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Communications in Statistics-Simulation and Computation最新文献

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GARCH based value-at-risk assessment when the observed process is iid 观测过程为 iid 时基于 GARCH 的风险价值评估
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-09-05 DOI: 10.1080/03610918.2024.2397549
Salah Khardani, Hamdi Raïssi, Camila Villegas
{"title":"GARCH based value-at-risk assessment when the observed process is iid","authors":"Salah Khardani, Hamdi Raïssi, Camila Villegas","doi":"10.1080/03610918.2024.2397549","DOIUrl":"https://doi.org/10.1080/03610918.2024.2397549","url":null,"abstract":"In this paper, we study the estimation of Value-at-Risk (VaR) using GARCH models when the observed process is actually iid. Such an overfitting situation entails that the almost sure consistency of...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"20 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142269451","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 new Kolmogorov-Smirnov test based on representative points in Weibull distributions 基于 Weibull 分布代表点的新 Kolmogorov-Smirnov 检验
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-09-04 DOI: 10.1080/03610918.2024.2391871
Sirao Wang, Jiajuan Liang, Heng Peng, Huajun Ye
{"title":"A new Kolmogorov-Smirnov test based on representative points in Weibull distributions","authors":"Sirao Wang, Jiajuan Liang, Heng Peng, Huajun Ye","doi":"10.1080/03610918.2024.2391871","DOIUrl":"https://doi.org/10.1080/03610918.2024.2391871","url":null,"abstract":"Hypothesis testing for the Weibull distribution always raises attention in the literature. It is challenging especially in small-sample scenarios. In this paper, we propose a new Kolmogorov-Smirnov...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"40 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142259728","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
Interaction screening in high-dimensional multi-response regression via projected distance correlation 通过投影距离相关性进行高维多反应回归中的交互筛选
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-09-02 DOI: 10.1080/03610918.2024.2393691
Lili Liu, Lu Lin, Lei Liu
{"title":"Interaction screening in high-dimensional multi-response regression via projected distance correlation","authors":"Lili Liu, Lu Lin, Lei Liu","doi":"10.1080/03610918.2024.2393691","DOIUrl":"https://doi.org/10.1080/03610918.2024.2393691","url":null,"abstract":"Interaction screening for high-dimensional data is a challenging issue, especially for the strongly correlated predictors. A new two-stage interaction screening procedure based on the projected dis...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"22 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207898","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
Likelihood-based inference for semi-parametric transformation cure models with interval censored data 基于似然推断的区间普查数据半参数变换治愈模型
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-30 DOI: 10.1080/03610918.2024.2393702
Suvra Pal, Sandip Barui
{"title":"Likelihood-based inference for semi-parametric transformation cure models with interval censored data","authors":"Suvra Pal, Sandip Barui","doi":"10.1080/03610918.2024.2393702","DOIUrl":"https://doi.org/10.1080/03610918.2024.2393702","url":null,"abstract":"A simple yet effective way of modeling survival data with cure fraction is by considering Box-Cox transformation cure model (BCTM) that unifies mixture and promotion time cure models. In this artic...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"10 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207899","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
Number of runs of ones of length exceeding a threshold in a modified binary sequence with locks 带锁的修改二进制序列中长度超过阈值的 1 的运行次数
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-24 DOI: 10.1080/03610918.2024.2392807
Frosso S. Makri, Zaharias M. Psillakis, Spiros D. Dafnis
{"title":"Number of runs of ones of length exceeding a threshold in a modified binary sequence with locks","authors":"Frosso S. Makri, Zaharias M. Psillakis, Spiros D. Dafnis","doi":"10.1080/03610918.2024.2392807","DOIUrl":"https://doi.org/10.1080/03610918.2024.2392807","url":null,"abstract":"Let us consider a sequence of binary (zero-one) trials. A counter registers ones but once an one is registered the mechanism is locked for a fixed number of trials following each registration. On s...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"15 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207903","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 one-chart scheme for joint monitoring of the two parameters of zero-inflated Poisson processes 联合监测零膨胀泊松过程两个参数的单图方案
