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Wyświetlanie 1-3 z 3
Tytuł:
Performance of Some Robust Estimators for the Weibull Distribution
Autorzy:
Gündüz, N.
Başar, E.
Aydin, C.
Powiązania:
https://bibliotekanauki.pl/articles/1401976.pdf
Data publikacji:
2015-08
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.70.Rr
02.50.-r
Opis:
In this study, we consider some of univariate quantile-based robust estimators. We focus on the estimators such as median, interquartile range, quartile and octile skewness for the Weibull distribution which is one of the most widely applied probability function because of its versatility and relative simplicity. It is important to use robust estimators as a measure of distribution properties for analyzing data in the case of contamination with outliers. For small data sets, it is reported that by introducing kernel estimation for smoothing empirical distribution function, a reduction in mean square error of estimator is achieved by Fernholz (1997) and Hubert et al. (2013). In kernel estimation, it is well known that bandwidth selection is more important than selection of kernel density since bandwidth controls the smoothness of the estimated distribution function. Using simulation studies, we examine some quantile-based estimators for the Weibull distribution with various sample size. The performance of estimators is measured by mean squared error under Different outlier contaminated data. We applied this idea in the case of real data.
Źródło:
Acta Physica Polonica A; 2015, 128, 2B; B-203-B-207
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Granger Causality and Transfer Entropy for Financial Returns
Autorzy:
Syczewska, E.
Struzik, Z.
Powiązania:
https://bibliotekanauki.pl/articles/1388215.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.70.Cf
02.50.-r
05.45.Tp
02.70.Rr
Opis:
Granger causality in its linear form has been shown by Barnett, Barrett and Seth [Phys. Rev. Lett. 103, 238701 (2009)] to be equivalent to transfer entropy in case of Gaussian distribution. Generalizations by Hlaváčková-Schindler [Appl. Math. Sci. 5, 3637 (2011)] are applied to distributions typical for biomedical applications. The financial returns, which are of great importance in financial econometrics, typically do not have Gaussian distribution. Generalizations leading to the concept of nonlinear Granger causality (e.g. causality in variance, causality in risk), known and applied in econometric literature, seem to be less known outside this field. In the paper an overview of some of the definitions and applications is given. In particular, we indicate some recent econometric results concerning application of the tests in linear multivariate framework. We emphasize importance of other variants of Granger causality, and need of development of methods reflecting features of financial variables.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-129-A-135
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A bias reducing approach for some robust estimators by predicting roughness in case of kernel estimation
Autorzy:
Gündüz, N.
Aydın, C.
Başar, E.
Powiązania:
https://bibliotekanauki.pl/articles/1070350.pdf
Data publikacji:
2016-07
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.70.Rr
02.50.-r
Opis:
In the density estimation it is known that estimators are heavily biased. We applied a bias reducing approach to improve some quantile estimators for Weibull distribution having different parameter values and contamination level. In this study, we estimate the bias for any quantile value and obtained biased reduced smoothed distribution function by simulation study for random samples of size 40. Then, the mean square error of some robust quantile estimators and variances are obtained from biased reduced smoothed distribution function. Furthermore, we obtained sampling distribution of roughness and sampling distribution of estimated bias related some quantile estimators.
Źródło:
Acta Physica Polonica A; 2016, 130, 1; 422-427
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
    Wyświetlanie 1-3 z 3

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