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Electronic Journal of Applied Statistical Analysis最新文献

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Longevity risk: a methodology for assessing in a Solvency II perspective. 寿命风险:偿付能力II视角下的评估方法。
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-10-14 DOI: 10.1285/i20705948v11n2p369
Giovanna Di Lorenzo, Massimo Politano
{"title":"Longevity risk: a methodology for assessing in a Solvency II perspective.","authors":"Giovanna Di Lorenzo, Massimo Politano","doi":"10.1285/i20705948v11n2p369","DOIUrl":"https://doi.org/10.1285/i20705948v11n2p369","url":null,"abstract":"This paper considers the assessment of longevity risk in the context of alongevity indexed life annuities. The framework is set up in a way that accommodatesa variety of regulatory regimes such as Solvency II as well aslocal actuarial practice, attempting to bridge the gap between academia andpractice. In the following the authors compare the results obtained in a SolvencyII perspective with those obtained with a partial internal model. Thepredictions contained in both models are compared with the real probabilitiesin order to evaluate the deviations due to life expectancy improvements.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"369-384"},"PeriodicalIF":0.7,"publicationDate":"2018-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/i20705948v11n2p369","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43050102","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
Bivariate Normal-Power Series Class of Distributions: Model, Properties and Applications 二元正态幂级数类分布:模型、性质及应用
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-10-14 DOI: 10.1285/I20705948V11N2P546
E. Mahmoudi, H. Mahmoodian, Ashkan Khalifeh
{"title":"Bivariate Normal-Power Series Class of Distributions: Model, Properties and Applications","authors":"E. Mahmoudi, H. Mahmoodian, Ashkan Khalifeh","doi":"10.1285/I20705948V11N2P546","DOIUrl":"https://doi.org/10.1285/I20705948V11N2P546","url":null,"abstract":"Recently Mahmoudi and Mahmoodian (2017a) introduced a new class of distributions which obtain by compounding normal and power series distributions. This class of distributions are very flexible and can be used quite effectively to analysis skewd data. In this paper we proposed a new bivariate class of distributions with the normal-power series distributions marginals.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"546-576"},"PeriodicalIF":0.7,"publicationDate":"2018-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N2P546","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41391693","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
Robust estimation of the location and the scale parameters of shifted Gompertz distribution 移位Gompertz分布的位置和尺度参数的鲁棒估计
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P92
D. Aydın, Fatma Gül Akgül, B. Şenoğlu
{"title":"Robust estimation of the location and the scale parameters of shifted Gompertz distribution","authors":"D. Aydın, Fatma Gül Akgül, B. Şenoğlu","doi":"10.1285/I20705948V11N1P92","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P92","url":null,"abstract":"In this study, we consider the estimation of the location parameter  and the scale parameter  of the shifted Gompertz ( SG ) distribution. We obtain the closed form estimators of these parameters by using the modified maximum likelihood ( MML ) methodology originated by Tiku (1967). We also compare the efficiencies of these estimators with the well-known and widely used least squares ( LS ) and maximum likelihood ( ML ) estimators via Monte-Carlo simulation study in terms of bias, mean square error ( MSE ) and deficiency ( Def ) criteria. In addition, we evaluate the performances of the proposed estimators when the data contains the outliers or is contaminated. In other words, the robustness properties of the estimators are investigated. A real data set is analyzed to demonstrate the implementation of the estimation methods at the end of the study.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"92-107"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P92","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42110228","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
Basu-Dhar's bivariate geometric distribution in presence of censored data and covariates: some computational aspects 存在截尾数据和协变量的Basu-Dhar二元几何分布：一些计算方面
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P108
R. P. Oliveira, J. Achcar
{"title":"Basu-Dhar's bivariate geometric distribution in presence of censored data and covariates: some computational aspects","authors":"R. P. Oliveira, J. Achcar","doi":"10.1285/I20705948V11N1P108","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P108","url":null,"abstract":"Some computational aspects to obtain classical and Bayesian inferences for the Basu and Dhar (1995) bivariate geometric distribution in presence of censored data and covariates are discussed in this paper. The posterior summaries of interest are obtained using standard existing MCMC (Markov Chain Monte Carlo) simulation methods available in popular free softwares  as the OpenBugs software and the R software. Numerical illustrations are introduced considering simulated and real datasets showing that the use of discrete bivariate distributions may be a good alternative to the use of continuous bivariate distributions, in many areas of application.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"108-136"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P108","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42405887","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: 8
