This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power ...This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data （Ratkowsky, 1983）. Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations.展开更多
Testing heteroscedasticity determines whether the regression model can predict the dependent variable consistently across all values of the explanatory variables.Since the proposed tests could not detect heteroscedast...Testing heteroscedasticity determines whether the regression model can predict the dependent variable consistently across all values of the explanatory variables.Since the proposed tests could not detect heteroscedasticity in all cases,more precisely in heavy-tailed distributions,the authors established new comprehensive test statistic based on Levene’s test.The authors built the asymptotic normality of the test statistic under the null hypothesis of homoscedasticity based on the recent theory of analysis of variance for the infinite factors level.The proposed test uses the residuals from a regression model fit of the mean function with Levene’s test to assess homogeneity of variance.Simulation studies show that our test yields better than other methods in almost all cases even if the variance is a nonlinear function.Finally,the proposed method is implemented through a real data-set.展开更多
This paper considers experimental situations where the interested effects have to be or- thogonal to a set of nonnegligible effects. It is shown that various types of orthogonal arrays with mixed strength are A-optima...This paper considers experimental situations where the interested effects have to be or- thogonal to a set of nonnegligible effects. It is shown that various types of orthogonal arrays with mixed strength are A-optimal for estimating the parameters in ANOVA high dimension model representation. Both cases including interactions or not are considered in the model. In particularly, the estimations of all main effects are A-optimal in a mixed strength （2, 2）3 orthogonal array and the estimations of all main effects and two-factor interactions in G~ x G~ are A-optimal in a mixed strength （2, 2）4 orthogonal array. The properties are also illustrated through a simulation study.展开更多
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail proba...Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).展开更多
This paper proposes a model to further explore the effects of the quality information and variation of the underlying effects on the summary effect measure in meta-analysis.A shape parameter is used in this model to q...This paper proposes a model to further explore the effects of the quality information and variation of the underlying effects on the summary effect measure in meta-analysis.A shape parameter is used in this model to quantify the asymmetry of the effect sizes of studies that are included.Estimation of the proposed model parameters is carried out by the Bayesian MCMC method.Performances of the resultant estimates are examined in the simulations and empirical case with data obtained from a total of 22 meta-analyses taken from three different designs.A conclusion would be drawn that it is advisable to take the proposed model,when quality information becomes available,in particular with a situation where the underlying effects approximately follow a normal distribution.If,however,the quality information is absent,the skew-normal distribution for random effect model should be adopted.展开更多
This paper considers a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable.A two-step approach to estimate the drift function of a jump-diffusion mo...This paper considers a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable.A two-step approach to estimate the drift function of a jump-diffusion model in noisy settings is proposed.The proposed estimator is shown to be consistent and asymptotically normal in the presence of finite activity jumps.Simulated experiments and a real data application are undertaken to assess the finite sample performance of the newly proposed method.展开更多
The performances of preliminary test estimators for error variance based on W,LR and LM tests in a normal linear model are considered in this paper.Firstly,the risks of the proposed estimators are derived and compared...The performances of preliminary test estimators for error variance based on W,LR and LM tests in a normal linear model are considered in this paper.Firstly,the risks of the proposed estimators are derived and compared by theoretical analysis and numerical calculation,respectively.The results show that their risks are related to the equality constraint error and the critical value of test.Moreover,the minimum value of the risks can be achieved when the critical value of test equals to one.Secondly,the superiority conditions of the proposed estimators are discussed.Finally,the results are illustrated by a simulation example.展开更多
基金Supported by SSFC（04BTJ002）,the National Natural Science Foundation of China（10371016） and the Post-Doctorial Grant in Southeast University.
文摘This paper presents an approach for estimating power of the score test, based on an asymptotic approximation to the power of the score test under contiguous alternatives. The method is applied to the problem of power calculations for the score test of heteroscedasticity in European rabbit data （Ratkowsky, 1983）. Simulation studies are presented which indicate that the asymptotic approximation to the finite-sample situation is good over a wide range of parameter configurations.
基金partly supported by the National Natural Science Foundation of China under Grant Nos.11571073,11701286,NSF,JS(BK20171073)
文摘Testing heteroscedasticity determines whether the regression model can predict the dependent variable consistently across all values of the explanatory variables.Since the proposed tests could not detect heteroscedasticity in all cases,more precisely in heavy-tailed distributions,the authors established new comprehensive test statistic based on Levene’s test.The authors built the asymptotic normality of the test statistic under the null hypothesis of homoscedasticity based on the recent theory of analysis of variance for the infinite factors level.The proposed test uses the residuals from a regression model fit of the mean function with Levene’s test to assess homogeneity of variance.Simulation studies show that our test yields better than other methods in almost all cases even if the variance is a nonlinear function.Finally,the proposed method is implemented through a real data-set.
