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A Residual Based Multiple Testing Procedure for Variance Changepoints
Multiple testing Admissibility Multiple change points Variance change
2016/1/19
In this paper, we approach the variance changepoints detection problem from a multiple testing setting. After proving that the standard Step-Up and Step-Down procedures are inadmissible for the standa...
One may consider a discrete-event simulation as a Markov chain evolving on a suitably rich state space. One way that regenerative cycles may be constructed for general state-space Markov chains is to ...
Parametric Stein operators and variance bounds
Chernoff inequality Cramer-Rao inequality parameter of interest Stein charac-terization Stein’s method
2013/6/17
Stein operators are differential operators which arise within the so-called Stein's method for stochastic approximation. We propose a new mechanism for constructing such operators for arbitrary (conti...
Warped Functional Analysis of Variance
Karhunen–Lo`eve decomposition longitudinal data phasevariability quan-titative genetics random-effect models
2013/4/28
This article presents a functional Analysis of Variance model that explicitly incorporates phase variability through a time-warping component, allowing for a unified and parsimonious approach to estim...
Variance estimation for Brier Score decomposition
Variance estimation Brier Score decomposition
2013/4/28
The Brier Score is a widely-used criterion to assess the quality of probabilistic predictions of binary events. The expectation value of the Brier Score can be decomposed into the sum of three compone...
Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
A multiple filter test for change point detection in renewal processes with varying variance
A multiple filter test change point detection renewal processes varying variance
2013/4/27
Non-stationarity of the event rate is a persistent problem in modeling time series of events, such as neuronal spike trains. Motivated by a variety of patterns in neurophysiological spike train record...
Variance estimation and asymptotic confidence bands for the mean estimator of sampled functional data with high entropy unequal probability sampling designs
covariance function finite population Hajek approximation Horvitz-Thompso estimator Kullback-Leibler divergence rejective sampling unequal probability sampling without replacement
2012/11/23
For fixed size sampling designs with high entropy it is well known that the variance of the Horvitz-Thompson estimator can be approximated by the H\'ajek formula. The interest of this asymptotic varia...
Diagnostic Tests for Non-causal Time Series with Infinite Variance
Non-causal AR Process Infinite Variance Goodness-of-fit Portmanteau Test alpha-stabledistribution
2012/11/22
We study goodness-of-fit testing for non-causal autoregressive time series with non-Gaussian stable noise. To model time series exhibiting sharp spikes or occasional bursts of outlying observations, t...
Residual variance and the signal-to-noise ratio in high-dimensional linear models
Asymptoticnormality,high-dimensionaldataanalysis Poincar!a inequality randommatrices residualvariance signal-to-noiseratio
2012/11/21
Residual variance and the signal-to-noise ratio are important quantities in many statistical models and model fitting procedures. They play an important role in regression diagnostics, in determining ...
Testing instantaneous causality in presence of non constant unconditional variance
VAR model Unconditionally heteroscedastic errors Instantaneous causal-ity.
2012/9/19
The problem of testing instantaneous causality between variables with time-varying unconditional variance is investigated. It is shown that the classi-cal tests based on the assumption of stationary p...
MMANOVA: A general multilevel framework for multivariate analysis of variance
Bayesian inference Constraints Mixed model Variance components
2012/9/19
Classical analysis of variance requires that model terms be labeled as xed or random and typically culminate by comparing variability from each batch (factor) to variability from errors; without a st...
A simple variance inequality for U-statistics of a Markov chain with applications
U-statistics Markov chains Inequalities Limit theorems
2011/7/19
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain.
Variance Decomposition and Replication In Scrabble: When You Can Blame Your Tiles?
Variance Decomposition eplication In Scrabble
2011/7/19
In the game of Scrabble, letter tiles are drawn uniformly at random from a bag. The variability of possible draws as the game progresses is a source of variation that makes it more likely for an infer...
Let X be any absolutely continuous random variable from the integrated Pearson family and assume that X has finite moments of any order. Equivalently, X is a linear (non-constant) transformation of Y ...