Related papers: Pareto analysis based on records
We present, (partially) analyze, and apply an efficient algorithm for the simulation of multivariate Pareto records. A key role is played by minima of the record-setting region (we call these generators) each time a new record is generated,…
Two new goodness of fit tests for the Pareto type-I distribution for complete and right censored data are proposed using fixed point characterization based on Steins type identity. The asymptotic distributions of the test statistics under…
Some improved estimators of the location parameters of several exponential distributions with ordered restriction are derived and compared numerically using Monte Carlo simulations. Note that the two-parameter exponential distribution is…
We consider the structural change in a class of discrete valued time series that the conditional distribution follows a one-parameter exponential family. We propose a change-point test based on the maximum likelihood estimator of the…
In many applied fields it is desired to make predictions with the aim of assessing the plausibility of more severe events than those already recorded to safeguard against calamities that have not yet occurred. This problem can be analysed…
We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…
We propose new goodness-of-fit tests for the Pareto type I distribution. These tests are based on a multiplicative version of the memoryless property which characterises this distribution. We present the results of a Monte Carlo power study…
Statistical modelling of spatial extreme events has gained increasing attention over the last few decades with max-stable processes, and more recently $r$-Pareto processes, becoming the reference tools for the statistical analysis of…
This paper presents methods for meta-analysis of $2 \times 2$ tables, both with and without allowing heterogeneity in the treatment effects. Meta-analysis is common in medical research, but most existing methods are unsuited for $2 \times…
A variety of estimators for the parameters of the Generalized Pareto distribution, the approximating distribution for excesses over a high threshold, have been proposed, always assuming the underlying data to be independent. We recently…
This paper studies optimal hypothesis testing for nonregular econometric models with parameter-dependent support. We consider both one-sided and two-sided hypothesis testing and develop asymptotically uniformly most powerful tests based on…
We are giving one characterization result of exponential distribution using extropy of nth upper k-record value. We introduce test statistics based on the proposed characterization result that will be used to test exponentially. The…
Parametric inference for spatial max-stable processes is difficult since the related likelihoods are unavailable. A composite likelihood approach based on the bivariate distribution of block maxima has been recently proposed in the…
A key trait of stochastic optimizers is that multiple runs of the same optimizer in attempting to solve the same problem can produce different results. As a result, their performance is evaluated over several repeats, or runs, on the…
In this paper, we investigate inaccuracy measures based on record values, focusing on the relationship between the distribution of the n-th upper and lower k-record values and the parent distribution. We extend the classical Kerridge…
Performance estimation aims at estimating the loss that a predictive model will incur on unseen data. These procedures are part of the pipeline in every machine learning project and are used for assessing the overall generalisation ability…
This paper focuses on nonparametric statistical inference of the hazard rate function of discrete distributions based on $\delta$-record data. We derive the explicit expression of the maximum likelihood estimator and determine its exact…
De Haan and Pereira (2006) provided models for spatial extremes in the case of stationarity, which depend on just one parameter {\beta} > 0 measuring tail dependence, and they proposed different estimators for this parameter. This framework…
We design a general framework for answering adaptive statistical queries that focuses on providing explicit confidence intervals along with point estimates. Prior work in this area has either focused on providing tight confidence intervals…
Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior…