All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Page 1 Next

Displaying 1 – 20 of 24

Showing per page

On a class of estimators in a multivariate RCA(1) model

Zuzana Prášková, Pavel Vaněček (2011)

Kybernetika

This work deals with a multivariate random coefficient autoregressive model (RCA) of the first order. A class of modified least-squares estimators of the parameters of the model, originally proposed by Schick for univariate first-order RCA models, is studied under more general conditions. Asymptotic behavior of such estimators is explored, and a lower bound for the asymptotic variance matrix of the estimator of the mean of random coefficient is established. Finite sample properties are demonstrated...

On Bayesian estimation in an exponential distribution under random censorship

Michal Friesl, Jan Hurt (2007)

Kybernetika

The paper gives some basic ideas of both the construction and investigation of the properties of the Bayesian estimates of certain parametric functions of the parent exponential distribution under the model of random censorship assuming the Koziol–Green model. Various prior distributions are investigated and the corresponding estimates are derived. The stress is put on the asymptotic properties of the estimates with the particular stress on the Bayesian risk. Small sample properties are studied...

On discrete Fourier analysis of amplitude and phase modulated signals

Waldemar Popiński (2012)

Applicationes Mathematicae

In this work the problem of characterization of the Discrete Fourier Transform (DFT) spectrum of an original complex-valued signal o t , t=0,1,...,n-1, modulated by random fluctuations of its amplitude and/or phase is investigated. It is assumed that the amplitude and/or phase of the signal at discrete times of observation are distorted by realizations of uncorrelated random variables or randomly permuted sequences of complex numbers. We derive the expected values and bounds on the variances of such...

On discrete Fourier spectrum of a harmonic with random frequency modulation

Waldemar Popiński (2013)

Applicationes Mathematicae

Asymptotic properties of the Discrete Fourier Transform spectrum of a complex monochromatic oscillation with frequency randomly distorted at the observation times t=0,1,..., n-1 by a series of independent and identically distributed fluctuations is investigated. It is proved that the second moments of the spectrum at the discrete Fourier frequencies converge uniformly to zero as n → ∞ for certain frequency fluctuation distributions. The observed effect occurs even for frequency fluctuations with...

On Fourier coefficient estimators consistent in the mean-square sense

Waldemar Popiński (1994)

Applicationes Mathematicae

The properties of two recursive estimators of the Fourier coefficients of a regression function f ∈ L 2 [ a , b ] with respect to a complete orthonormal system of bounded functions (ek) , k=1,2,..., are considered in the case of the observation model y i = f ( x i ) + η i , i=1,...,n , where η i are independent random variables with zero mean and finite variance, x i ∈ [ a , b ] ⊂ R 1 , i=1,...,n, form a random sample from a distribution with density ϱ =1/(b-a) (uniform distribution) and are independent of the errors η i , i=1,...,n . Unbiasedness and mean-square...

On some properties of ML and REML estimators in mixed normal models with two variance components

Stanisław Gnot, Andrzej Michalski, Agnieszka Urbańska-Motyka (2004)

Discussiones Mathematicae Probability and Statistics

In the paper, the problem of estimation of variance components σ₁² and σ₂² by using the ML-method and REML-method in a normal mixed linear model 𝒩 {Y,E(Y) = Xβ, Cov(Y) = σ₁²V + σ₂²Iₙ} is considered. This paper deal with properties of estimators of variance components, particularly when an explicit form of these estimators is unknown. The conditions when the ML and REML estimators can be expressed in explicit forms are given, too. The simulation study for one-way classification unbalanced random...

On the compound Poisson-gamma distribution

Christopher Withers, Saralees Nadarajah (2011)

Kybernetika

The compound Poisson-gamma variable is the sum of a random sample from a gamma distribution with sample size an independent Poisson random variable. It has received wide ranging applications. In this note, we give an account of its mathematical properties including estimation procedures by the methods of moments and maximum likelihood. Most of the properties given are hitherto unknown.

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

Marta Ferreira (2012)

Kybernetika

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 first order...

Currently displaying 1 – 20 of 24

Page 1 Next