Results 11 to 20 of about 4,554 (226)
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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Distribution-free specification tests of conditional models [PDF]
, 2008 This article proposes a class of asymptotically distribution-free specification tests for parametric conditional distributions. These tests are based on a martingale transform of a proper sequential empirical process of conditionally transformed data ...
Delgado, Miguel A., Stute, Winfried
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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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Generalized spectral tests for the martingale difference hypothesis [PDF]
, 2006 This article proposes a test for the martingale difference hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the ...
Velasco Gómez, Carlos +4 more
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Nonparametric Tests for Conditional Symmetry in Dynamic Models [PDF]
, 2007 This article proposes omnibus tests for conditional symmetry around a parametric function in a dynamic context. Conditional moments may not exist or may depend on the explanatory variables.
Delgado, Miguel A. +1 more
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Distribution free goodness-of-fit tests for linear processes [PDF]
, 2004 This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence.
Velasco Gómez, Carlos +8 more
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Optimal Minimax Rate of Smoothing Parameter in Distributed Nonparametric Specification Test
AxiomsA model specification test is a statistical procedure used to assess whether a given statistical model accurately represents the underlying data-generating process. The smoothing-based nonparametric specification test is widely used due to its efficiency
Peili Liu +3 more
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