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MATHEMATICS (742 journals)                  1 2 3 4 | Last

Showing 1 - 200 of 538 Journals sorted alphabetically
Abakós     Open Access   (Followers: 4)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4)
Academic Voices : A Multidisciplinary Journal     Open Access   (Followers: 2)
Accounting Perspectives     Full-text available via subscription   (Followers: 7)
ACM Transactions on Algorithms (TALG)     Hybrid Journal   (Followers: 15)
ACM Transactions on Computational Logic (TOCL)     Hybrid Journal   (Followers: 3)
ACM Transactions on Mathematical Software (TOMS)     Hybrid Journal   (Followers: 6)
ACS Applied Materials & Interfaces     Hybrid Journal   (Followers: 33)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2)
Acta Mathematica Scientia     Full-text available via subscription   (Followers: 5)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6)
Acta Mathematica Vietnamica     Hybrid Journal  
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal  
Advanced Science Letters     Full-text available via subscription   (Followers: 11)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4)
Advances in Calculus of Variations     Hybrid Journal   (Followers: 4)
Advances in Catalysis     Full-text available via subscription   (Followers: 5)
Advances in Complex Systems     Hybrid Journal   (Followers: 9)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 19)
Advances in Decision Sciences     Open Access   (Followers: 3)
Advances in Difference Equations     Open Access   (Followers: 3)
Advances in Fixed Point Theory     Open Access   (Followers: 5)
Advances in Geosciences (ADGEO)     Open Access   (Followers: 14)
Advances in Linear Algebra & Matrix Theory     Open Access   (Followers: 3)
Advances in Materials Science     Open Access   (Followers: 14)
Advances in Mathematical Physics     Open Access   (Followers: 4)
Advances in Mathematics     Full-text available via subscription   (Followers: 11)
Advances in Nonlinear Analysis     Hybrid Journal  
Advances in Numerical Analysis     Open Access   (Followers: 5)
Advances in Operations Research     Open Access   (Followers: 12)
Advances in Porous Media     Full-text available via subscription   (Followers: 5)
Advances in Pure and Applied Mathematics     Hybrid Journal   (Followers: 6)
Advances in Pure Mathematics     Open Access   (Followers: 6)
Advances in Science and Research (ASR)     Open Access   (Followers: 6)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2)
African Journal of Educational Studies in Mathematics and Sciences     Full-text available via subscription   (Followers: 5)
African Journal of Mathematics and Computer Science Research     Open Access   (Followers: 4)
Afrika Matematika     Hybrid Journal   (Followers: 1)
Air, Soil & Water Research     Open Access   (Followers: 13)
AKSIOMA Journal of Mathematics Education     Open Access   (Followers: 1)
Al-Jabar : Jurnal Pendidikan Matematika     Open Access   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 6)
Algebra Colloquium     Hybrid Journal   (Followers: 4)
Algebra Universalis     Hybrid Journal   (Followers: 2)
Algorithmic Operations Research     Full-text available via subscription   (Followers: 5)
Algorithms     Open Access   (Followers: 11)
Algorithms Research     Open Access   (Followers: 1)
American Journal of Computational and Applied Mathematics     Open Access   (Followers: 5)
American Journal of Mathematical Analysis     Open Access  
American Journal of Mathematics     Full-text available via subscription   (Followers: 6)
American Journal of Operations Research     Open Access   (Followers: 5)
An International Journal of Optimization and Control: Theories & Applications     Open Access   (Followers: 10)
Anadol University Journal of Science and Technology B : Theoritical Sciences     Open Access  
Analele Universitatii Ovidius Constanta - Seria Matematica     Open Access   (Followers: 1)
Analysis and Applications     Hybrid Journal   (Followers: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 5)
Analysis Mathematica     Full-text available via subscription  
Analysis. International mathematical journal of analysis and its applications     Hybrid Journal   (Followers: 2)
Annales Mathematicae Silesianae     Open Access  
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4)
Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica     Open Access  
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1)
Annals of Combinatorics     Hybrid Journal   (Followers: 4)
Annals of Data Science     Hybrid Journal   (Followers: 12)
Annals of Discrete Mathematics     Full-text available via subscription   (Followers: 6)
Annals of Mathematics     Full-text available via subscription   (Followers: 1)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 12)
Annals of Pure and Applied Logic     Open Access   (Followers: 3)
Annals of the Alexandru Ioan Cuza University - Mathematics     Open Access  
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1)
Annals of West University of Timisoara - Mathematics     Open Access  
Annals of West University of Timisoara - Mathematics and Computer Science     Open Access  
Annuaire du Collège de France     Open Access   (Followers: 6)
ANZIAM Journal     Open Access   (Followers: 1)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2)
Applications of Mathematics     Hybrid Journal   (Followers: 2)
Applied Categorical Structures     Hybrid Journal   (Followers: 3)
Applied Computational Intelligence and Soft Computing     Open Access   (Followers: 14)
Applied Mathematics     Open Access   (Followers: 3)
Applied Mathematics     Open Access   (Followers: 7)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 8)
Applied Mathematics - A Journal of Chinese Universities     Hybrid Journal  
Applied Mathematics Letters     Full-text available via subscription   (Followers: 2)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1)
Applied Network Science     Open Access   (Followers: 3)
Applied Numerical Mathematics     Hybrid Journal   (Followers: 5)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 6)
Arab Journal of Mathematical Sciences     Open Access   (Followers: 3)
Arabian Journal of Mathematics     Open Access   (Followers: 2)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5)
Archive of Numerical Software     Open Access  
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 5)
Arkiv för Matematik     Hybrid Journal   (Followers: 1)
Armenian Journal of Mathematics     Open Access  
Arnold Mathematical Journal     Hybrid Journal   (Followers: 1)
Artificial Satellites     Open Access   (Followers: 21)
Asia-Pacific Journal of Operational Research     Hybrid Journal   (Followers: 3)
Asian Journal of Algebra     Open Access   (Followers: 1)
Asian-European Journal of Mathematics     Hybrid Journal   (Followers: 2)
Australian Mathematics Teacher, The     Full-text available via subscription   (Followers: 6)
Australian Primary Mathematics Classroom     Full-text available via subscription   (Followers: 4)
Australian Senior Mathematics Journal     Full-text available via subscription   (Followers: 1)
Automatic Documentation and Mathematical Linguistics     Hybrid Journal   (Followers: 5)
Axioms     Open Access   (Followers: 1)
Baltic International Yearbook of Cognition, Logic and Communication     Open Access   (Followers: 1)
Basin Research     Hybrid Journal   (Followers: 5)
BIBECHANA     Open Access   (Followers: 2)
Biomath     Open Access  
BIT Numerical Mathematics     Hybrid Journal  
Boletim Cearense de Educação e História da Matemática     Open Access  
Boletim de Educação Matemática     Open Access  
Boletín de la Sociedad Matemática Mexicana     Hybrid Journal  
Bollettino dell'Unione Matematica Italiana     Full-text available via subscription   (Followers: 1)
British Journal of Mathematical and Statistical Psychology     Full-text available via subscription   (Followers: 20)
Bruno Pini Mathematical Analysis Seminar     Open Access  
Buletinul Academiei de Stiinte a Republicii Moldova. Matematica     Open Access   (Followers: 12)
Bulletin des Sciences Mathamatiques     Full-text available via subscription   (Followers: 4)
Bulletin of Dnipropetrovsk University. Series : Communications in Mathematical Modeling and Differential Equations Theory     Open Access   (Followers: 2)
Bulletin of Mathematical Sciences     Open Access   (Followers: 1)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 1)
Bulletin of the Brazilian Mathematical Society, New Series     Hybrid Journal  
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 4)
Bulletin of the Malaysian Mathematical Sciences Society     Hybrid Journal  
Calculus of Variations and Partial Differential Equations     Hybrid Journal  
Canadian Journal of Science, Mathematics and Technology Education     Hybrid Journal   (Followers: 19)
Carpathian Mathematical Publications     Open Access   (Followers: 1)
Catalysis in Industry     Hybrid Journal   (Followers: 1)
CEAS Space Journal     Hybrid Journal   (Followers: 2)
CHANCE     Hybrid Journal   (Followers: 5)
Chaos, Solitons & Fractals     Hybrid Journal   (Followers: 3)
ChemSusChem     Hybrid Journal   (Followers: 7)
Chinese Annals of Mathematics, Series B     Hybrid Journal  
Chinese Journal of Catalysis     Full-text available via subscription   (Followers: 2)
Chinese Journal of Mathematics     Open Access  
Clean Air Journal     Full-text available via subscription   (Followers: 1)
Cogent Mathematics     Open Access   (Followers: 2)
Cognitive Computation     Hybrid Journal   (Followers: 4)
Collectanea Mathematica     Hybrid Journal  
COMBINATORICA     Hybrid Journal  
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4)
Combustion Theory and Modelling     Hybrid Journal   (Followers: 14)
Commentarii Mathematici Helvetici     Hybrid Journal   (Followers: 1)
Communications in Advanced Mathematical Sciences     Open Access  
Communications in Combinatorics and Optimization     Open Access  
Communications in Contemporary Mathematics     Hybrid Journal  
