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Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data

Balakrishnan, Narayanaswamy; Belzunce, Félix; Sordo, … - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 45-54

In this paper, we establish some results for the increasing convex comparisons of generalized order statistics. First, we prove that if the minimum of two sets of generalized order statistics are ordered in the increasing convex order, then the remaining generalized order statistics are also...

Persistent link: https://www.econbiz.de/10011041915

Weak convergence of empirical and bootstrapped C-power processes and application to copula goodness-of-fit

Quessy, Jean-François; Bahraoui, Tarik - In: Journal of Multivariate Analysis 129 (2014) C, pp. 16-36

The selection of a copula that appropriately describes the dependence structure of a bivariate distribution function is an issue of a prime interest in multivariate statistical analysis. The most popular methods of testing are those based on the empirical copula and on Kendall’s process; these...

Persistent link: https://www.econbiz.de/10010786424

Empirical processes for infinite variance autoregressive models

Bouhaddioui, Chafik; Ghoudi, Kilani - In: Journal of Multivariate Analysis 107 (2012) C, pp. 319-335

The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the...

Persistent link: https://www.econbiz.de/10011042010

Stochastic Bounds and Dependence Properties of Survival Times in a Multicomponent Shock Model

Li, Haijun; Xu, Susan H. - In: Journal of Multivariate Analysis 76 (2001) 1, pp. 63-89

intractable. To facilitate the development of easily computable tight bounds and good approximations, an analytic analysis of the … upper and lower bounds for its joint component lifetime distribution and survival functions. The thrust of the approach is … performance of the system is analyzed. The results are used to develop computable bounds for the statistics of the joint component …

Persistent link: https://www.econbiz.de/10005199812

Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes

Bosq, D. - In: Journal of Multivariate Analysis 124 (2014) C, pp. 436-450

This article deals with linear prediction in large dimensions. One obtains various explicit forms of the best linear …

Persistent link: https://www.econbiz.de/10010737768

On binary and categorical time series models with feedback

Moysiadis, Theodoros; Fokianos, Konstantinos - In: Journal of Multivariate Analysis 131 (2014) C, pp. 209-228

We study the problem of ergodicity, stationarity and maximum likelihood estimation for multinomial logistic models that include a latent process. Our work includes various models that have been proposed for the analysis of binary and, more general, categorical time series. We give verifiable...

Persistent link: https://www.econbiz.de/10010930751

Robustness of designs for model discrimination

Ghosh, Subir; Dutta, Santanu - In: Journal of Multivariate Analysis 115 (2013) C, pp. 193-203

discrimination between two competing models when the true model may or may not be one of them. The characterization of robustness of …

Persistent link: https://www.econbiz.de/10011041972

A new sparse variable selection via random-effect model

Lee, Youngjo; Oh, Hee-Seok - In: Journal of Multivariate Analysis 125 (2014) C, pp. 89-99

variable selection. We also study an adaptive penalty selection method to maintain a good prediction performance in cases where …

Persistent link: https://www.econbiz.de/10010743752

Does modeling lead to more accurate classification?: A study of relative efficiency in linear classification

Lee, Yoonkyung; Wang, Rui - In: Journal of Multivariate Analysis 133 (2015) C, pp. 232-250

experiments under various settings for comparisons of finite-sample performance and robustness to mislabeling and model …

Persistent link: https://www.econbiz.de/10011116232

Inference on the shape of elliptical distributions based on the MCD

Paindaveine, Davy; Van Bever, Germain - In: Journal of Multivariate Analysis 129 (2014) C, pp. 125-144

, that inherit the good robustness properties of the MCD. The main emphasis is on asymptotic results, for point estimation …-Carlo studies illustrate our asymptotic results and assess the robustness of the proposed procedures. …

Persistent link: https://www.econbiz.de/10011041923