Similar Search Results

Inferences on Correlation Coefficients in Some Classes of Nonnormal Distributions

Yuan, Ke-Hai; Bentler, Peter M. - In: Journal of Multivariate Analysis 72 (2000) 2, pp. 230-248

Correlation coefficients have many applications for studying the relationship among multivariate observations. Classical inferences on correlation coefficients are mainly based on the normality assumption. This assumption is hardly realistic in the real world, which implies that the procedures...

Persistent link: https://www.econbiz.de/10005006578

Tests for skewness and kurtosis in the one-way error component model

Galvao, Antonio F.; Montes-Rojas, Gabriel; … - In: Journal of Multivariate Analysis 122 (2013) C, pp. 35-52

This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test … departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual …

Persistent link: https://www.econbiz.de/10010702810

Asymptotically efficient estimation under semi-parametric random censorship models

Dikta, Gerhard - In: Journal of Multivariate Analysis 124 (2014) C, pp. 10-24

We study the estimation of some linear functionals which are based on an unknown lifetime distribution. The observations are assumed to be generated under the semi-parametric random censorship model (SRCM), that is, a random censorship model where the conditional expectation of the censoring...

Persistent link: https://www.econbiz.de/10010737769

Model selection for integrated autoregressive processes of infinite order

Ing, Ching-Kang; Sin, Chor-yiu; Yu, Shu-Hui - In: Journal of Multivariate Analysis 106 (2012) C, pp. 57-71

We show that Akaike’s Information Criterion (AIC) and its variants are asymptotically efficient in integrated autoregressive processes of infinite order (AR(∞)). This result, together with its stationary counterpart established previously in the literature, ensures that AIC can ultimately...

Persistent link: https://www.econbiz.de/10011042035

Local Walsh-average regression

Feng, Long; Zou, Changliang; Wang, Zhaojun - In: Journal of Multivariate Analysis 106 (2012) C, pp. 36-48

Local polynomial regression is widely used for nonparametric regression. However, the efficiency of least squares (LS) based methods is adversely affected by outlying observations and heavy tailed distributions. On the other hand, the least absolute deviation (LAD) estimator is more robust, but...

Persistent link: https://www.econbiz.de/10011042049

Semiparametric Estimation in the Multivariate Liouville Model

Bhattacharya, P. K.; Burman, Prabir - In: Journal of Multivariate Analysis 65 (1998) 1, pp. 1-18

We consider the problem of estimating the shape parameters in the multi- variate Liouville model in the presence of an unknown infinite-dimensional parameter. We propose an ad hoc estimate and show that it is asymptotically efficient.

Persistent link: https://www.econbiz.de/10005221273

On the Efficiency of Affine Invariant Multivariate Rank Tests

Möttönen, J.; Hettmansperger, T. P.; Oja, H.; Tienari, J. - In: Journal of Multivariate Analysis 66 (1998) 1, pp. 118-132

In this paper the asymptotic Pitman efficiencies of the affine invariant multivariate analogues of the rank tests based on the generalized median of Oja are considered. Formulae for asymptotic relative efficiencies are found and, under multivariate normal and multivariatetdistributions, relative...

Persistent link: https://www.econbiz.de/10005221537

A robust extension of the bivariate Birnbaum–Saunders distribution and associated inference

Vilca, Filidor; Balakrishnan, N.; Zeller, Camila Borelli - In: Journal of Multivariate Analysis 124 (2014) C, pp. 418-435

We propose here a robust extension of the bivariate Birnbaum–Saunders (BS) distribution derived recently by Kundu et al. (2010). This extension is based on scale mixtures of normal (SMN) distributions that are used for modeling symmetric data. This type of bivariate Birnbaum–Saunders...

Persistent link: https://www.econbiz.de/10011041898

A generalized multivariate kurtosis ordering and its applications

Wang, Jin; Zhou, Weihua - In: Journal of Multivariate Analysis 107 (2012) C, pp. 169-180

kurtosis measures have been introduced, multivariate kurtosis orderings have received relatively little investigation. In this … paper, we propose and study a generalized multivariate kurtosis ordering. Under some conditions, this ordering is affine … ordering provide the kurtosis orderings for various existing multivariate kurtosis measures. Those kurtosis orderings are …

Persistent link: https://www.econbiz.de/10010572284

A note on the fourth cumulant of a finite mixture distribution

Loperfido, Nicola - In: Journal of Multivariate Analysis 123 (2014) C, pp. 386-394

kurtosis-based projection methods. Practical relevance of theoretical results in the paper are illustrated with two well …

Persistent link: https://www.econbiz.de/10010718984