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-24 DOI: 10.1080/03610918.2024.2391870
Surajit Pal, Susanta Kumar Gauri
{"title":"A one-chart scheme for joint monitoring of the two parameters of zero-inflated Poisson processes","authors":"Surajit Pal, Susanta Kumar Gauri","doi":"10.1080/03610918.2024.2391870","DOIUrl":"https://doi.org/10.1080/03610918.2024.2391870","url":null,"abstract":"The high-quality processes usually have more count of zeros than are expected under chance variation and are commonly modeled by zero-inflated Poisson (ZIP) distribution. A ZIP model has two parame...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"72 4 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207906","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
Simultaneous predictive bands for functional time series using minimum entropy sets 利用最小熵集同时预测功能时间序列带
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-23 DOI: 10.1080/03610918.2024.2391869
Nicolás Hernández, Jairo Cugliari, Julien Jacques
{"title":"Simultaneous predictive bands for functional time series using minimum entropy sets","authors":"Nicolás Hernández, Jairo Cugliari, Julien Jacques","doi":"10.1080/03610918.2024.2391869","DOIUrl":"https://doi.org/10.1080/03610918.2024.2391869","url":null,"abstract":"Functional Time Series (FTS) are sequences of dependent random elements taking values on some functional space. Most of the research on this domain focuses on producing a predictor able to forecast...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"24 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207900","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 study on comparisons of additive regression frailty models to counter heterogeneity: Bayesian strategies and case study 对抗异质性的加法回归虚弱模型比较研究：贝叶斯策略和案例研究
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-23 DOI: 10.1080/03610918.2024.2391874
Shikhar Tyagi, Arvind Pandey, David D. Hanagal, Christophe Chesneau
{"title":"A study on comparisons of additive regression frailty models to counter heterogeneity: Bayesian strategies and case study","authors":"Shikhar Tyagi, Arvind Pandey, David D. Hanagal, Christophe Chesneau","doi":"10.1080/03610918.2024.2391874","DOIUrl":"https://doi.org/10.1080/03610918.2024.2391874","url":null,"abstract":"Historically, the primary goal of conventional survival study methods has been to reduce the frequency of failures over time. If the associated observed and unobserved variables are not known when ...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"7 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207905","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
Bivariate robust control charts for individual observations 针对单个观测值的双变量稳健控制图
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-22 DOI: 10.1080/03610918.2024.2391866
Vijayalakshmi S., Nicy Sebastian, Sajesh T. A.
{"title":"Bivariate robust control charts for individual observations","authors":"Vijayalakshmi S., Nicy Sebastian, Sajesh T. A.","doi":"10.1080/03610918.2024.2391866","DOIUrl":"https://doi.org/10.1080/03610918.2024.2391866","url":null,"abstract":"This article introduces a novel robust Shewhart-type control chart designed for monitoring the location of a bivariate process using the Comedian and Sn Covariance estimators. The process of settin...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"83 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207901","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
Outlier robust orthogonal uniform composite designs for third-order models 三阶模型的离群稳健正交均匀复合设计
IF 0.9 4区 数学
Communications in Statistics-Simulation and Computation Pub Date : 2024-08-19 DOI: 10.1080/03610918.2024.2386559
Abimibola Victoria Oladugba, Brenda Mbouamba Yankam
{"title":"Outlier robust orthogonal uniform composite designs for third-order models","authors":"Abimibola Victoria Oladugba, Brenda Mbouamba Yankam","doi":"10.1080/03610918.2024.2386559","DOIUrl":"https://doi.org/10.1080/03610918.2024.2386559","url":null,"abstract":"Outliers are outrageous values that occur in an experiment and can almost be inevitable. The presence of outliers in an experiment can affect the results of a response surface design due to disrupt...","PeriodicalId":55240,"journal":{"name":"Communications in Statistics-Simulation and Computation","volume":"2 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2024-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142207910","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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