Several applications of divergence criteria in continuous families

Michel Broniatowski; Igor Vajda

Displaying similar documents to “Several applications of divergence criteria in continuous families”

On extremal dependence of block vectors

Helena Ferreira, Marta Ferreira (2012)

Kybernetika

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Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence...

The two-dimensional linear relation in the errors-in-variables model with replication of one variable

Anna Czapkiewicz, Antoni Dawidowicz (2000)

Applicationes Mathematicae

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We present a two-dimensional linear regression model where both variables are subject to error. We discuss a model where one variable of each pair of observables is repeated. We suggest two methods to construct consistent estimators: the maximum likelihood method and the method which applies variance components theory. We study asymptotic properties of these estimators. We prove that the asymptotic variances of the estimators of regression slopes for both methods are comparable. ...

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

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In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the...

Robust median estimator for generalized linear models with binary responses

Tomáš Hobza, Leandro Pardo, Igor Vajda (2012)

Kybernetika

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The paper investigates generalized linear models (GLM's) with binary responses such as the logistic, probit, log-log, complementary log-log, scobit and power logit models. It introduces a median estimator of the underlying structural parameters of these models based on statistically smoothed binary responses. Consistency and asymptotic normality of this estimator are proved. Examples of derivation of the asymptotic covariance matrix under the above mentioned models are presented. Finally...