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  • 1.
    Alfelt, Gustav
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Bodnar, Taras
    Stockholm University, Faculty of Science, Department of Mathematics.
    Tyrcha, Joanna
    Stockholm University, Faculty of Science, Department of Mathematics.
    Goodness-of-fit tests for centralized Wishart processes2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    In this paper we present several goodness-of-fit tests for the centralized Wishart process, a popular matrix-variate time series model used to capture the stochastic properties of realized covariance matrices. The new test procedures are based on the extended Bartlett decomposition derived from the properties of the Wishart distribution and allows to obtain sets of independently and standard normally distributed random variables under the null hypothesis. Several tests for normality and independence are then applied to these variables in order to support or to reject the underlying assumption of a centralized Wishart process. In order to investigate the influence of estimated parameters on the suggested testing procedures in the finite-sample case, a simulation study is conducted. Finally, the new test methods are applied to real data consisting of realized covariance matrices computed for the returns on six assets traded on the New York Stock Exchange.

  • 2.
    Andersson, Per Gösta
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    A classroom approach to the construction of Bayesian credible intervals of a Poisson mean2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    The Poisson distribution is here used to illustrate Bayesian inference concepts with the ultimate goal to construct credible intervals for a mean. The evaluation of the resulting intervals is in terms of mismatched priors and posteriors. The discussion is in the form of an imaginary dialog between a teacher and a student, who have met earlier, discussing and evaluating the Wald and score confidence intervals, as well as confidence intervals based on transformation and bootstrap techniques. From the perspective of the student the learning process is akin to a real research situation. The student is supposed to have studied mathematical statistics for at least two semesters.

  • 3. Bodnar, Rostyslav
    et al.
    Bodnar, Taras
    Stockholm University, Faculty of Science, Department of Mathematics.
    Schmid, Wolfgang
    Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 12, p. 3421-3440Article in journal (Refereed)
    Abstract [en]

    In this article we suggest a new multivariate autoregressive process for modeling time-dependent extreme value distributed observations. The idea behind the approach is to transform the original observations to latent variables that are univariate normally distributed. Then the vector autoregressive DCC model is fitted to the multivariate latent process. The distributional properties of the suggested model are extensively studied. The process parameters are estimated by applying a two-stage estimation procedure. We derive a prediction interval for future values of the suggested process. The results are applied in an empirically study by modeling the behavior of extreme daily stock prices.

  • 4.
    Bruce, Daniel
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Some properties for a simplified Cox binary model2008In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 37, no 16, p. 2606-2616Article in journal (Refereed)
    Abstract [en]

    This article proposes a simplification of the model for dependent binary variables presented in Cox and Snell (1989). The new model referred to as the simplified Cox model is developed for identically distributed and dependent binary variables. Properties of the model are presented, including expressions for the log-likelihood function and the Fisher information. Under mutual independence, a general expression for the restrictions of the parameters are derived. The simplified Cox model is illustrated using a data set from a clinical trial.

  • 5.
    Ekheden, Erland
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Silvestrov, Dmitrii
    Stockholm University, Faculty of Science, Department of Mathematics.
    Coupling and Explicit Rate of Convergence in Cramer-Lundberg Approximation for Reinsurance Risk Processes2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 19-20, p. 3524-3539Article in journal (Refereed)
    Abstract [en]

    A classical result in risk theory is the Cramer-Lundberg approximation which says that under some general conditions the exponentially normalized ruin probability converges. In this article, we state an explicit rate of convergence for the Cramer-Lundberg approximation for ruin probabilities in the case where claims are bounded, which is realistic for, e. g., reinsurance models. The method, used to get the corresponding results, is based on renewal and coupling arguments.

  • 6.
    Fornius, Ellinor Fackle
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Nyquist, Hans
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Using the Canonical Design Space to Obtain c-Optimal Designs for the Quadratic Logistic Model2010In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 39, no 1, p. 144-157Article in journal (Refereed)
    Abstract [en]

    c-optimal designs for estimating the model parameters of the quadratic logistic regression model are considered. The designs are constructed via the canonical design space. It is shown that the number of design points varies between 1 and 4 depending on the parameter being estimated. Furthermore, formulae for finding the design points along with the corresponding design weights are derived.

  • 7.
    Gustafsson, Oskar
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Stockhammar, Pär
    Stockholm University, Faculty of Social Sciences, Department of Statistics. National Institute of Economic Research (NIER), Sweden.
    Variance stabilizing filters2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 48, no 24, p. 6155-6168Article in journal (Refereed)
    Abstract [en]

    In this paper new filters for removing unspecified form of heteroscedasticity are proposed. The filters build on the assumption that the variance of a pre-whitened time series can be viewed as a latent stochastic process by its own. This makes the filters flexible and useful in many situations. A simulation study shows that removing heteroscedasticity before fitting a model leads to efficiency gains and bias reductions when estimating the parameters of ARMA models. A real data study shows that pre-filtering can increase the forecasting precision of quarterly US GDP growth.