Long-term constant acceleration can be sustained freely in running via stochastic short-term corrections 长期恒定加速度可以通过随机短期修正在运行中自由保持
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P269
V. Billat, J. Koralzstein, S. Jacquot, N. Brunel
{"title":"Long-term constant acceleration can be sustained freely in running via stochastic short-term corrections","authors":"V. Billat, J. Koralzstein, S. Jacquot, N. Brunel","doi":"10.1285/I20705948V11N1P269","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P269","url":null,"abstract":"In the same way that most of the robots and advanced mobile machines are designed to optimize their energy consumption or the smoothness of their motions, it has been demonstrated that competitive runners tend to exhibit smoother strides than recreational runners during running and fast walking. Here, we describe the statistical mechanics of Humans trying to self-pace a constant acceleration,  by studying the statistical properties of the accelerations of the runner's center of mass. Furthermore, it has been checked that this could be even achieved in a state of fatigue during exhaustive 3 self-pace ramp runs. For that purpose, we analyse a small sample of 3 male and 2 female middle-aged, recreational runners ran, in random order, three exhaustive self-paced acceleration trials (SAT) perceived to be \"soft\", \"medium\" or \"hard\".  A statistical analysis shows that Humans can be able to self-pace constant accelerationin some exhaustive runs, by continuously adjusting the instantaneous accelerations. The variations of accelerationsaround the mean are  ARMA stationary processes, which are similar,whichever acceleration levels and runners. The rangeof constant acceleration is very similar between runners and withinthe acceleration level.  This work is the first stepfor understanding the Human optimisation of self-pace processes inexhaustive tasks such as running until exhaustion.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"269-295"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P269","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45922842","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
Shrinkage estimators for gamma regression model 回归模型的收缩估计
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P253
Z. Algamal
{"title":"Shrinkage estimators for gamma regression model","authors":"Z. Algamal","doi":"10.1285/I20705948V11N1P253","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P253","url":null,"abstract":"The ridge regression model has been consistently demonstrated to be an attractive shrinkage method to reduce the effects of multicollinearity. The gamma regression model is a well-known model in application when the response variable positively skewed. However, it is known that multicollinearity negatively affects the variance of maximum likelihood estimator of the gamma regression coefficients. To address this problem, a gamma ridge regression model (GRRM) has been proposed. The performance of GRRM is fully depending on the shrinkage parameter. In this paper, numerous selection methods of the shrinkage parameter are explored and investigated. In addition, their predictive performances are considered. Our Monte Carlo simulation results suggest that some estimators can bring significant improvement relative to others, in terms of mean squared error and prediction mean squared error.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"253-268"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P253","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44606744","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: 31
Comparison of classic and novel change point detection methods for time series with changes in variance 方差变化时间序列的经典与新型变化点检测方法的比较
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P208
D. Efrosinin, S. Breitenberger, Nicole Hofmann, W. Auer
{"title":"Comparison of classic and novel change point detection methods for time series with changes in variance","authors":"D. Efrosinin, S. Breitenberger, Nicole Hofmann, W. Auer","doi":"10.1285/I20705948V11N1P208","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P208","url":null,"abstract":"Segmentation or change point detection is a very common topic in time series analysis, anomaly detection and pattern recognition. In our previous paper the time series generated by sensors with 3D accelerometers were analysed. It was noticed that such series consist of segments of independent and correlated observations. Hence the appropriate methods for change point detection for both data types must be implemented simultaneously.This paper provides an auxiliary comparison analysis which we intend to implement later for the above mentioned acceleration data.The available methods require usually a long execution time, so that it is time-consuming if several methods should be compared. In the framework of the present publication we want to give additional help for detecting a suitable change point detection method and for finding a good parameter setting. Our analysis is performed on simulated time series, that are normally distributed with constant but unknown mean and changes in variance.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"208-234"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P208","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44920544","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
