Springer Science and Business Media LLC
0002-6018
1614-0176
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The operating characteristic of double sampling plans by variables when the standard deviation is unknown
Tập 90 - Trang 233-251 - 2006
We deal with double sampling plans by variables for a one-sided specification limit when the quality characteristic is normally distributed with unknown standard deviation. An algorithm is presented that allows to calculate the OC of the sampling plans proposed by Bowker and Goode (1952). We give several examples. Furthermore, it is shown that the algorithm carries over to calculating the OC of the double-stage t-test.
Power kurtosis transformations: Definition, properties and ordering
Tập 90 - Trang 395-401 - 2006
Heavy tail distributions can be generated by applying specific non-linear transformations to a Gaussian random variable. Within this work we introduce power kurtosis transformations which are essentially determined by their generator function. Examples are theH-transformation of Tukey (1960), theK-transformation of MacGillivray and Cannon (1997) and theJ-transformation of Fischer and Klein (2004).Furthermore, we derive a general condition on the generator function which guarantees that the corresponding transformation is actually tail-increasing. In this case the exponent of the power kurtosis transformation can be interpreted as a kurtosis parameter. We also prove that the transformed distributions can be ordered with respect to the partial ordering of van Zwet (1964) for symmetric distributions.
Preisindikatoren für Wohnimmobilien in Deutschland
Tập 88 - Trang
435-
450 - 2004
Vermögenspreise im Allgemeinen und Immobilienpreise im Besonderen
gewannen in den zurückliegenden Jahren mehr und mehr an Bedeutung. Während sie
in den späten 80er Jahren (nach dem Börsencrash im Herbst 1987) und im vergangenen
Jahrzehnt vornehmlich unter dem Schlagwort „asset-price inflation/deflation“ betrachtet
wurden, stehen neuerdings die Tragfähigkeit und Bestandsfestigkeit der Finanzsysteme
im Vordergrund. In den Ausführungen geht es vor allem um die Frage, warum, seit wann
und aufgrund welcher Grunddaten die Deutsche Bundesbank auf diesem Gebiet der Preisstatistik
tätig geworden ist. Dabei wird nicht nur auf das hohe Maß an Unsicherheit in
den vorgelegten Angaben hingewiesen, sondern auch der „Second–Best–Charakter“ der
Berechnungen hervorgehoben.
Item nonresponse on income questions in panel surveys: Incidence, imputation and the impact on inequality and mobility
Tập 89 - Trang
49-
61 - 2005
This paper deals with item nonresponse on income questions in panel surveys
and with longitudinal and cross–sectional imputation strategies to cope with this
phenomenon. Using data from the German SOEP, we compare income inequality and
mobility indicators based only on truly observed information to those derived from observed
and imputed observations. First, we find a positive correlation between inequality
and imputation. Secondly, income mobility appears to be significantly understated using
observed information only. Finally, longitudinal analyses provide evidence for a positive
inter–temporal correlation between item nonresponse and any kind of subsequent nonresponse.
Using quantile regression for duration analysis
Tập 90 - Trang 105-120 - 2006
Quantile regression methods are emerging as a popular technique in econometrics and biometrics for exploring the distribution of duration data. This paper discusses quantile regression for duration analysis allowing for a flexible specification of the functional relationship and of the error distribution. Censored quantile regression addresses the issue of right censoring of the response variable which is common in duration analysis. We compare quantile regression to standard duration models. Quantile regression does not impose a proportional effect of the covariates on the hazard over the duration time. However, the method cannot take account of time-varying covariates and it has not been extended so far to allow for unobserved heterogeneity and competing risks. We also discuss how hazard rates can be estimated using quantile regression methods.
The Effects of Ignoring Level Shifts on Systems Cointegration Tests
Tập 89 Số 3 - Trang 281-301 - 2005
Kurtosis modelling by means of the J-transformation
Tập 88 - Trang
35-
50 - 2004
The H–family of distributions or H–distributions, introduced by Tukey (1960; 1977), are
generated by a single transformation of the standard normal distribution and allow for leptokurtosis
represented by the parameter h. Alternatively, Haynes et al. (1997) generated leptokurtic distributions
by applying the K–transformation to the normal distribution. In this study we propose a third transformation,
the so–called J–transformation, and derive some properties of this transformation. Moreover,
so-called elongation generating functions (EGFs) are introduced. By means of EGFs we are able to
visualize the strength of tail elongation and to construct new transformations. Finally, we compare the
three transformations towards their goodness–of–fit in the context of financial return data.