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Quadratic error of the conditional hazard function in the local linear estimation for functional data 泛函数据局部线性估计中条件风险函数的二次误差
Afrika Statistika Pub Date : 2018-10-01 DOI: 10.16929/AS/1759.132
T. Merouan, B. Mechab, Ibrahim Massim
{"title":"Quadratic error of the conditional hazard function in the local linear estimation for functional data","authors":"T. Merouan, B. Mechab, Ibrahim Massim","doi":"10.16929/AS/1759.132","DOIUrl":"https://doi.org/10.16929/AS/1759.132","url":null,"abstract":"In this paper we investigate the asymptotic mean square error and the rates of convergence of the estimator based on the local linear method of the conditional hazard function. Under some general conditions, the expressions of the bias and variance are given. The efficiency of our estimator is evaluated through a simulation study. We proved, theoretically and on the scope of a simulation study, that our proposed estimator has better performance than the estimator based on the standard kernel method. Keywords: Nonparametric local linear estimation, conditional hazard function, functional variable, mean squared error. AMS 2010 Mathematics Subject Classification: 62G05, 62G20","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"356 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132862964","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
Asset liability management for Tanzania pension funds by stochastic programming 坦桑尼亚养老基金资产负债的随机规划管理
Afrika Statistika Pub Date : 2018-10-01 DOI: 10.16929/AS/1733.131
Andongwisye John Mwakisisile, T. Larsson, Martin Ohlson, A. Mushi
{"title":"Asset liability management for Tanzania pension funds by stochastic programming","authors":"Andongwisye John Mwakisisile, T. Larsson, Martin Ohlson, A. Mushi","doi":"10.16929/AS/1733.131","DOIUrl":"https://doi.org/10.16929/AS/1733.131","url":null,"abstract":"We present a long-termmodel of asset liability management for Tanzania pension funds. The pension system is pay-as-you-go where contributions are used to pay current benefits. The pension plan is a final salary defined benefit. Two kinds of pension benefits, a commuted (at retirement) and a monthly (old age) pension are considered. A decisive factor for a long-term asset liability management is that, Tanzania pension funds face an increase of their members’ life expectancy, which will cause the retirees to contributors dependence ratio to increase. We present a stochastic programming approach which allocates assets with the best return to raise the asset value closer to the level of liabilities. The model is based on work by Kouwenberg in 2001, with features from Tanzania pension system. In contrast to most asset liability management models for pension funds by stochastic programming, liabilities are modeled by using number of years of life expectancy for monthly benefit. Scenario trees are generated by using Monte Carlo simulation. Numerical results suggest that, in order to improve the long-term sustainability of the Tanzania pension fund system, it is necessary to make reforms concerning the contribution rate, investment guidelines and formulate target funding ratios to characterize the pension funds’ solvency situation. Keywords: Pay-as-you-go pension fund, asset liability management, stochastic programming, scenario trees. AMS 2010 Mathematics Subject Classification: 62P05, 90C15","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121352485","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: 2
A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation 有污染观测的独立正态序列均值变化的贝叶斯分析
Afrika Statistika Pub Date : 2018-10-01 DOI: 10.16929/AS/1779.133
Abdeldjalil Slama, H. Fellag
{"title":"A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation","authors":"Abdeldjalil Slama, H. Fellag","doi":"10.16929/AS/1779.133","DOIUrl":"https://doi.org/10.16929/AS/1779.133","url":null,"abstract":"In this paper, we consider a Bayesian analysis of a change in the mean of independent gaussian samples in the presence of a single outlier. An unconditional Bayesian significance test for testing change versus no change is performed under consideration of non informative prior distribution of the parameters. From a numerical study using the Gibbs sampler algorithm, the effect of a contaminated observation on the performance of the Bayesian significance test of change is studied. Keywords: Gaussian models; Change-point; HPD region sets; p-value; Outliers. AMS 2010 Mathematics Subject Classification Objects: 91B84; 62F15; 62F03","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132552133","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: 2