基金the National Natural Science Foundation of China under Grant Nos.11171065,11301073the Natural Science Foundation of Jiangsu under Grant No.BK20141326+1 种基金the Research Fund for the Doctoral Program of Higher Education of China under Grant No.20120092110021Scientific Research Foundation of Graduate School of Southeast University under Grant No.YBJJ1444
文摘This paper considers experimental situations where the interested effects have to be or- thogonal to a set of nonnegligible effects. It is shown that various types of orthogonal arrays with mixed strength are A-optimal for estimating the parameters in ANOVA high dimension model representation. Both cases including interactions or not are considered in the model. In particularly, the estimations of all main effects are A-optimal in a mixed strength （2, 2）3 orthogonal array and the estimations of all main effects and two-factor interactions in G~ x G~ are A-optimal in a mixed strength （2, 2）4 orthogonal array. The properties are also illustrated through a simulation study.
基金supported by National Natural Science Foundation of China(Grant Nos.11171001,11271193 and 11171065)Planning Foundation of Humanities and Social Sciences of Chinese Ministry of Education(Grant Nos.11YJA910004 and 12YJCZH128)Natural Science Foundation of the Jiangsu Higher Education Institutions of China(Grant No.13KJD110004)
文摘Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).
基金the Natural Science Research Foundation of China(Key Projects)under Grant No.11831008the Natural Science Research Foundation of China under Grant No.11971235。
文摘This paper proposes a model to further explore the effects of the quality information and variation of the underlying effects on the summary effect measure in meta-analysis.A shape parameter is used in this model to quantify the asymmetry of the effect sizes of studies that are included.Estimation of the proposed model parameters is carried out by the Bayesian MCMC method.Performances of the resultant estimates are examined in the simulations and empirical case with data obtained from a total of 22 meta-analyses taken from three different designs.A conclusion would be drawn that it is advisable to take the proposed model,when quality information becomes available,in particular with a situation where the underlying effects approximately follow a normal distribution.If,however,the quality information is absent,the skew-normal distribution for random effect model should be adopted.
基金the National Natural Science Foundation of China under Grant No.11961038Cultivating Project of National Natural Science Foundation(QianKeHe talent-development platform[2017]No.5723,QianKeHe talent-development platform[2017]No.5723-02)+7 种基金supported by the National Natural Science Foundation of China under Grant Nos.12071220,11701286supported by the National Natural Science Foundation of China under Grant Nos.11831008,11971235Young Talents Project of Science and Technology Research Program of Education Department in Guizhou Province(Qianjiao KYword[2018]364)Science and Technology Foundation of Guizhou Province(QianKeHejichu[2019]1286)Social Science Foundation of Jiangsu Province under Grant No.20EYC008the National Statistical Research Project of China under Grant No.2020LZ35the National Statistical Research Project of China under Grant No.2020LZ19Open Project of Jiangsu Key Laboratory of Financial Engineering under Grant No.NSK2021-12。
文摘This paper considers a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable.A two-step approach to estimate the drift function of a jump-diffusion model in noisy settings is proposed.The proposed estimator is shown to be consistent and asymptotically normal in the presence of finite activity jumps.Simulated experiments and a real data application are undertaken to assess the finite sample performance of the newly proposed method.
基金supported by the National Natural Science Foundation of China under Grant Nos.11661003,11571073,11831008,11971235the Natural Science Foundation of Jiangxi Province under Grant Nos.20161BAB201033,20192BAB201006Science and Technology Project of Education Department of Jiangxi Province under Grant Nos.GJJ150582,GJJ160559
文摘The performances of preliminary test estimators for error variance based on W,LR and LM tests in a normal linear model are considered in this paper.Firstly,the risks of the proposed estimators are derived and compared by theoretical analysis and numerical calculation,respectively.The results show that their risks are related to the equality constraint error and the critical value of test.Moreover,the minimum value of the risks can be achieved when the critical value of test equals to one.Secondly,the superiority conditions of the proposed estimators are discussed.Finally,the results are illustrated by a simulation example.
