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  1. 2020欧洲杯体育在线 Journal

    Computational Statistics

    Volume 14 / 1999 - Volume 35 / 2020

  2. Journal

    Methodology and Computing in Applied Probability

    2020欧洲杯体育在线Volume 1 / 1999 - Volume 22 / 2020

  3. Journal

    Extremes

    Volume 1 / 1998 - Volume 23 / 2020

  4. No Access

    2020欧洲杯体育在线 Article

    Random forest with acceptance–rejection trees

    2020欧洲杯体育在线 In this paper, we propose a new random forest method based on completely randomized splitting rules with an acceptance–rejection criterion for quality control. We show how the proposed acceptance–rejection (AR...

    Peter Calhoun, Melodie J. Hallett, Xiaogang Su, Guy Cafri in Computational Statistics (2020)

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    Article

    A dominance approach for comparing the performance of VaR forecasting models

    2020欧洲杯体育在线 We introduce three dominance criteria to compare the performance of alternative value at risk (VaR) forecasting models. The three criteria use the information provided by a battery of VaR validation tests base...

    Laura Garcia-Jorcano, Alfonso Novales in Computational Statistics (2020)

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    2020欧洲杯体育在线 Article

    On Generalized Berman Constants

    Considering the important role in Gaussian related extreme value topics, we evaluate the Berman constants involved in the study of the sojourn time of Gaussian processes, given by B α h ( x , E ) = ∫

    Chengxiu Ling, Hong Zhang in Methodology and Computing in Applied Probability (2020)

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    2020欧洲杯体育在线 Article

    A Renewal Generated Geometric Catastrophe Model with Discrete-Time Markovian Arrival Process

    2020欧洲杯体育在线 Any event that results in sudden change of the normal functioning of a system may be thought of as a catastrophe. Stochastic processes involving catastrophes have very rich application in modeling of a dynamic...

    Nitin Kumar, U. C. Gupta in Methodology and Computing in Applied Probability (2020)

  8. No Access2020欧洲杯体育在线

    Article

    A support vector machine based semiparametric mixture cure model

    The mixture cure model is an extension of standard survival models to analyze survival data with a cured fraction. Many developments in recent years focus on the latency part of the model to allow more flexibl...

    Peizhi Li, Yingwei Peng, Ping Jiang, Qingli Dong in Computational Statistics (2020)

  9. Article

    Open Access

    Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment

    This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environm...

    G. A. Delsing, M. R. H. Mandjes in Methodology and Computing in Applied Proba… (2020)

  10. Article

    Open Access

    Priority statement and some properties of t-lgHill estimator

    We acknowledge the priority on the introduction of the formula of t-lgHill estimator for the positive extreme value index. We provide a novel motivation for this estimator based on ecologically driven dynamica...

    Milan Stehlík, Jozef Kiseľák, Marijus Vaičiulis, Pavlina Jordanova in Extremes (2020)

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    Article

    smoothROCtime: an R package for time-dependent ROC curve estimation

    2020欧洲杯体育在线 The receiver operating characteristic (ROC) curve has become one of the most used tools for analyzing the diagnostic capacity of continuous biomarkers. When the studied outcome is a time-dependent variable two...

    Susana Díaz-Coto, Pablo Martínez-Camblor, Sonia Pérez-Fernández in Computational Statistics (2020)

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    2020欧洲杯体育在线 Article

    On the Convergence Time of Some Non-Reversible Markov Chain Monte Carlo Methods

    2020欧洲杯体育在线 It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to ...

    Marie Vialaret, Florian Maire in Methodology and Computing in Applied Probability (2020)

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    Article

    Risk concentration under second order regular variation

    Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imp...

    Bikramjit Das, Marie Kratz in Extremes (2020)

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    2020欧洲杯体育在线 Article

    A Bayesian approach to estimate parameters of ordinary differential equation

    We develop a Bayesian approach to estimate the parameters of ordinary differential equations (ODE) from the observed noisy data. Our method does not need to solve ODE directly. We replace the ODE constraint wi...

    Hanwen Huang, Andreas Handel, Xiao Song in Computational Statistics (2020)

  15. No Access2020欧洲杯体育在线

    2020欧洲杯体育在线 Article

    Parallel computing in linear mixed models

    2020欧洲杯体育在线 In this study, we propose a parallel programming method for linear mixed models (LMM) generated from big data. A commonly used algorithm, expectation maximization (EM), is preferred for its use of maximum like...

    Fulya Gokalp Yavuz, Barret Schloerke in Computational Statistics (2020)

  16. 2020欧洲杯体育在线 Article

    Open Access

    Branching Collision Processes with Immigration

    2020欧洲杯体育在线 We consider the regularity and ergodic properties of the Branching Collision Process with Immigration (BCIP) in this paper. We establish an easy checking sufficient condition under which the Feller minimal BCI...

    Anyue Chen, Junping Li, Jing Zhang in Methodology and Computing in Applied Probability (2020)

  17. Article

    Open Access

    A simple method for implementing Monte Carlo tests

    We consider a statistical test whose p value can only be approximated using Monte Carlo simulations. We are interested in deciding whether the p2020欧洲杯体育在线 value for an observed data set lies above or below a given threshol...

    Dong Ding, Axel Gandy, Georg Hahn in Computational Statistics (2020)

  18. No Access2020欧洲杯体育在线

    2020欧洲杯体育在线 Article

    Clustering multivariate functional data in group-specific functional subspaces

    2020欧洲杯体育在线 With the emergence of numerical sensors in many aspects of everyday life, there is an increasing need in analyzing multivariate functional data. This work focuses on the clustering of such functional data, in ...

    Amandine Schmutz, Julien Jacques, Charles Bouveyron in Computational Statistics (2020)

  19. Article

    Open Access

    Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

    There is now an increasingly large number of proposed concordance measures available to capture, measure and quantify different notions of dependence in stochastic processes. However, evaluation of concordance...

    Antonio Dalessandro, Gareth W. Peters in Methodology and Computing in Applied Probability (2020)

  20. Article

    Open Access

    Discrete factor analysis using a dependent Poisson model

    In this paper, we present a method for factor analysis of discrete data. This is accomplished by fitting a dependent Poisson model with a factor structure. To be able to analyze ordinal data, we also consider ...

    Rolf Larsson in Computational Statistics (2020)

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