"10.51936/uivd4115","DOIUrl":"https://doi.org/10.51936/uivd4115","url":null,"abstract":"Considering a Pareto model with unknown shape and scale parameters (alpha) and (beta), respectively, we are interested in Thompson shrinkage test estimation for the shape parameter (alpha) under the Squared Log Error Loss (SLEL) function. We find a risk-unbiased estimator for (alpha) and compute its risk under the SLEL. According to Thompson (1986), we construct the pretest shrinkage (PTS) estimators for (alpha) with the help of a point guess value (alpha_0) and record observations. We investigate the risk-bias of these estimators and compute their risks numerically. A comparison is performed between the PTS estimators and a risk-unbiased estimator. A numerical example is presented for illustrative and comparative purposes. We end the paper by discussion and concluding remarks.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127042969","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
Survey mode as a moderator of context effects 调查模式对语境效应的调节作用
Advances in Methodology and Statistics Pub Date : 2017-01-01 DOI: 10.51936/epsf8017
May Doušak
{"title":"Survey mode as a moderator of context effects","authors":"May Doušak","doi":"10.51936/epsf8017","DOIUrl":"https://doi.org/10.51936/epsf8017","url":null,"abstract":"After decades of survey quality research and many experiments on the mode of data collection as a source of data inequivalence, there is still no exact explanation of how the mixed-mode design impacts the collected data. While not providing a definitive answer, we propose a new explanation of the mode effect and how it correlates with other sources of errors in surveys. By reviewing the relevant literature, we develop theoretical arguments indicating that the mode of data collection is in fact a moderator of context effects, a view that can provide an answer to the question concerning the origin of the data cacophony in mixed-mode comparative studies.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131594878","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
Approximate confidence interval for the reciprocal of a normal mean with a known coefficient of variation 具有已知变异系数的正态均值倒数的近似置信区间
Advances in Methodology and Statistics Pub Date : 2016-07-01 DOI: 10.51936/cwjt5839
W. Panichkitkosolkul
{"title":"Approximate confidence interval for the reciprocal of a normal mean with a known coefficient of variation","authors":"W. Panichkitkosolkul","doi":"10.51936/cwjt5839","DOIUrl":"https://doi.org/10.51936/cwjt5839","url":null,"abstract":"An approximate confidence interval for the reciprocal of a normal population mean with a known coefficient of variation is proposed. This has applications in the area of nuclear physics, agriculture and economic when the researcher knows the coefficient of variation. The proposed confidence interval is based on the approximate expectation and variance of the estimator by Taylor series expansion. A Monte Carlo simulation study was conducted to compare the performance of the proposed confidence interval with the existing confidence interval. Simulation results show that the proposed confidence interval performs as well as the existing one in terms of coverage probability. However, the approximate confidence interval is very easy to calculate compared with the exact confidence interval.","PeriodicalId":242585,"journal":{"name":"Advances in Methodology and Statistics","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121059502","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
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