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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...
Trends in the Transitory Variance of Male Earnings: Methods and Evidence
Trends Transitory Variance Male Earnings Methods Evidence
2016/3/9
We estimate the trend in the transitory variance of male earnings in the United States using the Michigan Panel Study of Income Dynamics from 1970 to 2004. Using an error components model and simpler ...
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 ...
On Normal Variance-Mean Mixtures
convex contours distribution theory generalized inverse Gaussian distribution
2011/7/5
Normal variance-mean mixtures encompass a large family of useful distributions such as the generalized hyperbolic distribution, which itself includes the Student t, Laplace, hyperbolic, normal inverse...
Testing for homogeneity of variance in the wavelet domain
Testing homogeneity variance wavelet domain
2011/7/5
The danger of confusing long-range dependence with non-stationarity has been pointed out by many authors.
Study of Astronomical and Geodetic Series using the Allan Variance
Study Astronomical Geodetic Series Allan Variance
2011/6/21
Recently, the Allan variance (AVAR), suggested more than 40 years ago to describe the
instability of frequency standards, has been used extensively to study various time series in astrometry,
geodes...
Corrected portmanteau tests for VAR models with time-varying variance
VAR model Unconditionally heteroscedastic errors Residual autocorrelations Portmanteau tests
2011/6/20
The problem of test of fit for Vector AutoRegressive (VAR) processes
with unconditionally heteroscedastic errors is studied. The volatility structure is
deterministic but time-varying and allows for...
CLTs and asymptotic variance of time-sampled Markov chains
time-sampled Markov chains Barker’s algo-rithm Metropolis algorithm Central Limit Theorem asymptotic variance variance bounding Markov chains MCMC estimation
2011/3/25
For a Markov transition kernel $P$ and a probability distribution $ \mu$ on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel $P_{\mu} = \sum_k \mu(k)P^k.$ I...
Scale invariance versus translation variance in Nash bargaining problem
Scale invariance translation variance Nash bargaining problem
2011/3/18
Nash’s solution in his celebrated article on the bargaining problem calling for
maximization of product of marginal utilities is revisited; a different line of
argument supporting such a solution ...
A general purpose variance reduction technique for Markov chain Monte Carlo estimators based on the zero-variance principle introduced in the physics literature by Assaraf and Caffarel (1999, 2003), i...
TESTING THE NULL OF CO-INTEGRATION IN THE PRESENCE OF VARIANCE BREAKS
Co-integration tests variance shifts fixed regressor bootstrap
2010/11/5
We show that changes in the innovation covariance matrix of a vector of
series can generate spurious rejections of the null hypothesis of co-integration when
applying standard residual-based co-inte...
Reconsidering the asymptotic null distribution of likelihood ratio tests for genetic linkage in multivariate variance components models
asymptotic null distribution likelihood ratio test mixing probabilities multivariate linkage
2010/4/30
Accurate knowledge of the null distribution of hypothesis tests is important for valid application of the tests. In previous papers and software, the asymptotic null distribution of likelihood ratio t...