Communications in Mathematical Physics     Hybrid Journal   (Followers: 2)
Communications On Pure & Applied Mathematics     Hybrid Journal   (Followers: 3)
Complex Analysis and its Synergies     Open Access   (Followers: 2)
Complex Variables and Elliptic Equations: An International Journal     Hybrid Journal  
Complexus     Full-text available via subscription  
Composite Materials Series     Full-text available via subscription   (Followers: 8)
Compositio Mathematica     Full-text available via subscription   (Followers: 1)
Comptes Rendus Mathematique     Full-text available via subscription   (Followers: 1)
Computational and Applied Mathematics     Hybrid Journal   (Followers: 3)
Computational and Mathematical Methods in Medicine     Open Access   (Followers: 2)
Computational and Mathematical Organization Theory     Hybrid Journal   (Followers: 2)
Computational Complexity     Hybrid Journal   (Followers: 4)
Computational Mathematics and Modeling     Hybrid Journal   (Followers: 8)
Computational Mechanics     Hybrid Journal   (Followers: 5)
Computational Methods and Function Theory     Hybrid Journal  
Computational Optimization and Applications     Hybrid Journal   (Followers: 8)
Computers & Mathematics with Applications     Full-text available via subscription   (Followers: 9)
Concrete Operators     Open Access   (Followers: 5)
Confluentes Mathematici     Hybrid Journal  
Contributions to Game Theory and Management     Open Access  
COSMOS     Hybrid Journal  
Cryptography and Communications     Hybrid Journal   (Followers: 13)
Cuadernos de Investigación y Formación en Educación Matemática     Open Access  
Cubo. A Mathematical Journal     Open Access  
Current Research in Biostatistics     Open Access   (Followers: 8)
Czechoslovak Mathematical Journal     Hybrid Journal   (Followers: 1)
Demographic Research     Open Access   (Followers: 13)
Demonstratio Mathematica     Open Access  
Dependence Modeling     Open Access  
Design Journal : An International Journal for All Aspects of Design     Hybrid Journal   (Followers: 31)
Developments in Clay Science     Full-text available via subscription   (Followers: 1)
Developments in Mineral Processing     Full-text available via subscription   (Followers: 3)
Dhaka University Journal of Science     Open Access  
Differential Equations and Dynamical Systems     Hybrid Journal   (Followers: 4)
Differentsial'nye Uravneniya     Open Access  
Discrete Mathematics     Hybrid Journal   (Followers: 8)
Discrete Mathematics & Theoretical Computer Science     Open Access  
Discrete Mathematics, Algorithms and Applications     Hybrid Journal   (Followers: 2)
Discussiones Mathematicae - General Algebra and Applications     Open Access  
Discussiones Mathematicae Graph Theory     Open Access   (Followers: 1)
Diskretnaya Matematika     Full-text available via subscription  
Dnipropetrovsk University Mathematics Bulletin     Open Access  
Doklady Akademii Nauk     Open Access  
Doklady Mathematics     Hybrid Journal  
Duke Mathematical Journal     Full-text available via subscription   (Followers: 1)
Eco Matemático     Open Access  
Econometrics     Open Access   (Followers: 2)
Edited Series on Advances in Nonlinear Science and Complexity     Full-text available via subscription  
Educação Matemática Debate     Open Access  
EduMatSains     Open Access  
Electronic Journal of Combinatorics     Open Access  

        1 2 3 4 | Last

Journal Cover
Annals of the Institute of Statistical Mathematics
Journal Prestige (SJR): 1.495
Citation Impact (citeScore): 1
Number of Followers: 1  
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1572-9052 - ISSN (Online) 0020-3157
Published by Springer-Verlag Homepage  [2352 journals]
  • Robust variable selection for finite mixture regression models
    • Authors: Qingguo Tang; R. J. Karunamuni
      Pages: 489 - 521
      Abstract: Finite mixture regression (FMR) models are frequently used in statistical modeling, often with many covariates with low significance. Variable selection techniques can be employed to identify the covariates with little influence on the response. The problem of variable selection in FMR models is studied here. Penalized likelihood-based approaches are sensitive to data contamination, and their efficiency may be significantly reduced when the model is slightly misspecified. We propose a new robust variable selection procedure for FMR models. The proposed method is based on minimum-distance techniques, which seem to have some automatic robustness to model misspecification. We show that the proposed estimator has the variable selection consistency and oracle property. The finite-sample breakdown point of the estimator is established to demonstrate its robustness. We examine small-sample and robustness properties of the estimator using a Monte Carlo study. We also analyze a real data set.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0602-4
      Issue No: Vol. 70, No. 3 (2018)
