Results 1 to 10 of about 64,488 (114)
Change detection in non-stationary Hawkes processes through sequential testing [PDF]
ITM Web of Conferences, 2021 Detecting changes in an incoming data flow is immensely crucial for understanding inherent dependencies, formulating new or adapting existing policies, and anticipating further changes. Distinct modeling constructs have triggered varied ways of detecting
Bhaduri Moinak +2 more
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Robust Test Statistics Based on Restricted Minimum Rényi’s Pseudodistance Estimators
Entropy, 2022 The Rao’s score, Wald and likelihood ratio tests are the most common procedures for testing hypotheses in parametric models. None of the three test statistics is uniformly superior to the other two in relation with the power function, and moreover, they ...
María Jaenada +2 more
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Model Uncertainty and Selection of Risk Models for Left-Truncated and Right-Censored Loss Data
Risks, 2023 Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to
Qian Zhao, Sahadeb Upretee, Daoping Yu
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Vìsnik Nacìonalʹnogo Tehnìčnogo Unìversitetu Ukraïni Kììvsʹkij Polìtehnìčnij Ìnstitut: Serìâ Radìotehnìka, Radìoaparatobuduvannâ, 2020 The work is devoted to the estimate accuracy comparative analysis of the experimental data parameters with exponential power distribution (EPD) using the classical Maximum Likelihood Estimation (MLE) and the original Polynomial Maximization Method (PMM).
S. V. Zabolotnii +3 more
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Model Adequacy Checks for Discrete Choice Dynamic Models [PDF]
, 2012 This paper proposes new parametric model adequacy tests for possibly nonlinear and nonstationary time series models with noncontinuous data distribution, which is often the case in applied work.
Kheifets, Igor, Velasco, Carlos
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Distribution-free tests of fractional cointegration [PDF]
, 2008 We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series.
Hualde, Javier, Velasco, Carlos
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Residuals and goodness-of-fit tests for stationary marked Gibbs point processes [PDF]
, 2010 The inspection of residuals is a fundamental step to investigate the quality of adjustment of a parametric model to data. For spatial point processes, the concept of residuals has been recently proposed by Baddeley et al.
Andersen +33 more
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Theoretical and Empirical Differences between Diagonal and Full BEKK for Risk Management
Energies, 2018 The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark.
David E. Allen, Michael McAleer
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Refined tests for spatial correlation [PDF]
, 2014 We consider testing the null hypothesis of no spatial correlation against the alternative of pure first order spatial autoregression. A test statistic based on the least squares estimate has good first-order asymptotic properties, but these may not be ...
Robinson, Peter M., Rossi, Francesca
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Multivariate Specification Tests Based on a Dynamic Rosenblatt Transform
, 2018 This paper considers parametric model adequacy tests for nonlinear multivariate dynamic models. It is shown that commonly used Kolmogorov-type tests do not take into account cross-sectional nor time-dependence structure, and a test, based on multi ...
Kheifets, Igor L.
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