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Bayesian like R- and M- estimators of change points

Jaromír Antoch, Marie Husková (2000)

Discussiones Mathematicae Probability and Statistics

The purpose of this paper is to study Bayesian like R- and M-estimators of change point(s). These estimators have smaller variance than the related argmax type estimators. Confidence intervals for the change point based on the exchangeability arguments are constructed. Finally, theoretical results are illustrated on the real data set.

Binary segmentation and Bonferroni-type bounds

Michal Černý (2011)

Kybernetika

We introduce the function Z ( x ; ξ , ν ) : = - x ϕ ( t - ξ ) · Φ ( ν t ) d t , where ϕ and Φ are the pdf and cdf of N ( 0 , 1 ) , respectively. We derive two recurrence formulas for the effective computation of its values. We show that with an algorithm for this function, we can efficiently compute the second-order terms of Bonferroni-type inequalities yielding the upper and lower bounds for the distribution of a max-type binary segmentation statistic in the case of small samples (where asymptotic results do not work), and in general for max-type random variables...

Bivariate copulas: Transformations, asymmetry and measures of concordance

Sebastian Fuchs, Klaus D. Schmidt (2014)

Kybernetika

The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry, the...

Bootstrapping the shorth for regression

Cécile Durot, Karelle Thiébot (2006)

ESAIM: Probability and Statistics

The paper is concerned with the asymptotic distributions of estimators for the length and the centre of the so-called η-shorth interval in a nonparametric regression framework. It is shown that the estimator of the length converges at the n1/2-rate to a Gaussian law and that the estimator of the centre converges at the n1/3-rate to the location of the maximum of a Brownian motion with parabolic drift. Bootstrap procedures are proposed and shown to be consistent. They are compared with the plug-in...

Bound on extended f -divergences for a variety of classes

Pietro Cerone, Sever Silvestru Dragomir, Ferdinand Österreicher (2004)

Kybernetika

The concept of f -divergences was introduced by Csiszár in 1963 as measures of the ‘hardness’ of a testing problem depending on a convex real valued function f on the interval [ 0 , ) . The choice of this parameter f can be adjusted so as to match the needs for specific applications. The definition and some of the most basic properties of f -divergences are given and the class of χ α -divergences is presented. Ostrowski’s inequality and a Trapezoid inequality are utilized in order to prove bounds for an extension...

Bounds and asymptotic expansions for the distribution of the Maximum of a smooth stationary Gaussian process

Jean-Marc Azaïs, Christine Cierco-Ayrolles, Alain Croquette (2010)

ESAIM: Probability and Statistics

This paper uses the Rice method [18] to give bounds to the distribution of the maximum of a smooth stationary Gaussian process. We give simpler expressions of the first two terms of the Rice series [3,13] for the distribution of the maximum. Our main contribution is a simpler form of the second factorial moment of the number of upcrossings which is in some sense a generalization of Steinberg et al.'s formula ([7] p. 212). Then, we present a numerical application and asymptotic expansions...

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