Statistische Hefte
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Practical considerations of the jackknife estimator of variance for generalized estimating equations
Statistische Hefte - - 1997
Lipsitz, Dear and Zhao (1994) proposed a “one-step” Jackknife estimator of the variance based on Wu's (1986) jackknife and showed its asymptotic equivalence to the robust variance estimator of White (1982) and Liang and Zeger (1986). In this paper an asymptotically equivalent estimator is proposed which avoids the Newton-Raphson or Fisher scoring step of the estimator proposed by Lipsitz, Dear and......
General introduction to this special issue on Choquet integral and applications
Statistische Hefte - Tập 43 Số 1 - Trang 1-3 - 2002
A multilateral index number system based on the factorial approach
Statistische Hefte - Tập 27 - Trang 297-313 - 1986
This paper examines the multilateral index number system proposed in Banerjee (1980). It is shown that the Banerjee multilateral system is consistent but not base invariant. An alternative multilateral system, consistent and base invariant, is proposed in this paper which utilizes the factorial index number formula for pairwise comparisons.
Extremes of nonexchangeability
Statistische Hefte - Tập 48 - Trang 329-336 - 2007
For identically distributed random variables X and Y with joint distribution function H, we show that the supremum of |H(x,y)-H(y,x)| is 1/3. Using copulas, we define a measure of nonexchangeability, and study maximally nonexchangeable random variables and copulas. In particular, we show that maximally nonexchangeable random variables are negatively correlated in the sense of Spearman's rho.
Feature screening for ultrahigh-dimensional survival data when failure indicators are missing at random
Statistische Hefte - Tập 62 - Trang 1141-1166 - 2019
In modern statistical applications, the dimension of covariates can be much larger than the sample size, and extensive research has been done on screening methods which can effectively reduce the dimensionality. However, the existing feature screening procedure can not be used to handle the ultrahigh-dimensional survival data problems when failure indicators are missing at random. This motivates u......
Nonparametric kernel estimation of CVaR under $$\alpha $$-mixing sequences
Statistische Hefte - Tập 61 - Trang 615-643 - 2017
Conditional Value-at-Risk (CVaR) is an increasingly popular coherent risk measure in financial risk management. In this paper, a new nonparametric kernel estimator of CVaR is established, and a Bahadur type expansion of the estimator is also given under $$\alpha $$-mixing sequences. Furthermore, the mean, variance, mean square error (MSE) and uniformly asymptotic normality of the new estimator are......
Øksendal, B.:Stochastic differential equations. An introduction with applications 2 nd ed
Statistische Hefte - - 1991
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