A Central limit Theorem of dependent sums of standard exponential functionals motivated by extreme value theory 由极值理论推导的标准指数泛函相依和的中心极限定理
Afrika Statistika Pub Date : 2018-10-01 DOI: 10.16929/as/1795.134
G. Lo, A. M. Fall, Harouna Sanagaré
{"title":"A Central limit Theorem of dependent sums of standard exponential functionals motivated by extreme value theory","authors":"G. Lo, A. M. Fall, Harouna Sanagaré","doi":"10.16929/as/1795.134","DOIUrl":"https://doi.org/10.16929/as/1795.134","url":null,"abstract":"A Central limit Theorem of dependent sums of standard exponential functionals motivated by extreme value theory k -1  k -1  k -1 ∑ f ( j )(exp(- y ∑ E h /h ) -exp(- y  ∑ E h /h )), j =1  h = j +1   h +1 where E 1 , E 2 , ... are independent standard exponential random variables,  y > 0, k is a positive integer and f ( j ) is an increasing function of the integer j ≥  1. We find general conditions under which the central limit theorem (CLT) holds and next apply the results to find the asymptotic behavior of the functional Hill within the Extreme Value Theory (EVT) field. This results show a new trend for the central limit theorem issue for non-stationary sequences of associated variables. Keywords: Extreme value theory; Associated random variables; demimartingales; asymptotic laws; functional Hill processes; extreme value theory; statistical tests. AMS 2010 Mathematics Subject Classification Objects: Primary 62E20; 62F12; 60F05. Secondary 60B10; 60F17","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127905542","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: 4
Estimation of a stationary multivariate ARFIMA process 平稳多元ARFIMA过程的估计
Afrika Statistika Pub Date : 2018-10-01 DOI: 10.16929/AS/1717.130
K. S. Mbeke, O. Hili
{"title":"Estimation of a stationary multivariate ARFIMA process","authors":"K. S. Mbeke, O. Hili","doi":"10.16929/AS/1717.130","DOIUrl":"https://doi.org/10.16929/AS/1717.130","url":null,"abstract":"In this note, we consider an m-dimensional stationary multivariate long memory ARFIMA (AutoRegressive Fractionally Integrated Moving Average) process, which is defined as : A ( L ) D ( L ) ( y 1 ( t ),..., y m ( t ))' = B ( L ) ( ∈ 1 ( t ),..., ∈ m ( t ))', where M ' denotes the transpose of the matrix M . We determine the minimum Hellinger distance estimator (MHDE) of the parameters of a stationary multivariate long memory ARFIMA. This method is based on the minimization of the Hellinger distance between the random function of f n (.) and a theoretical probability density f θ (.). We establish, under some assumptions, the almost sure convergence of the estimator and its asymptotic normality. Keywords: Stationary Multivariate ARFIMA process; Estimation; Long memory; Minimum Hellinger distance AMS 2010 Mathematics Subject Classification: 62F12, 62H12","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121393447","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: 2
A Theil-like class of inequality measures, its asymptotic normality theory and applications 一类类theil不等式测度及其渐近正态性理论与应用
Afrika Statistika Pub Date : 2018-07-20 DOI: 10.16929/AS/1699.129
Pape Djiby Mergane, T. A. Kpanzou, D. Ba, G. Lo
{"title":"A Theil-like class of inequality measures, its asymptotic normality theory and applications","authors":"Pape Djiby Mergane, T. A. Kpanzou, D. Ba, G. Lo","doi":"10.16929/AS/1699.129","DOIUrl":"https://doi.org/10.16929/AS/1699.129","url":null,"abstract":"In this paper, we consider a coherent theory about the asymptotic representations for a family of inequality indices called Theil-Like Inequality Measures (TLIM), within a Gaussian field. The theory uses the functional empirical process approach. We provide the finite-distribution and uniform asymptotic normality of the elements of the TLIM class in a unified approach rather than in a case by case one. The results are then applied to some UEMOA countries databases.","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121350681","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
Log-Exponential Power Distribution for Accelerated Failure Time Model in Survival Analysis and Its Application 生存分析中加速失效时间模型的对数指数功率分布及其应用
Afrika Statistika Pub Date : 1900-01-01 DOI: 10.16929/as/2021.2587.175
A. Olosunde, Chidimma Ejiofor
