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Sample d -copula of order m

José M. González-Barrios, María M. Hernández-Cedillo (2013)

Kybernetika

In this paper we analyze the construction of d -copulas including the ideas of Cuculescu and Theodorescu [5], Fredricks et al. [15], Mikusiński and Taylor [25] and Trutschnig and Fernández-Sánchez [33]. Some of these methods use iterative procedures to construct copulas with fractal supports. The main part of this paper is given in Section 3, where we introduce the sample d -copula of order m with m ≥ 2 , the central idea is to use the above methodologies to construct a new copula based on a sample. The...

Second order asymptotic distribution of the R φ -divergence goodness-of-fit statistics

María Del Carmen Pardo (2000)

Kybernetika

The distribution of each member of the family of statistics based on the R φ -divergence for testing goodness-of-fit is a chi-squared to o ( 1 ) (Pardo [pard96]). In this paper a closer approximation to the exact distribution is obtained by extracting the φ -dependent second order component from the o ( 1 ) term.

Selective lack-of-memory and its application

Czesław Stępniak (2009)

Discussiones Mathematicae Probability and Statistics

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.

Sequential monitoring for change in scale

Ondřej Chochola (2008)

Kybernetika

We propose a sequential monitoring scheme for detecting a change in scale. We consider a stable historical period of length m . The goal is to propose a test with asymptotically small probability of false alarm and power 1 as the length of the historical period tends to infinity. The asymptotic distribution under the null hypothesis and consistency under the alternative hypothesis is derived. A small simulation study illustrates the finite sample performance of the monitoring scheme.

Shuffles of Min.

Piotr Mikusinski, Howard Sherwood, Michael D. Taylor (1992)

Stochastica

Copulas are functions which join the margins to produce a joint distribution function. A special class of copulas called shuffles of Min is shown to be dense in the collection of all copulas. Each shuffle of Min is interpreted probabilistically. Using the above-mentioned results, it is proved that the joint distribution of any two continuously distributed random variables X and Y can be approximated uniformly, arbitrarily closely by the joint distribution of another pair X* and Y* each of which...

Some discrete exponential dispersion models: Poisson-Tweedie and Hinde-Demétrio classes.

Célestin C. Kokonendji, Simplice Dossou-Gbété, Clarice G. B. Demétrio (2004)

SORT

In this paper we investigate two classes of exponential dispersion models (EDMs) for overdispersed count data with respect to the Poisson distribution. The first is a class of Poisson mixture with positive Tweedie mixing distributions. As an approximation (in terms of unit variance function) of the first, the second is a new class of EDMs characterized by their unit variance functions of the form μ + μp, where p is a real index related to a precise model. These two classes provide some alternatives...

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