  • Versatile estimation in censored single-index hazards regression
    • Authors: Chin-Tsang Chiang; Shao-Hsuan Wang; Ming-Yueh Huang
      Pages: 523 - 551
      Abstract: One attractive advantage of the presented single-index hazards regression is that it can take into account possibly time-dependent covariates. In such a model formulation, the main theme of this research is to develop a theoretically valid and practically feasible estimation procedure for the index coefficients and the induced survival function. In particular, compared with the existing pseudo-likelihood approaches, our one proposes an automatic bandwidth selection and suppresses an influence of outliers. By making an effective use of the considered versatile survival process, we further reduce a substantial finite-sample bias in the Chambless-Diao type estimator of the most popular time-dependent accuracy summary. The asymptotic properties of estimators and data-driven bandwidths are also established under some suitable conditions. It is found in simulations that the proposed estimators and inference procedures exhibit quite satisfactory performances. Moreover, the general applicability of our methodology is illustrated by two empirical data.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0600-6
      Issue No: Vol. 70, No. 3 (2018)
  • Adaptive varying-coefficient linear quantile model: a profiled estimating
           equations approach
    • Authors: Weihua Zhao; Jianbo Li; Heng Lian
      Pages: 553 - 582
      Abstract: We consider an estimating equations approach to parameter estimation in adaptive varying-coefficient linear quantile model. We propose estimating equations for the index vector of the model in which the unknown nonparametric functions are estimated by minimizing the check loss function, resulting in a profiled approach. The estimating equations have a bias-corrected form that makes undersmoothing of the nonparametric part unnecessary. The estimating equations approach makes it possible to obtain the estimates using a simple fixed-point algorithm. We establish asymptotic properties of the estimator using empirical process theory, with additional complication due to the nuisance nonparametric part. The finite sample performance of the new model is illustrated using simulation studies and a forest fire dataset.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0599-8
      Issue No: Vol. 70, No. 3 (2018)
  • Statistical inferences based on INID progressively type II censored
           order statistics
    • Authors: M. Razmkhah; S. Simriz
      Pages: 583 - 604
      Abstract: Suppose that the failure times of the units placed on a life-testing experiment are independent but nonidentically distributed random variables. Under progressively type II censoring scheme, distributional properties of the proposed random variables are presented and some inferences are made. Assuming that the random variables come from a proportional hazard rate model, the formulas are simplified and also the amount of Fisher information about the common parameters of this family is calculated. The results are also extended to a fixed covariates model. The performance of the proposed procedure is investigated via a real data set. Some numerical computations are also presented to study the effect of the proportionality rates in view of the Fisher information criterion. Finally, some concluding remarks are stated.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0598-9
      Issue No: Vol. 70, No. 3 (2018)
  • Bootstrap inference for misspecified moment condition models
    • Authors: Mihai Giurcanu; Brett Presnell
      Pages: 605 - 630
      Abstract: We study the standard-bootstrap, the centered-bootstrap, and the empirical-likelihood bootstrap tests of hypotheses used in conjunction with generalized method of moments inference in correctly specified and misspecified moment condition models. We show that, under correct specification, the standard-bootstrap estimator of the null distribution of the J-test converges in distribution to a random distribution, verifying its inconsistency, while the centered and the empirical-likelihood bootstrap estimators are consistent. We provide higher-order expansions of the size distortions of the analytic and the bootstrap tests. We show that the standard-bootstrap parameter-tests are consistent under misspecification, while the centered-bootstrap parameter-tests are inconsistent. We propose a general bootstrap methodology which is highly accurate under correct specification and consistent under misspecification. In a simulation study, we explore the finite sample behavior of the analytic and the bootstrap tests for a panel data model and we apply our methodology on a real-world data set.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0604-2
      Issue No: Vol. 70, No. 3 (2018)
  • Flexible sliced designs for computer experiments
    • Authors: Xiangshun Kong; Mingyao Ai; Kwok Leung Tsui
      Pages: 631 - 646