{"title":"Log-Exponential Power Distribution for Accelerated Failure Time Model in Survival Analysis and Its Application","authors":"A. Olosunde, Chidimma Ejiofor","doi":"10.16929/as/2021.2587.175","DOIUrl":"https://doi.org/10.16929/as/2021.2587.175","url":null,"abstract":"We proposed the log-exponential power density function as baseline distribution for accelerated failure time model (AFT) used in analysis of survival data with covariates. This model generalizes the log-normal and some exponential family due to flexibility at the tail region. It has log-concavity property, accommodates the four basic shapes of hazard function which is an attractive property compared with other distributions that cannot accommodate same. The model's goodness of fit relative to some existing models was tested using data from chronic liver disease patients monitored at Obafemi Awolowo University Teaching Hospital, Ile-Ife","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115079386","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
A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function 动态马尔可夫状态切换非对称GARCH模型及其累积脉冲响应函数
Afrika Statistika Pub Date : 1900-01-01 DOI: 10.16929/as/2021.2537.173
G. Sema, M. Konté, A. Diongue
{"title":"A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function","authors":"G. Sema, M. Konté, A. Diongue","doi":"10.16929/as/2021.2537.173","DOIUrl":"https://doi.org/10.16929/as/2021.2537.173","url":null,"abstract":"In this paper, we consider the Markov regime-switching GJR-GARCH(1,1) model to capture both the cumulative impulse response and the asymmetry of the dynamic behavior of financial market volatility in stationary and explosive states. The model can capture regime shifts in volatility between two regimes as well as the asymmetric response to negative and positive shocks. A Monte Carlo simulation is conducted to validate the main theory and find that the regime-switching GJR-GARCH model performs better than the standard GJR-GARCH model. Applications to Brazilian stock market data show that the proposed model performs well in terms of cumulative impulse response.","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115210205","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
Bootstrap Bartlett Adjustment on Decomposed Variance-Covariance Matrix of Seemingly Unrelated Regression Model 似不相关回归模型分解方差-协方差矩阵的自举Bartlett平差
Afrika Statistika Pub Date : 1900-01-01 DOI: 10.16929/as/2019.1891.140
Oluwayemisi O Alaba, A. Lawal
{"title":"Bootstrap Bartlett Adjustment on Decomposed Variance-Covariance Matrix of Seemingly Unrelated Regression Model","authors":"Oluwayemisi O Alaba, A. Lawal","doi":"10.16929/as/2019.1891.140","DOIUrl":"https://doi.org/10.16929/as/2019.1891.140","url":null,"abstract":"We investigated hypothesis testing in Seemingly Unrelated Regression (SUR) using Log Likelihood Ratio (LLR) test. The asymptotic distribution of this statistic is well documented in literature to have substantial inaccuracy by an order of magnitude leading to the rejection of too many true null hypotheses. Bartlett adjustment of Barndorff and Blaesild and Efron’s bootstrap methods were considered to provide more accurate significance level to the distribution. Simulation results from the partitioned variance-covariance matrix showed that the lower triangular matrix performed better than the upper triangular matrix. The Bartlett method of Barndorff and Blaesild provided better significance value than the bootstrap method.","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133651748","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
Asset Liability Management for the Parliamentary Pension Scheme of Uganda by Stochastic Programming 乌干达议会养老金计划的随机规划资产负债管理
Afrika Statistika Pub Date : 1900-01-01 DOI: 10.16929/as/2021.2689.179
Herbert Mukalazi, T. Larsson, Kasozi Juma, Mayambala Fred
{"title":"Asset Liability Management for the Parliamentary Pension Scheme of Uganda by Stochastic Programming","authors":"Herbert Mukalazi, T. Larsson, Kasozi Juma, Mayambala Fred","doi":"10.16929/as/2021.2689.179","DOIUrl":"https://doi.org/10.16929/as/2021.2689.179","url":null,"abstract":"We develop a model for asset liability management of pension funds, which is solved by stochastic programming techniques. Using data provided by the Parliamentary Pension Scheme of Uganda, we obtain the optimal investment policies.Randomly sampled scenario trees using the mean, and covariance structure of the return distribution are used for generating the coefficients of the stochastic program. Liabilities are modelled by remaining years of life expectancy and guaranteed period for monthly pension.We obtain the funding situation of the scheme at each stage under three different asset investment limits.","PeriodicalId":430341,"journal":{"name":"Afrika Statistika","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133347646","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: 2
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