Related papers: Pareto analysis based on records
Measurements are generally collected as unilateral or bilateral data in clinical trials or observational studies. For example, in ophthalmologic studies, statistical tests are often based on one or two eyes of an individual. For bilateral…
We consider the problem of hypothesis testing for discrete distributions. In the standard model, where we have sample access to an underlying distribution $p$, extensive research has established optimal bounds for uniformity testing,…
This paper considers an empirical likelihood inference for parameters defined by general estimating equations, when data are missing at random. The efficiency of existing estimators depends critically on correctly specifying the conditional…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
Statistical methods for inference on spatial extremes of large datasets are yet to be developed. Motivated by standard dimension reduction techniques used in spatial statistics, we propose an approach based on empirical basis functions to…
In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…
This article concerns tests for location parameters in cases where the data dimension is larger than the sample size. We propose a family of tests based on the optimality arguments in Le Cam (1986) under elliptical symmetric. The asymptotic…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
New goodness-of-fit tests for exponentiality based on a particular property of exponential law are constructed. Test statistics are functionals of U-empirical processes. The first of these statistics is of integral type, the second one is a…
Max-stable processes are increasingly widely used for modelling complex extreme events, but existing fitting methods are computationally demanding, limiting applications to a few dozen variables. $r$-Pareto processes are mathematically…
We compare the parton distributions deduced in the framework of a quantum statistical approach for both the longitudinal and transverse degrees of freedom with the unpolarized distributions measured at Hera and with the polarized ones…
Much recent research has been conducted in the area of Bayesian learning, particularly with regard to the optimization of hyper-parameters via Gaussian process regression. The methodologies rely chiefly on the method of maximizing the…
Ratios of central order statistics seem to be very useful for estimating the tail of the distributions and therefore, quantiles outside the range of the data. In 1995 Isabel Fraga Alves investigated the rate of convergence of three…
We study the best-choice problem for processes which generalise the process of records from Poisson-paced i.i.d. observations. Under the assumption that the observer knows distribution of the process and the horizon, we determine the…
This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the behavior of extreme events as motivated by the…
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports using semi-parametric models called max-stable distributions…
Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived the…
In 1975 James Pickands III showed that the excesses over a high threshold are approximatly Generalized Pareto distributed. Since then, a variety of estimators for the parameters of this cdf have been studied, but always assuming the…
We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{\o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a non-linear function of it past values…