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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood Variable selec- tion
2016/1/26
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
Marginal empirical likelihood and sure independence screening
Empirical likelihood high dimensional data analysis independence sure screening large deviation
2016/1/25
We study a marginal empirical likelihood approach in scenarios when the num-ber of variables grows exponentially with the sample size. The marginal empirical likelihood ratios as functions of the para...
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood
2016/1/20
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
Marginal empirical likelihood and sure independence screening
Empirical likelihood high dimensional data analysis independence sure screening large deviation
2016/1/20
We study a marginal empirical likelihood approach in scenarios when the num-ber of variables grows exponentially with the sample size. The marginal empirical likelihood ratios as functions of the para...
Jackknife Empirical Likelihood for Parametric Copulas
Copulas Empirical likelihood Interval estimation Jackknife
2016/1/19
For fitting a parametric copula to multivariate data, a popular way is to employ the so-called pseudo maximum likelihood estimation proposed by Genest, Ghoudi and Rivest (1995). Although interval esti...
When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs
bootstrap copula epigraph hypograph stable tail dependence function minimum distance estimation weak convergence
2013/6/14
For copulas whose partial derivatives are not continuous everywhere on the interior of the unit cube, the empirical copula process does not converge weakly with respect to the supremum distance. This ...
Zero Intelligence Models of the Continuous Double Auction: Empirical Evidence and Generalization
Continuous double auction zero intelligence models econometric estimation consistency asymptotic normality
2013/4/28
The paper is devoted to statistical analysis of zero intelligence models of continuous double auction, in particular to an estimation of parameters of limit order books. We review "classical" zero int...
Higher Variations of the Monty Hall Problem (3.0 and 4.0) and Empirical Definition of the Phenomenon of Mathematics, in Boole's Footsteps, as Something the Brain Does
Artificial Intelligence Binary Structure Boolean Algebra Boolean Operators Boole’s Algebra Brain Science, Cognition Cognitive Science Definition of Mathematics Definition of Probability Theory Digital Mathematics Electrical Engineering, Foundations of Mathematics Human Intelligence, Linguistics, Logic, Monty Hall Problem, Neuroscience Non-quantitative and Quantitative Mathematics Probability Theory Rational Thought and Language
2012/9/17
In Advances in Pure Mathematics (www.scirp.org/journal/apm) , Vol. 1, No. 4 (July 2011), pp.
136-154, the mathematical structure of the much discussed problem of probability known as the Monty Ha...
Power-law distributions in binned empirical data
power-law distribution heavy-tailed distributions model selec-tion binned data
2012/9/18
Many man-made and natural phenomena, including the intensity of earthquakes, population of cities, and size of international wars, are believed to follow power-law distributions. The accurate identifi...
Aggregating density estimators: an empirical study
Machine Learning Histogram Kernel Density Estimator Bootstrap,Bagging Boosting, Stacking.
2012/9/19
We present some new density estimation algorithms obtainedby bootstrap ag-gregation like Bagging. Our algorithms are analyzed and empirically compared to other methods found in the statistical literat...
Non-Convex Rank Minimization via an Empirical Bayesian Approach
Non-Convex Rank Minimization via Empirical Bayesian Approach
2012/9/19
In many applications that require matrix solutions of minimal rank, the underlying cost function is non-convex leading to an intractable, NP-hard optimization problem.Consequently, the convex nuclear ...
A nonparametric empirical Bayes framework for large-scale multiple testing
Dirichlet process marginal likelihood mixture model
2011/7/6
We propose a flexible and identifiable version of the two-groups model, motivated by hierarchical Bayes considerations, that features an empirical null and a semiparametric mixture model for the non-n...
The Empirical Edgeworth Expansion for a Studentized Trimmed Mean
Empirical Edgeworth expansions Studentized trimmed means
2011/7/5
We establish the validity of the empirical Edgeworth expansion (EE) for a studentized trimmed mean, under the sole condition that the underlying distribution function of the observations satisfies a l...
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Risk measure Heavy-tailed distribution Distortion risk measure Weighted risk measure Proportional hazards transform Conditional tail expectation Premium calculation principle Index of economic inequality Statistical inference
2011/6/20
Considerable literature has been devoted to developing statistical
inferential results for risk measures, especially for those that are
of the form of L-functionals. However, practical and theoretic...