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Parameter estimation for fractional birth and fractional death processes
birth process Yule process Yule{Furry process death process Mittag{Leer
2013/4/28
The fractional birth and the fractional death processes are more desirable in practice than their classical counterparts as they naturally provide greater flexibility in modeling growing and decreasin...
Spatial Fay-Herriot Models for Small Area Estimation with Functional Covariates
American Community Survey Bayesian hierarchical modeling GoogleTrends Spatial statistics Stochastic search variable selection
2013/4/28
The Fay-Herriot (FH) model is widely used in small area estimation and uses auxiliary information to reduce estimation variance at undersampled locations. We extend the type of covariate information u...
On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
Reflected fractional Ornstein-Uhlenbeck processes fractional Brownian motion frac-tional calculus parameter estimation maximum likelihood estimator sequential maximum likeli-hood estimator
2013/4/28
We consider a reflected Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter $H\in(0,1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\inft...
Goal-oriented error estimation for reduced basis method, with application to certified sensitivity analysis
reduced basis method surrogate model reduced order modelling re-sponse surface method scientific computation sensitivity analysis Sobol index computation Monte-Carlo method
2013/5/2
The reduced basis method is a powerful model reduction technique designed to speed up the computation of multiple numerical solutions of parameterized partial differential equations (PDEs). We conside...
Measures of serial extremal dependence and their estimation
Measures serial extremal dependence their estimation
2013/4/28
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent conc...
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...
Adding a systematic uncertainty to the signal estimation in the on/off-zone measurements
Adding a systematic uncertainty the signal estimation in the on/off-zone measurements
2013/4/28
The measurements with the background estimation from an off-zone are widely used in astrophysics, accelerator physics and other areas. Usually, the expected number of the background events in the off-...
Respondent privacy and estimation efficiency in randomized response surveys for discrete-valued sensitive variables
Jeopardy measure numerical stigmatizing variable revealing probability
2013/4/28
In some socio-economic surveys, data are collected on sensitive or stigmatizing issues such as tax evasion, criminal conviction, drug use, etc. In such surveys, direct questioning of respondents is no...
Weighted estimation of the dependence function for an extreme-value distribution
bivariate extreme dependence function jackknife empirical likelihood method
2013/4/28
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands ...
Parameter estimation for pair-copula constructions
copulae efficiency empirical distribution functions hierarchical construction stepwise estimation vines
2013/4/28
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its as...
Estimation of the lead-lag parameter from non-synchronous data
contrast estimation discretely observed continuous-time processes Hayashi–Yoshida covariation estimator lead-lag effect
2013/4/28
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\va...
A parameter estimation method based on random slow manifolds
Parameter estimation Slow-fast system Random slow manifold Quantifying uncer-tainty Numerical optimization
2013/5/2
A parameter estimation method is devised for a slow-fast stochastic dynamical system, where often only the slow component is observable. By using the observations only on the slow component, the syste...
Critical dimension in profile semiparametric estimation
maximum likelihood local quadratic bracketing spread local concentration
2013/4/28
This paper revisits the classical inference results for profile quasi maximum likelihood estimators (profile MLE) in the semiparametric estimation problem. We mainly focus on two prominent theorems: t...
Probit transformation for kernel density estimation on the unit interval
transformation kernel density estimator boundary bias local likelihood density estimation local log-polynomial density estimation
2013/4/27
Kernel estimation of a probability density function supported on the unit interval has proved difficult, because of the well known boundary bias issues a conventional kernel density estimator would ne...