  • 8. Kollo, Tõnu
    et al.
    von Rosen, Tatjana
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    von Rosen, Dietrich
    Estimation in high-dimensional analysis and multivariate linear models2011In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 40, no 7, p. 1241-1253Article in journal (Refereed)
    Abstract [en]

    This article presents a new approach of estimating the parameters describing the mean structure in the Growth Curve model when the number of variables compared with the number of observations is large.

  • 9.
    Normark, Sofia
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Minimax designs for 2(k) factorial experiments for generalized linear models2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 16, p. 4788-4797Article in journal (Refereed)
    Abstract [en]

    Formulas for A- and C-optimal allocations for binary factorial experiments in the context of generalized linear models are derived. Since the optimal allocations depend on GLM weights, which often are unknown, a minimax strategy is considered. This is shown to be simple to apply to factorial experiments. Efficiency is used to evaluate the resulting design. In some cases, the minimax design equals the optimal design. For other cases no general conclusion can be drawn. An example of a two-factor logit model suggests that the minimax design performs well, and often better than a uniform allocation.

  • 10.
    Pielaszkiewicz, Jolanta
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics. Linnaeus University, Sweden.
    Holgersson, Thomas
    Mixtures of traces of Wishart and inverse Wishart matrices2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    Traces of Wishart matrices appear in many applications, for example in finance, discriminant analysis, Mahalanobis distances and angles, loss functions and many more. These applications typically involve mixtures of traces of Wishart and inverse Wishart matrices that are concerned in this paper. Of particular interest are the sampling moments and their limiting joint distribution. The covariance matrix of the marginal positive and negative spectral moments is derived in closed form (covariance matrix of where ). The results are obtained through convenient recursive formulas for and Moreover, we derive an explicit central limit theorem for the scaled vector Y, when and present a simulation study on the convergence to normality and on a skewness measure.

  • 11.
    Silvestrov, Dmitrii
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Li, Yanxiong
    Stockholm University, Faculty of Science, Department of Mathematics.
    Stochastic Approximation Methods for American Type Options2016In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 45, no 6, p. 1607-1631Article in journal (Refereed)
    Abstract [en]

    Stochastic approximation methods for rewards of American type options are studied. Pay-off functions are non random possibly discontinuous functions or random càdlàg functions. General conditions of convergence for binomial, trinomial, and skeleton reward approximations are formulated. Underlying log-price processes are assumed to be random walks. These processes are approximated by log-price processes given by random walks with discrete distributions of jumps. Backward recurrence algorithms for computing of reward functions for approximating log-price processes are given. These approximation algorithms and their rates of convergence are numerically tested for log-price processes represented byGaussian and compoundGaussian random walks. Comparison of the above approximation methods is made.

  • 12.
    Silvestrov, Dmitrii
    et al.
    Stockholm University, Faculty of Science, Department of Mathematics.
    Manca, Raimondo
    University of Rome "La Sapienza".
    Silvestrova, Evelina
    Mälardalen University.
    Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards:  2014In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 43, no 7, p. 1453-1469Article in journal (Refereed)
    Abstract [en]

    Power moments for accumulated rewards defined on Markov and semi-Markov chains are studied. A model with mixed timespace termination of reward accumulation is considered for inhomogeneous in time rewards and Markov chains. Characterization of power moments as minimal solutions of recurrence system of linear equations, sufficient conditions for finiteness of these moments and upper bounds for them, expressed in terms of so-called test functions, are given. Backward recurrence algorithms for funding of power moments of accumulated rewards and various time-space truncation approximations reducing dimension of the corresponding recurrence relations are described. Applications to finding of moments for accumulated rewards for complex insurance contracts are presented as well as results of numerical experimental studies.

  • 13.
    Stockhammar, Pär
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    Öller, Lars-Erik
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    A Simple Heteroscedasticity Removing Filter2012In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 2, p. 281-299Article in journal (Refereed)
    Abstract [en]

    In this article, variance stabilizing filters are discussed. A new filter with nice properties is proposed which makes use of moving averages and moving standard deviations, the latter smoothed with the Hodrick-Prescott filter. This filter is compared to a GARCH-type filter. An ARIMA model is estimated for the filtered GDP series, and the parameter estimates are used in forecasting the unfiltered series. These forecasts compare well with those of ARIMA, ARFIMA, and GARCH models based on the unfiltered data. The filter does not color white noise.

  • 14.
    von Rosen, Tatjana
    et al.
    Stockholm University, Faculty of Social Sciences, Department of Statistics.
    von Rosen, Dietrich
    Small area estimation using reduced rank regression models2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415XArticle in journal (Refereed)
    Abstract [en]

    Small area estimation techniques have got a lot of attention during the last decades due to their important applications in survey studies. Mixed linear models and reduced rank regression analysis are jointly used when considering small area estimation. Estimates of parameters are presented as well as prediction of random effects and unobserved area measurements.

1 - 14 of 14
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  • nn-NO
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  • Other locale
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