Screening Properties of Certain Two-Level Designs.
Seasonal time series with missing observations
Popular exponential smoothing methods dealt originally only with equally spaced observations. When time series contains gaps, smoothing constants have to be adjusted. Cipra et al., following Wright’s approach of irregularly spaced observations, have suggested ad hoc modification of smoothing constants for the Holt-Winters smoothing method. In this article the fact that the underlying model of the Holt-Winters method is a certain seasonal ARIMA is used. Minimum mean square error smoothing constants...
Seasonal time-series imputation of gap missing algorithm (STIGMA)
This work presents a new approach for the imputation of missing data in weather time-series from a seasonal pattern; the seasonal time-series imputation of gap missing algorithm (STIGMA). The algorithm takes advantage from a seasonal pattern for the imputation of unknown data by averaging available data. We test the algorithm using data measured every minutes over a period of days during the year 2010; the variables include global irradiance, diffuse irradiance, ultraviolet irradiance, and temperature,...
Second order asymptotic distribution of the -divergence goodness-of-fit statistics
The distribution of each member of the family of statistics based on the -divergence for testing goodness-of-fit is a chi-squared to (Pardo [pard96]). In this paper a closer approximation to the exact distribution is obtained by extracting the -dependent second order component from the term.
Second-order approximation of the entropy in nonlinear least-squares estimation
Second-order asymptotic expansion for a non-synchronous covariation estimator
In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [Bernoulli11 (2005) 359–379, Ann. Inst. Statist. Math.60 (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order decomposition...
Secretary Problems with Inspection Costs as a Game.
Section of Euler summability method.
Security price modelling by a binomial tree
We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.
Seemingly unrelated regression models
The cross-covariance matrix of observation vectors in two linear statistical models need not be zero matrix. In such a case the problem is to find explicit expressions for the best linear unbiased estimators of both model parameters and estimators of variance components in the simplest structure of the covariance matrix. Univariate and multivariate forms of linear models are dealt with.
Segmentation aux moindres carrés : un aspect synthétique
Segmentation of the Poisson and negative binomial rate models: a penalized estimator
We consider the segmentation problem of Poisson and negative binomial (i.e. overdispersed Poisson) rate distributions. In segmentation, an important issue remains the choice of the number of segments. To this end, we propose a penalized -likelihood estimator where the penalty function is constructed in a non-asymptotic context following the works of L. Birgé and P. Massart. The resulting estimator is proved to satisfy an oracle inequality. The performances of our criterion is assessed using simulated...
Selección de la ventana en suavización tipo núcleo de la parte no paramétrica de un modelo parcialmente lineal con errores autorregresivos.
Supongamos que yi = ζiT β + m(ti) + εi, i = 1, ..., n, donde el vector (p x 1) β y la función m(·) son desconocidos, y los errores εi provienen de un proceso autorregresivo de orden uno (AR(1)) estacionario. Discutimos aquí el problema de la selección del parámetro ventana de un estimador tipo núcleo de la función m(·) basado en un estimador Generalizado de Mínimos Cuadrados de β. Obtenemos la expresión asintótica de una ventana óptima y proponemos un método para estimarla, de modo que dé lugar...
Selecting the Best Regression Equation via the P-Value of F-Test.
Sélection d'une méthode de prévision par l'emploi du modèle ARIMA sous-jacent
Selection in parametric models via some stepdown procedures
The paper considers the problem of consistent variable selection in parametic models with the use of stepdown multiple hypothesis procedures. Our approach completes the results of Bunea et al. [J. Statist. Plann. Inference 136 (2006)]. A simulation study supports the results obtained.
Selection of prototypes with the EkP system
Selective F tests for sub-normal models
F tests that are specially powerful for selected alternatives are built for sub-normal models. In these models the observation vector is the sum of a vector that stands for what is measured with a normal error vector, both vectors being independent. The results now presented generalize the treatment given by Dias (1994) for normal fixed-effects models, and consider the testing of hypothesis on the ordering of mean values and components.
Selective generalized F tests
Generalized F tests were introduced by Michalski and Zmyślony (1996) for variance components and later (1999) for linear functions of parameters in mixed linear models. We now use generalized polar coordinates to obtain, for the second case, tests that are more powerful for selected families of alternatives.
Selective lack-of-memory and its application
We say that a random variable X taking nonnegative integers has selective lack-of-memory (SLM) property with selector s if P(X ≥ n + s/X ≥ n) = P(X ≥ s) for n = 0,1,.... This property is characterized in an elementary manner by probabilities pₙ = P(X=n). An application in car insurance is presented.