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Bayesian inference for long memory term structure models 长记忆期限结构模型的贝叶斯推理
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2024-01-02 DOI: 10.1080/00949655.2023.2299938
Fernanda Valente, Márcio Laurini
{"title":"Bayesian inference for long memory term structure models","authors":"Fernanda Valente, Márcio Laurini","doi":"10.1080/00949655.2023.2299938","DOIUrl":"https://doi.org/10.1080/00949655.2023.2299938","url":null,"abstract":"In this study, we propose a novel adaptation of the Dynamic Nelson–Siegel term structure model, incorporating long memory properties to enhance its forecasting accuracy. Our approach involves model...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"129 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2024-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139084198","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Permutation tests of multivariate location using data depth 利用数据深度对多元位置进行置换检验
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-29 DOI: 10.1080/00949655.2023.2298855
Sakineh Dehghan
{"title":"Permutation tests of multivariate location using data depth","authors":"Sakineh Dehghan","doi":"10.1080/00949655.2023.2298855","DOIUrl":"https://doi.org/10.1080/00949655.2023.2298855","url":null,"abstract":"We provide two classes of affine invariant statistics based on data depth to test the equality of mean vectors in multivariate paired data. The proposed tests are defined based on the depth values ...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139067450","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation of Rényi entropy for lifetime uncertainty 寿命不确定性的雷尼熵估计
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-29 DOI: 10.1080/00949655.2023.2298862
Silpa Subhash, S.M. Sunoj, N. Unnikrishnan Nair
{"title":"Estimation of Rényi entropy for lifetime uncertainty","authors":"Silpa Subhash, S.M. Sunoj, N. Unnikrishnan Nair","doi":"10.1080/00949655.2023.2298862","DOIUrl":"https://doi.org/10.1080/00949655.2023.2298862","url":null,"abstract":"A system can be considered to be reliable if it operates successfully for a long period of time and has fewer uncertainties during its lifespan. In other words, lower the uncertainty of a random va...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"47 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139078867","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models 高斯隐马尔可夫模型的边际似然和数据增强 MCMC 算法比较
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-22 DOI: 10.1080/00949655.2023.2294098
Daniele Tancini, Francesco Bartolucci, S. Pandolfi
{"title":"A comparison between marginal likelihood and data augmented MCMC algorithms for Gaussian hidden Markov models","authors":"Daniele Tancini, Francesco Bartolucci, S. Pandolfi","doi":"10.1080/00949655.2023.2294098","DOIUrl":"https://doi.org/10.1080/00949655.2023.2294098","url":null,"abstract":"","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"19 13","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138947233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimation of multicomponent stress–strength reliability for exponentiated Gumbel distribution 指数化 Gumbel 分布的多成分应力强度可靠性估算
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-21 DOI: 10.1080/00949655.2023.2294104
Manoj Chacko, Ashly Elizabeth Koshy
{"title":"Estimation of multicomponent stress–strength reliability for exponentiated Gumbel distribution","authors":"Manoj Chacko, Ashly Elizabeth Koshy","doi":"10.1080/00949655.2023.2294104","DOIUrl":"https://doi.org/10.1080/00949655.2023.2294104","url":null,"abstract":"In this paper, the stress–strength reliability Rs,k of a multicomponent s-out-of-k system for exponentiated Gumbel distribution is considered. An s-out-of-k system means a system with total k compo...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138824519","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Identifying the time of step change in process parameter for Maxwell distribution 确定麦克斯韦分布工艺参数的阶跃变化时间
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-20 DOI: 10.1080/00949655.2023.2294949
Rupali A. Kapase, Vikas B. Ghute
{"title":"Identifying the time of step change in process parameter for Maxwell distribution","authors":"Rupali A. Kapase, Vikas B. Ghute","doi":"10.1080/00949655.2023.2294949","DOIUrl":"https://doi.org/10.1080/00949655.2023.2294949","url":null,"abstract":"Due to the quick identification of the root causes for an out-of-control process, the estimation of exact time of a process change would be helpful thing for the process improvement. In contrast to...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138824810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multiple imputation of missing data with skip-pattern covariates: a comparison of alternative strategies 使用跳过模式协变量对缺失数据进行多重估算：替代策略比较
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-18 DOI: 10.1080/00949655.2023.2293124
Guangyu Zhang, Yulei He, Bill Cai, Chris Moriarity, Hee-Choon Shin, Van Parsons, Katherine E. Irimata
{"title":"Multiple imputation of missing data with skip-pattern covariates: a comparison of alternative strategies","authors":"Guangyu Zhang, Yulei He, Bill Cai, Chris Moriarity, Hee-Choon Shin, Van Parsons, Katherine E. Irimata","doi":"10.1080/00949655.2023.2293124","DOIUrl":"https://doi.org/10.1080/00949655.2023.2293124","url":null,"abstract":"Multiple imputation (MI) is a widely used approach to address missing data issues in surveys. Variables included in MI can have various distributional forms with different degrees of missingness. H...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"106 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138715912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Special issue linStat: sequential projection pursuit 特刊 linStat：顺序投影追求
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-14 DOI: 10.1080/00949655.2023.2294101
Cinzia Franceschini, Nicola Loperfido
{"title":"Special issue linStat: sequential projection pursuit","authors":"Cinzia Franceschini, Nicola Loperfido","doi":"10.1080/00949655.2023.2294101","DOIUrl":"https://doi.org/10.1080/00949655.2023.2294101","url":null,"abstract":"Friedman and Tukey (1974, A projection pursuit algorithm for exploratory data analysis. IEEE Trans Comput. C-23:881–890), in their seminal paper, coined the term projection pursuit to denote a sequ...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"24 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138689016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Regularized estimation of Kronecker structured covariance matrix using modified Cholesky decomposition 利用修正的 Cholesky 分解对 Kronecker 结构协方差矩阵进行正则化估计
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-11 DOI: 10.1080/00949655.2023.2291536
Deliang Dai, Chengcheng Hao, Shaobo Jin, Yuli Liang
{"title":"Regularized estimation of Kronecker structured covariance matrix using modified Cholesky decomposition","authors":"Deliang Dai, Chengcheng Hao, Shaobo Jin, Yuli Liang","doi":"10.1080/00949655.2023.2291536","DOIUrl":"https://doi.org/10.1080/00949655.2023.2291536","url":null,"abstract":"In this paper, we study a Kronecker structured model for covariance matrices when data are matrix-valued. Using the modified Cholesky decomposition for Kronecker structured covariance matrix, we pr...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"7 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138688779","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dealing with missing observations in the outcome and covariates in randomized controlled trials 处理随机对照试验中结果和协变量的缺失观测数据
IF 1.2 4区 数学
Journal of Statistical Computation and Simulation Pub Date : 2023-12-08 DOI: 10.1080/00949655.2023.2291533
Mutamba T. Kayembe, Frans E. S. Tan, Gerard J. P. van Breukelen, Shahab Jolani
{"title":"Dealing with missing observations in the outcome and covariates in randomized controlled trials","authors":"Mutamba T. Kayembe, Frans E. S. Tan, Gerard J. P. van Breukelen, Shahab Jolani","doi":"10.1080/00949655.2023.2291533","DOIUrl":"https://doi.org/10.1080/00949655.2023.2291533","url":null,"abstract":"This article compares different missing data methods in randomized controlled trials, specifically addressing cases involving joint missingness in the outcome and covariates. In the existing litera...","PeriodicalId":50040,"journal":{"name":"Journal of Statistical Computation and Simulation","volume":"12 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138552751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","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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