Similar Search Results

Tail dependence for elliptically contoured distributions

Schmidt, Rafael - In: Computational Statistics 55 (2002) 2, pp. 301-327

The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...

Persistent link: https://www.econbiz.de/10010847663

A fluid model for a relay node in an ad hoc network: the case of heavy-tailed input

Bekker, R.; Mandjes, M. - In: Computational Statistics 70 (2009) 2, pp. 357-384

Relay nodes in an ad hoc network can be modelled as fluid queues, in which the available service capacity is shared by the input and output. In this paper such a relay node is considered; jobs arrive according to a Poisson process and bring along a random amount of work. The total transmission...

Persistent link: https://www.econbiz.de/10010759260

Asymptotic behaviour of the tandem queueing system with identical service times at both queues

Boxma, O. J.; Deng, Q. - In: Computational Statistics 52 (2000) 2, pp. 307-323

Consider a tandem queue consisting of two single-server queues in series, with a Poisson arrival process at the first queue and arbitrarily distributed service times, which for any customer are identical in both queues. For this tandem queue, we relate the tail behaviour of the sojourn time...

Persistent link: https://www.econbiz.de/10010759293

Performance of derivative free search ANN training algorithm with time series and classification problems

Ahmed, Shamsuddin - In: Computational Statistics 28 (2013) 5, pp. 1881-1914

generation model from Fiji Islands and “L-T” letter recognition problems are solved. Bootstrap analysis shows that the algorithm …

Persistent link: https://www.econbiz.de/10010998486

Estimating critical values for testing the i.i.d. in standardized residuals from GARCH models in finite samples

Pérez-Rodríguez, Jorge; Andrada-Félix, Julián - In: Computational Statistics 28 (2013) 2, pp. 701-734

obtains the critical values for the finite sample distribution of the BDS test. We focus on bootstrap simulation to avoid the … experimental results. We consider an extensive grid of models to obtain critical values with the results of the bootstrap … regression models. Specifically, we estimate critical values by using a bootstrap aggregated neural network (BANN) and by …

Persistent link: https://www.econbiz.de/10010998511

Goodness-of-fit tests for a semiparametric model under random double truncation

Moreira, Carla; Uña-Álvarez, Jacobo; Keilegom, Ingrid - In: Computational Statistics 29 (2014) 5, pp. 1365-1379

Doubly truncated data are commonly encountered in areas like medicine, astronomy, economics, among others. A semiparametric estimator of a doubly truncated random variable may be computed based on a parametric specification of the distribution function of the truncation times. This...

Persistent link: https://www.econbiz.de/10010998519

Bootstrap prediction intervals in beta regressions

Espinheira, Patrícia; Ferrari, Silvia; Cribari-Neto, … - In: Computational Statistics 29 (2014) 5, pp. 1263-1277

> </EquationSource> </InlineEquation> (bias-corrected and accelerated) bootstrap prediction intervals. We present Monte Carlo evidence on …

Persistent link: https://www.econbiz.de/10010998523

The power of bootstrap tests of cointegration rank

Ahlgren, Niklas; Antell, Jan - In: Computational Statistics 28 (2013) 6, pp. 2719-2748

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection … estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power … function close to that of the level-adjusted asymptotic test. The bootstrap test therefore estimates the level-adjusted power …

Persistent link: https://www.econbiz.de/10010847660

A graphical tool for selecting the number of slices and the dimension of the model in SIR and SAVE approaches

Liquet, Benoît; Saracco, Jérôme - In: Computational Statistics 27 (2012) 1, pp. 103-125

Persistent link: https://www.econbiz.de/10010847677

The exact bootstrap method shown on the example of the mean and variance estimation

Kisielinska, Joanna - In: Computational Statistics 28 (2013) 3, pp. 1061-1077

The bootstrap method is based on resampling of the original randomsample drawn from a population with an unknown … parameters or in testing hypotheses. We should stress that in the exact bootstrap method the entire space of resamples is used …. The comparison of the obtained distributions with the limit distributions confirmed the accuracy of the exact bootstrap …

Persistent link: https://www.econbiz.de/10010847838