摘要:

Quantile functions associated with bivariate copulas are considered. Some of their structural properties are studied. Quantile functions allow one to express the cdf of the random variableC(X, Y), where (X, Y) is distributed asC(x, y) and whereCis a copula. Quantile functions provide also a simple algorithm for simulating random observations.

ISSN:0361-0918    

DOI:10.1080/03610910008813608

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

The proportional hazards regression model of Cox(1972) is widely used in analyzing survival data. We examine several goodness of fit tests for checking the proportionality of hazards in the Cox model with two-sample censored data, and compare the performance of these tests by a simulation study. The strengths and weaknesses of the tests are pointed out. The effects of the extent of random censoring on the size and power are also examined. Results of a simulation study demonstrate that Gill and Schumacher's test is most powerful against a broad range of monotone departures from the proportional hazards assumption, but it may not perform as well fail for alternatives of nonmonotone hazard ratio. For the latter kind of alternatives, Andersen's test may detect patterns of irregular changes in hazards.

ISSN:0361-0918    

DOI:10.1080/03610910008813609

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

The traditional design procedure for selecting the parameters of EWMA charts is based on the average run length (ARL). It is shown that for some types of EWMA charts, such a procedure may lead to high probability of a false out-of-control signal. An alternative procedure based on both the ARL and the standard deviation of run length (SRL) is recommended. It is shown that, with the new procedure, the EWMA chart using its exact variance can detect moderate and large shifts of the process mean faster.

ISSN:0361-0918    

DOI:10.1080/03610910008813610

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

Yang (1998) proposes a new class of scale estimators for the censored two sample accelerated life model. Unlike most previous results, Yang's estimators have the property that their asymptotic variance can be easily and reliably estimated, and the inferences on the scale parameter can be easily obtained. In this article, we further study the estimation function of Yang. Several new classes of weights and a new slope estimate are considered. Throughout extensive numerical studies, it was found that a new weight together with the use of the new slope results in an estimating function that improved the choices recommended by Yang.

ISSN:0361-0918    

DOI:10.1080/03610910008813611

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

This paper compares least squares (LS)/maximum likelihood (ML) and generalised method of moments (GMM) estimation in a simple. Gaussian autoregressive of order one (AR(1)) model. First, we show that the usual LS/ML estimator is a corner solution to a general minimisation problem that involves two moment conditions, while the new GMM we devise is not. Secondly, we examine asymptotic and finite sample properties of the new GMM estimator in comparison to the usual LS/ML estimator in a simple AR(1) model. For both stable and unstable (unit root) specifications, we show asymptotic equivalence of the distributions of the two estimators. However, in finite samples, the new GMM estimator performs better.

ISSN:0361-0918    

DOI:10.1080/03610910008813612

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

We present a simplified form of a univariate identification approach for time series models based on the residual white noise autoregressive order determination criterion and linear estimation methods. We also show how the procedure can be used to identify the degree of differencing necessary to induce stationarity in data. The performance of this approach is also contrasted with Portmanteau tests for detection of white noise residuals and with Dickey-Fuller and Bayesian procedures for detection of unit roots. Simulated and economic data are used to demonstrate the capabilities of the modified approach.

ISSN:0361-0918    

DOI:10.1080/03610910008813613

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

Time-irreversibility, asymmetry of the distribution, and the occurrence of sudden bursts are considered, amongst others, as non-linear features in time series modeling. The implication is often made that time series showing these features must be analyzed using non-linear models. In contrast, this paper shows that time-irreversible asymmetric time series showing certain types of sudden bursts may be generated by linear models with adequate input sequences. Thus some non-linear time series features may be caused by the pattern in the input sequence rather than by non-linearity in the model. Examples are considered to illustrate the situation.

ISSN:0361-0918    

DOI:10.1080/03610910008813614

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

For continuous inspection schemes in an automated manufacturing environment, a useful alternative to the traditionalpornpchart is the Run-Length control chart, which is based on plotting the run lengths (the number of conforming items) between successive nonconforming items. However, its establishment relies on the error-free inspection assumption, which can seldom be met in practice. In this paper, the effects of inspection errors on the Run-Length chart are investigated based on that these errors are assumed known. The actual false alarm probability and the average number inspected (ANI) in the presence of inspection errors are studied. This paper also presents the adjusted control limits for the Run-Length chart, which can provide much closer ANI curves to the ones obtained under error-free inspection.

ISSN:0361-0918    

DOI:10.1080/03610910008813615

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

Considerk(k≥ 1) independent Weibull populations and a control population which is also Weibull. The problem of identifying which of thesekpopulations are better than the control using shape parameter as a criterion is considered. We allow the possibility of making at mostm(0 ≤m<k) incorrect identifications of better populations. This allowance results in significant savings in sample size. Procedures based on simple linear unbiased estimators of the reciprocal of the shape parameters of these populations are proposed. These procedures can be used for both complete and Type II-censored samples. A related problem of confidence intervals for the ratio of ordered shape parameters is also considered. Monte Carlo simulations as well as both chi-square and normal approximations to the solutions are obtained.

ISSN:0361-0918    

DOI:10.1080/03610910008813616

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

ISSN:0361-0918    

DOI:10.1080/03610910008813597

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor