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    Wyświetlanie 1-5 z 5
    Tytuł:
    On the consistency of sieve bootstrap prediction intervals for stationary time series
    Autorzy:
    Różański, Roman
    Zagdański, Adam
    Powiązania:
    https://bibliotekanauki.pl/articles/729798.pdf
    Data publikacji:
    2004
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    prediction intervals
    sieve bootstrap
    method of sieves
    Opis:
    In the article, we consider construction of prediction intervals for stationary time series using Bühlmann's [8], [9] sieve bootstrapapproach. Basic theoretical properties concerning consistency are proved. We extend the results obtained earlier by Stine [21], Masarotto and Grigoletto [13] for an autoregressive time series of finite order to the rich class of linear and invertible stationary models. Finite sample performance of the constructed intervals is investigated by computer simulations.
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2004, 24, 1; 5-40
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Computational intensive methods for prediction and imputation in time series analysis
    Autorzy:
    Neves, Maria
    Cordeiro, Clara
    Powiązania:
    https://bibliotekanauki.pl/articles/729950.pdf
    Data publikacji:
    2011
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    bootstrap
    forecast intervals
    missing data
    time series analysis
    Opis:
    One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast intervals. First an adequately chosen model is fitted to the data series. Afterwards, and inspired on sieve bootstrap, an AR(p) is used to filter the series of the random component, under the stationarity hypothesis. The centered residuals are then resampled and the initial series is reconstructed. This methodology will be used to obtain forecasting intervals and for treating missing data, which often appear in a real time series. An automatic procedure was developed in R language and will be applied in simulation studies as well as in real examples.
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2011, 31, 1-2; 121-139
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Bayesian and generalized confidence intervals on variance ratio and on the variance component in mixed linear models
    Autorzy:
    Michalski, Andrzej
    Powiązania:
    https://bibliotekanauki.pl/articles/729664.pdf
    Data publikacji:
    2009
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    mixed linear models
    variance components
    hypothesis testing
    confidence intervals
    generalized p-values
    Opis:
    The paper deals with construction of exact confidence intervals for the variance component σ₁² and ratio θ of variance components σ₁² and σ² in mixed linear models for the family of normal distributions $_t(0, σ₁²W + σ²I_t)$. This problem essentially depends on algebraic structure of the covariance matrix W (see Gnot and Michalski, 1994, Michalski and Zmyślony, 1996). In the paper we give two classes of bayesian interval estimators depending on a prior distribution on (σ₁², σ²) for:
    1) the variance components ratio θ - built by using test statistics obtained from the decomposition of a quadratic form y'Ay for the Bayes locally best estimator of σ₁², Michalski and Zmyślony (1996),
    2) the variance component σ₁² - constructed using Bayes point estimators from BIQUE class (Best Invariant Quadratic Unbiased Estimators, see Gnot and Kleffe, 1983, and Michalski, 2003).
    In the paper an idea of construction of confidence intervals using generalized p-values is also presented (Tsui and Weerahandi, 1989, Zhou and Mathew, 1994). Theoretical results for Bayes interval estimators and for some generalized confidence intervals by simulations studies for some experimental layouts are illustrated and compared (cf Arendacká, 2005).
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2009, 29, 1; 5-29
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Tests of independence of normal random variables with known and unknown variance ratio
    Autorzy:
    Gąsiorek, Edward
    Michalski, Andrzej
    Zmyślony, Roman
    Powiązania:
    https://bibliotekanauki.pl/articles/729874.pdf
    Data publikacji:
    2000
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    mixed linear models
    variance components
    correlation
    quadratic unbiased estimation
    testing hypotheses
    confidence intervals
    Opis:
    In the paper, a new approach to construction test for independenceof two-dimensional normally distributed random vectors is given under the assumption that the ratio of the variances is known. This test is uniformly better than the t-Student test. A comparison of the power of these two tests is given. A behaviour of this test forsome ε-contamination of the original model is also shown. In the general case when the variance ratio is unknown, an adaptive test is presented. The equivalence between this test and the classical t-test for independence of normal variables is shown. Moreover, the confidence interval for correlation coefficient is given. The results follow from the unified theory of testing hypotheses both for fixed effects and variance components presented in papers [6] and [7].
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2000, 20, 2; 233-247
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    On construction of confidence intervals for a mean of dependent data
    Autorzy:
    Ćwik, Jan
    Mielniczuk, Jan
    Powiązania:
    https://bibliotekanauki.pl/articles/729824.pdf
    Data publikacji:
    2001
    Wydawca:
    Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
    Tematy:
    confidence intervals
    short-range dependence
    reuse block methods
    normal approximation
    iterated random function sequence
    Opis:
    In the report, the performance of several methods of constructing confidence intervals for a mean of stationary sequence is investigated using extensive simulation study. The studied approaches are sample reuse block methods which do not resort to bootstrap. It turns out that the performance of some known methods strongly depends on a model under consideration and on whether a two-sided or one-sided interval is used. Among the methods studied, the block method based on weak convergence result by Wu (2001) seems to perform most stably.
    Źródło:
    Discussiones Mathematicae Probability and Statistics; 2001, 21, 2; 121-147
    1509-9423
    Pojawia się w:
    Discussiones Mathematicae Probability and Statistics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-5 z 5

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