摘要:

There exists a significant body of empirical evidence indicating that the underlying distribution from which samples of stock returns have been drawn may reasonably be characterized as stable Paretian with characteristic exponent less than two. This paper employs the methodology of Woxsdale (1975) to calculate five-decimal-place cumulative distribution function (c.d.f.) values for standardized stable distributions with characteristic exponents alpha [α] between one and two. The standardization is that originally proposed by Fama and Roll (1968). In addition to extending the Fama and Roll four decimal c.d.f. table to five decimal places, the current paper demonstrates that the Worsdale procedure using numerical integration techniques readily overcomes the computer overflow problems found by Fama and Roll in employing the gamma expansions of Bergstrom (1952).

ISSN:0361-0918    

DOI:10.1080/03610919208813030

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

The experimental design to model the response of a mixture experiment in three blending components in the presence of process variables is considered. Czitrom (1988) gave an experimental design in two orthogonal blocks of blends that was "possibly" D-Optimal in the case of arbitrary restrictions on the blending component proportions. It will be shown that the design is indeed D-Optimal. The pair of orthogonal D-Optimal blocks of blends can be used with an arbitrary number of process variables and require a reduced number of observations

ISSN:0361-0918    

DOI:10.1080/03610919208813031

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

We describe a new discrete probability distribution with several useful properties for the analysis and modelling of survival processes and dispersion. First, the model can be used to describe survival processes with monotonically decreasing, constant, or increasing hazard functions, simply by tuning one parameter. Also, the model can describe counts that are overdispersed (contagious) or underdispersed, since the variance can exceed, equal, or be less than the mean. All of these properties are demonstrated both theoretically and with ecological examples, using ad-hoc parameter estimation techniques. Finally, the equations are tractable compared with, say, the negative binomial, and easily incorporated into larger models.

ISSN:0361-0918    

DOI:10.1080/03610919208813032

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

A detailed simulation study is reported on the application of l1:estimations to a seasonal moving average model. It is found that the asymptotic normal distribution is a nonapproximation to the finite sample distribution. However, the expected benefits of l1:estimation relative to l2:are partially realised for nonnormal innovative distributions.

ISSN:0361-0918    

DOI:10.1080/03610919208813033

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

For many applications, particularly in allometry and astronomy, only a set of correlated data points (xi:, yi:) is available to fit a line. The underlying joint distribution is unknown, and it is not clear which variable is 'dependent' and which is 'independent'. In such cases, the goal is an intrinsic functional relationship between the variables rather than E(Y|X), and the choice of leastsquares line is ambiguous. Astronomers and biometricians have used as many as six different linear regression methods for this situation:the two ordinary least-squares (OLS) lines, Pearson's orthogonal regression, the OLS-bisector, the reduced major axis and the OLS-mean. The latter four methods treat the X and Y variables symmetrically. Series of simulations are described which compared the accuracy of regression estimators and their asymptotic variances for all six procedures. General relations between the regression slopes are also obtained. Among the symmetrical methods, the angular bisector of the OLS lines demonstrates the best performance. This line is used by astronomers and might be adopted for similar problems in biometry.

ISSN:0361-0918    

DOI:10.1080/03610919208813034

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

The test for comparing two proportions (based on the use of independent samples) is one of the best-known in statistics, and at the same time is the one that generates most disagreement, both in the asymptotic and non-asymptotic versions. The present article offers a critical review of the former, grouping them by "families", points out their theoretical relation to the latter, and details the main errors that have given rise to lop-sided arguments or have resulted in unsound conclusions. It also selects the optimal known versions (from the point of view mentioned) and their conditions of validity. Finally, it shows the main gaps that exist at present, and suggests how to solve them.

ISSN:0361-0918    

DOI:10.1080/03610919208813035

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

We present an algorithm to test if a continuous random variable is n-divisible. Through the algorithm, testing for divisibility is put in the format of numerical analysis amenable to computer processing. This is illustrated with the uniform distribution which is known to be non-divisible. New evidence and new proofs arising out of the insight developed with this style are given. This algorithm, along with the analytical methods should provide much needed versatility to tackle problems in this area. The fact that Bondesson [1987] works on the divisibility of the Half Cauchy Distribution gives evidence that there are many distributions which can use the combination of the analytical and the algorithmic tools to settle the divisibility issue.

ISSN:0361-0918    

DOI:10.1080/03610919208813036

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

摘要:

The present paper derives the relative efficiency of a parameter for the M/G/1 queueing system based on reduced and full likelihood functions. Monte Carlo simulations were carried out to study the finite sample properties for estimating the parameters of a M/G/1 queueing system. The simulation runs were conducted using various traftic intensities with increaseing sample sizes. The simulation results indicate that the loss in efficiency is quite small due to the use of a reduced likelihood function approach for estimating the parameter instead of the full likelihood, even for a moderate sample size of 50

ISSN:0361-0918    

DOI:10.1080/03610919208813037

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor

ISSN:0361-0918    

DOI:10.1080/03610919208813019

出版商:Marcel Dekker, Inc.    

年代:1992

数据来源: Taylor