      Abstract: Sliced Latin hypercube designs are popularly adopted for computer experiments with qualitative factors. Previous constructions require the sizes of different slices to be identical. Here we construct sliced designs with flexible sizes of slices. Besides achieving desirable one-dimensional uniformity, flexible sliced designs (FSDs) constructed in this paper accommodate arbitrary sizes for different slices and cover ordinary sliced Latin hypercube designs as special cases. The sampling properties of FSDs are derived and a central limit theorem is established. It shows that any linear combination of the sample means from different models on slices follows an asymptotic normal distribution. Some simulations compare FSDs with other sliced designs in collective evaluations of multiple computer models.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0603-3
      Issue No: Vol. 70, No. 3 (2018)
  • Multiscale inference for a multivariate density with applications to X-ray
    • Authors: Konstantin Eckle; Nicolai Bissantz; Holger Dette; Katharina Proksch; Sabrina Einecke
      Pages: 647 - 689
      Abstract: In this paper, we propose methods for inference of the geometric features of a multivariate density. Our approach uses multiscale tests for the monotonicity of the density at arbitrary points in arbitrary directions. In particular, a significance test for a mode at a specific point is constructed. Moreover, we develop multiscale methods for identifying regions of monotonicity and a general procedure for detecting the modes of a multivariate density. It is shown that the latter method localizes the modes with an effectively optimal rate. The theoretical results are illustrated by means of a simulation study and a data example. The new method is applied to and motivated by the determination and verification of the position of high-energy sources from X-ray observations by the Swift satellite which is important for a multiwavelength analysis of objects such as Active Galactic Nuclei.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0605-1
      Issue No: Vol. 70, No. 3 (2018)
  • A more powerful test identifying the change in mean of functional data
    • Authors: Buddhananda Banerjee; Satyaki Mazumder
      Pages: 691 - 715
      Abstract: An existence of change point in a sequence of temporally ordered functional data demands more attention in its statistical analysis to make a better use of it. Introducing a dynamic estimator of covariance kernel, we propose a new methodology for testing an existence of change in the mean of temporally ordered functional data. Though a similar estimator is used for the covariance in finite dimension, we introduce it for the independent and weakly dependent functional data in this context for the first time. From this viewpoint, the proposed estimator of covariance kernel is more natural one when the sequence of functional data may possess a change point. We prove that the proposed test statistics are asymptotically pivotal under the null hypothesis and consistent under the alternative. It is shown that our testing procedures outperform the existing ones in terms of power and provide satisfactory results when applied to real data.
      PubDate: 2018-06-01
      DOI: 10.1007/s10463-017-0606-0
      Issue No: Vol. 70, No. 3 (2018)
  • Simultaneous confidence bands for the distribution function of a finite
           population in stratified sampling
    • Authors: Lijie Gu; Suojin Wang; Lijian Yang
      Abstract: Stratified sampling is one of the most important survey sampling approaches and is widely used in practice. In this paper, we consider the estimation of the distribution function of a finite population in stratified sampling by the empirical distribution function (EDF) and kernel distribution estimator (KDE), respectively. Under general conditions, the rescaled estimation error processes are shown to converge to a weighted sum of transformed Brownian bridges. Moreover, simultaneous confidence bands (SCBs) are constructed for the population distribution function based on EDF and KDE. Simulation experiments and illustrative data example show that the coverage frequencies of the proposed SCBs under the optimal and proportional allocations are close to the nominal confidence levels.
      PubDate: 2018-05-21
      DOI: 10.1007/s10463-018-0668-7
  • Bias reduction using surrogate endpoints as auxiliary variables
    • Authors: Yoshiharu Takagi; Yutaka Kano
      Abstract: Recently, it is becoming more active to apply appropriate statistical methods dealing with missing data in clinical trials. Under not missing at random missingness, MLE based on direct-likelihood, or observed likelihood, possibly has a serious bias. A solution to the bias problem is to add auxiliary variables such as surrogate endpoints to the model for the purpose of reducing the bias. We theoretically studied the impact of an auxiliary variable on MLE and evaluated the bias reduction or inflation in the case of several typical correlation structures.