Comparisons of ten corrections methods for t-test in multiple comparisons via Monte Carlo study 基于蒙特卡罗研究的十种t检验校正方法在多重比较中的比较
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P74
Vinícius Basseto Félix, A. Menezes
{"title":"Comparisons of ten corrections methods for t-test in multiple comparisons via Monte Carlo study","authors":"Vinícius Basseto Félix, A. Menezes","doi":"10.1285/I20705948V11N1P74","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P74","url":null,"abstract":"Multiple comparisons of treatments means are common in several fields of knowledge. The Student's t-test is one of the first procedures to be used in multiple comparisons, however the emph{p}-values associated with it are inaccurate, since there is no control on the family-wise Type I error. To solve this problem several corrections were developed. In this work, based on Monte Carlo simulations, we evaluated the t-test and the following corrections: Bonferroni, Holm, Hochberg, Hommel, Holland, Rom, Finner, Benjamini–Hochberg, Benjamini–Yekutieli and Li with respect to their power and Type I error rate. The study was lead varying the sample size, the sample distribution and the degree of variability. For all instances we regarded three balanced treatments and the probability distributions considered were: Gumbel, Logistic and Normal. Although the corrections were approaching when the sample size increased, our study reveals that the BH correction provides the best family-wise Type I error rate and the second overall most powerful correction.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"74-91"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P74","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49319852","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: 10
Comparison of regression models under multi-collinearity 多元共线性下回归模型的比较
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/I20705948V11N1P340
H. B. Lakshmi, M. Gallo, R. Srinivasan
{"title":"Comparison of regression models under multi-collinearity","authors":"H. B. Lakshmi, M. Gallo, R. Srinivasan","doi":"10.1285/I20705948V11N1P340","DOIUrl":"https://doi.org/10.1285/I20705948V11N1P340","url":null,"abstract":"Multicollinearity is a major problem in linear regression analysis and several methods exists in the literature to deal with the same. Ridge regression is one of the most popular methods to overcome the problem followed by Generalized Ridge Regression (GRR) and Directed Ridge Regression (DRR). However, there exist many computational issues in using the above methods. Partial Ridge Regression (PRR) method is a computationally viable approach by selectively adjusting the ridge constants using the cutoff criteria. In this paper, the performance of the Partial Ridge Regression approach has been evaluated through a simulation study based on the mean squared error (MSE) criterion. Comparing with other methods of ridge regression, the study indicates that the Partial ridge regression by cutoff criteria performs better than the existing methods.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"340-368"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/I20705948V11N1P340","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41891437","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
Predicting energy Ccnsumption using artificial neural networks: a case study of the UAE 利用人工神经网络预测能源消耗:以阿联酋为例
IF 0.7
Electronic Journal of Applied Statistical Analysis Pub Date : 2018-04-27 DOI: 10.1285/i20705948v11n1p137
S. Eletter, Ghaleb A. El Refae, Abdelhafid K. Belarbic, Jamal Abu-Rashid
{"title":"Predicting energy Ccnsumption using artificial neural networks: a case study of the UAE","authors":"S. Eletter, Ghaleb A. El Refae, Abdelhafid K. Belarbic, Jamal Abu-Rashid","doi":"10.1285/i20705948v11n1p137","DOIUrl":"https://doi.org/10.1285/i20705948v11n1p137","url":null,"abstract":"Predicting energy consumption is very important for improving resource planning and for more efficient production. This study uses artificial neural network (ANN) models to predict energy consumption in the United Arab Emirates (UAE). The multilayer perceptron model (MLP) and Radial Basis Function (RBF) were used for this purpose. Historical input and output data related to the long-term energy consumption in the UAE were used for training, validation, and testing. The developed neural network models were compared to find the most suitable model with high accuracy.","PeriodicalId":44770,"journal":{"name":"Electronic Journal of Applied Statistical Analysis","volume":"11 1","pages":"137-154"},"PeriodicalIF":0.7,"publicationDate":"2018-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1285/i20705948v11n1p137","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41909832","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
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