摘要:

Copulas are useful devices to explain the dependence structure between variables by eliminating the influence of marginals. In this paper we develop a formula for better understanding of the dependence mechanism hidden in copulas and discuss some approximations on copulas. We explore the copula of multivariate normal distribution in detail and try to reveal interesting features of the class.

ISSN:0361-0918    

DOI:10.1080/03610919008812920

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

When the error terms are autocorrelated, the conventional t-tests for individual regression coefficients mislead us to over-rejection of the null hypothesis. We examine, by Monte Carlo experiments, the small sample properties of the unrestricted estimator ofρand of the estimator ofρrestricted by the null hypothesis. We compare the small sample properties of the Wald, likelihood ratio and Lagrange multiplier test statistics for individual regression coefficients. It is shown that when the null hypothesis is true, the unrestricted estimator ofρis biased. It is also shown that the Lagrange multiplier test using the maximum likelihood estimator ofρperforms better than the Wald and likelihood ratio tests.

ISSN:0361-0918    

DOI:10.1080/03610919008812921

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

Multiple comparison methods are widely implemented in statistical packages and heavily used. To obtain the critical value of a multiple comparison method for a given confidence level, a double integral equation must be solved. Current computer implementations evaluate one double integral foreachcandidate critical value using Gaussian quadrature. Consequently, iterative refinement of the critical value can slow the response time enough to hamper interactive data analysis. However, for balanced designs, to obtain the critical value for multiple comparisons with the best, subset selection, and one-sided multiple comparison with a control, if one regards the inner integral as a function of the outer integration variable, then thisfunctioncan be obtained by discrete convolution using the Fast Fourier Transform (FFT). Exploiting the fact that this function need not be re-evaluated during iterative refinement of the critical value, it is shown that the FFT method obtains critical values at least four times as accurate and two to five times as fast as the Gaussian quadrature method.

ISSN:0361-0918    

DOI:10.1080/03610919008812922

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

This paper studies a procedure for choosing a location test based on estimated asymptotic powers. The estimation of the power uses the bootstrap. At present, practicians often exclusively use the t-test. The procedure proposed in this paper can-depending on the underlying population-lead to a test having much higher power than the t-test.

ISSN:0361-0918    

DOI:10.1080/03610919008812923

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

Chakraborti and Desu (1988) presented a distribution-free procedure for testing that k (≥1) distributions are equal to a control distribution. They compared their procedure, a generalization of the test proposed by Mathisen (1943), to the procedure proposed by Slivka (1970). They asserted that their procedure has shorter expected duration than Slivka's procedure in life-testing experiments where observations become available in an ordered manner. Here it is proven that, in fact, Slivka's procedure has shorter duration in such circumstances. Normal approximations are presented which indicate that their procedure requires a smaller sample size to guarantee a specified power for Lehmann alternatives and proportional hazard alternatives when all observations are to be observed.

ISSN:0361-0918    

DOI:10.1080/03610919008812924

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

Extremes of quadratic forms have been presented by several authors (Okamoto, 1969; Rao, 1973; Seber, 1984). The obvious multivariate extension of the extreme of quadratic forms is the extreme of the determinants as well as the ratios of the determinants. In this paper we develop some supremums of the determinants and the ratios of the determinants. A new optimality and equations of canonical variables are obtained.

ISSN:0361-0918    

DOI:10.1080/03610919008812925

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

LetX1, …,Xnbe the interarrival times of a renewal process. A change-point is said to occur in this sequence ifX1, …,Xτhave a common distributionFwhileXτ +1, …Xnhave distributionG, withF≠ G. Usually τ is unknown, and must be estimated from the data. In a renewal process, it is sometimes not possible to observe the renewal times accurately. Instead, the data consist of counts of renewals in successive time intervals. This paper investigates methods of estimation of the change-point when the only data available are these counts. Examples and simulations are included.

ISSN:0361-0918    

DOI:10.1080/03610919008812926

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

The density of the multiple correlation coefficient is derived by direct integration when the sample covariance matrix has a linear non-central distribution. Using the density, we deduce the null and non-null distribution of the multiple correlation coefficient when sampling from a mixture of two multivariate normal populations with the same covariance matrix. We also compute actual significance levels of the test of the hypothesis Ho: ρ1·2…p= 0 versus Ha:ρ1·2…p> 0, given the mixture model.

ISSN:0361-0918    

DOI:10.1080/03610919008812927

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

A method is developed to directly obtain maximum likelihood estimates of symmetric stable distribution parameters. This is a difficult estimation problem since the likelihood function is expressed as an integral. The estimation routine is tested on a Monte Carlo sample and produces reasonable estimates.

ISSN:0361-0918    

DOI:10.1080/03610919008812928

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor

摘要:

Let S (α, β, a, c) be a stable distribution, where α∈ (0, 2), −1 ≤ β ≤ 1, a ∈ IR and c > 0 are respectively, the characteristic exponent, the skewness, the location and the scale parameters.

ISSN:0361-0918    

DOI:10.1080/03610919008812929

出版商:Marcel Dekker, Inc.    

年代:1990

数据来源: Taylor