      PubDate: 2018-05-17
      DOI: 10.1007/s10463-018-0667-8
  • Statistical inference based on bridge divergences
    • Authors: Arun Kumar Kuchibhotla; Somabha Mukherjee; Ayanendranath Basu
      Abstract: M-estimators offer simple robust alternatives to the maximum likelihood estimator. The density power divergence (DPD) and the logarithmic density power divergence (LDPD) measures provide two classes of robust M-estimators which contain the MLE as a special case. In each of these families, the robustness of the estimator is achieved through a density power down-weighting of outlying observations. Even though the families have proved to be useful in robust inference, the relation and hierarchy between these two families are yet to be fully established. In this paper, we present a generalized family of divergences that provides a smooth bridge between DPD and LDPD measures. This family helps to clarify and settle several longstanding issues in the relation between the important families of DPD and LDPD, apart from being an important tool in different areas of statistical inference in its own right.
      PubDate: 2018-05-17
      DOI: 10.1007/s10463-018-0665-x
  • Test for tail index constancy of GARCH innovations based on conditional
    • Authors: Moosup Kim; Sangyeol Lee
      Abstract: This study considers the problem of testing whether the tail index of the GARCH innovations undergoes a change according to the values of conditional volatilities. Special attention is paid to power-transformed and threshold generalized autoregressive conditional heteroscedasticity processes that can accommodate the GARCH family. We show that the proposed test asymptotically follows a functional of a standard Brownian motion under some regularity conditions. To evaluate our method, we carry out a simulation study and real data analysis using the return series of the Google stock price and DowJones index.
      PubDate: 2018-05-17
      DOI: 10.1007/s10463-018-0669-6
  • Limiting distributions of likelihood ratio test for independence of
           components for high-dimensional normal vectors
    • Authors: Yongcheng Qi; Fang Wang; Lin Zhang
      Abstract: Consider a p-variate normal random vector. We are interested in the limiting distributions of likelihood ratio test (LRT) statistics for testing the independence of its grouped components based on a random sample of size n. In classical multivariate analysis, the dimension p is fixed or relatively small, and the limiting distribution of the LRT is a chi-square distribution. When p goes to infinity, the chi-square approximation to the classical LRT statistic may be invalid. In this paper, we prove that the LRT statistic converges to a normal distribution under quite general conditions when p goes to infinity. We propose an adjusted test statistic which has a chi-square limit in general. Our comparison study indicates that the adjusted test statistic outperforms among the three approximations in terms of sizes. We also report some numerical results to compare the performance of our approaches and other methods in the literature.
      PubDate: 2018-05-14
      DOI: 10.1007/s10463-018-0666-9
  • Unified estimation of densities on bounded and unbounded domains
    • Authors: Kairat Mynbaev; Carlos Martins-Filho
      Abstract: Kernel density estimation in domains with boundaries is known to suffer from undesirable boundary effects. We show that in the case of smooth densities, a general and elegant approach is to estimate an extension of the density. The resulting estimators in domains with boundaries have biases and variances expressed in terms of density extensions and extension parameters. The result is that they have the same rates at boundary and interior points of the domain. Contrary to the extant literature, our estimators require no kernel modification near the boundary and kernels commonly used for estimation on the real line can be applied. Densities defined on the half-axis and in a unit interval are considered. The results are applied to estimation of densities that are discontinuous or have discontinuous derivatives, where they yield the same rates of convergence as for smooth densities on \({\mathbb {R}}\) .
      PubDate: 2018-05-04
      DOI: 10.1007/s10463-018-0663-z
  • Dimension reduction for kernel-assisted M-estimators with missing response
           at random
    • Authors: Lei Wang
      Abstract: To obtain M-estimators of a response variable when the data are missing at random, we can construct three bias-corrected nonparametric estimating equations based on inverse probability weighting, mean imputation, and augmented inverse probability weighting approaches. However, when the dimension of covariate is not low, the estimation efficiency will be affected due to the curse of dimensionality. To address this issue, we propose a two-stage estimation procedure by using the dimension-reduced kernel estimators in conjunction with bias-corrected estimating equations. We show that the resulting three kernel-assisted estimating equations yield asymptotically equivalent M-estimators that achieve the desirable properties. The finite-sample performance of the proposed estimators for response mean, distribution function and quantile is studied through simulation, and an application to HIV-CD4 data set is also presented.
      PubDate: 2018-04-25
      DOI: 10.1007/s10463-018-0664-y
  • Asymptotic properties of parallel Bayesian kernel density estimators
    • Authors: Alexey Miroshnikov; Evgeny Savelev
      Abstract: In this article, we perform an asymptotic analysis of Bayesian parallel kernel density estimators introduced by Neiswanger et al. (in: Proceedings of the thirtieth conference on uncertainty in artificial intelligence, AUAI Press, pp 623–632, 2014). We derive the asymptotic expansion of the mean integrated squared error for the full data posterior estimator and investigate the properties of asymptotically optimal bandwidth parameters. Our analysis demonstrates that partitioning data into subsets requires a non-trivial choice of bandwidth parameters that optimizes the estimation error.
      PubDate: 2018-04-18
      DOI: 10.1007/s10463-018-0662-0
  • Testing for a $$\delta $$ δ -neighborhood of a generalized Pareto copula
    • Authors: Stefan Aulbach; Michael Falk; Timo Fuller
      Abstract: A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its univariate margins. Aulbach et al.  (Bernoulli 18(2), 455–475, 2012. have shown that a copula satisfies the extreme value condition if and only if the copula is tail equivalent to a generalized Pareto copula (GPC). In this paper, we propose a \(\chi ^2\) -goodness-of-fit test in arbitrary dimension for testing whether a copula is in a certain neighborhood of a GPC. The test can be applied to stochastic processes as well to check whether the corresponding copula process is close to a generalized Pareto process. Since the p value of the proposed test is highly sensitive to a proper selection of a certain threshold, we also present graphical tools that make the decision, whether or not to reject the hypothesis, more comfortable.
      PubDate: 2018-04-17
      DOI: 10.1007/s10463-018-0657-x
  • Asymptotic properties of the realized skewness and related statistics
    • Authors: Yuta Koike; Zhi Liu
      Abstract: The recent empirical works have pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross section. Theoretically, the realized skewness is interpreted as the sample skewness of returns of a discretely observed semimartingale in a fixed interval. The aim of this paper is to investigate the asymptotic property of the realized skewness in such a framework. We also develop an estimation theory for the limiting characteristic of the realized skewness in a situation where measurement errors are present and sampling times are stochastic.
      PubDate: 2018-04-17
      DOI: 10.1007/s10463-018-0659-8
  • Robust functional estimation in the multivariate partial linear model
    • Authors: Michael Levine
      Abstract: We consider the problem of adaptive estimation of the functional component in a partial linear model where the argument of the function is defined on a q-dimensional grid. Obtaining an adaptive estimator of this functional component is an important practical problem in econometrics where exact distributions of random errors and the parametric component are mostly unknown. An estimator of the functional component that is adaptive over the wide range of multivariate Besov classes and robust to a wide choice of distributions of the linear component and random errors is constructed. It is also shown that the same estimator is locally adaptive over the same range of Besov classes and robust over large collections of distributions of the linear component and random errors as well. At any fixed point, this estimator attains a local adaptive minimax rate.
      PubDate: 2018-04-13
      DOI: 10.1007/s10463-018-0661-1
  • Weighted allocations, their concomitant-based estimators, and asymptotics
    • Authors: Nadezhda Gribkova; Ričardas Zitikis
      Abstract: Various members of the class of weighted insurance premiums and risk capital allocation rules have been researched from a number of perspectives. Corresponding formulas in the case of parametric families of distributions have been derived, and they have played a pivotal role when establishing parametric statistical inference in the area. Nonparametric inference results have also been derived in special cases such as the tail conditional expectation, distortion risk measure, and several members of the class of weighted premiums. For weighted allocation rules, however, nonparametric inference results have not yet been adequately developed. In the present paper, therefore, we put forward empirical estimators for the weighted allocation rules and establish their consistency and asymptotic normality under practically sound conditions. Intricate statistical considerations rely on the theory of induced order statistics, known as concomitants.
      PubDate: 2018-04-07
      DOI: 10.1007/s10463-018-0660-2
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