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Keywords: normal distribution
Journal Article
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness Get access
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1714–1758, https://doi.org/10.1093/jjfinec/nbae013
Published: 14 June 2024
... of index returns. The resultant linkages between these conditional moments could have important implications in asset pricing, portfolio selection, and risk management applications. asymmetric volatility Cornish–Fisher expansion Cubic Normal distribution Pearson Type IV distribution realized volatility...
Journal Article
A Truncated Mixture Transition Model for Interval-Valued Time Series Get access
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1130–1169, https://doi.org/10.1093/jjfinec/nbad022
Published: 14 August 2023
.../standard-publication-reuse-rights ) Abstract We propose a model for interval-valued time series that specifies the conditional joint distribution of the upper and lower bounds as a mixture of truncated bivariate normal distributions. It preserves the interval natural order and provides great flexibility...
Journal Article
Comparison of Bayesian Spatiotemporal Models for Small-Area Life Expectancy: A Simulation Study
American Journal of Epidemiology, Volume 192, Issue 8, August 2023, Pages 1396–1405, https://doi.org/10.1093/aje/kwad073
Published: 24 March 2023
... normal distribution Republic of Korea uncertainty LE life expectancy MAE mean absolute error ME mean error SD standard deviation SE standard error UI uncertainty interval Use of a methodological approach that is highly precise and produces informative variance...
Journal Article
Contrasting Principal Stratum and Hypothetical Strategy Estimands in Multi-Period Crossover Trials with Incomplete Data
in
Biometrics
Biometrics, Volume 79, Issue 3, September 2023, Pages 1896–1907, https://doi.org/10.1111/biom.13777
Published: 29 October 2022
...John N.S. Matthews; Sofia Bazakou; Robin Henderson; Linda D. Sharples closed skew-normal distribution complete-case analysis crossover design hypothetical strategy estimand principal stratum strategy estimand Williams design John N.S. Matthews, School of Mathematics, Statistics, and Physics...
Journal Article
Scalable and accurate variational Bayes for high-dimensional binary regression models Get access
in
Biometrika
Biometrika, Volume 109, Issue 4, December 2022, Pages 901–919, https://doi.org/10.1093/biomet/asac026
Published: 05 May 2022
...-dimensional probit regression Truncated normal distribution Unified skew-normal distribution Variational Bayes © The Author(s) 2022. Published by Oxford University Press on behalf of the Biometrika Trust. All rights reserved. For permissions, please email: [email protected] 2022...
Journal Article
Dynamic Modelling of Mortality Via Mixtures of Skewed Distribution Functions
Journal of the Royal Statistical Society Series A: Statistics in Society, Volume 185, Issue 3, July 2022, Pages 1030–1048, https://doi.org/10.1111/rssa.12808
Published: 21 March 2022
... ) Abstract There has been growing interest on forecasting mortality. In this article, we propose a novel dynamic Bayesian approach for modelling and forecasting the age-at-death distribution, focusing on a three-component mixture of a Dirac mass, a Gaussian distribution and a skew-normal distribution...
Journal Article
On the efficiency of type I censored samples Get access
IMA Journal of Mathematical Control and Information, Volume 38, Issue 2, June 2021, Pages 743–753, https://doi.org/10.1093/imamci/dnab009
Published: 09 April 2021
...-data example is reevaluated. entropy sup-entropy censored sample normal distribution The efficiency of censored samples based on entropy measures was addressed by many authors starting from the first trial of Hollander et al. (1987) in measuring the relative loss of information in right...
Journal Article
Two-step sampling can produce triphasic species–area relationship
Journal of Plant Ecology, Volume 14, Issue 4, August 2021, Pages 673–678, https://doi.org/10.1093/jpe/rtab020
Published: 30 March 2021
... adopted a data simulation method that used the power function of SAR to fit log-normal distribution of species abundance. Important Findings The results showed that one-step sampling caused biphasic SAR and n-step sampling could cause 2n-phasic SAR. Practical two-step sampling...
Journal Article
Spatial Factor Modeling: A Bayesian Matrix-Normal Approach for Misaligned Data
in
Biometrics
Biometrics, Volume 78, Issue 2, June 2022, Pages 560–573, https://doi.org/10.1111/biom.13452
Published: 11 March 2021
..., we extend scalable modeling strategies for a single process to multivariate processes. We pursue Bayesian inference, which is attractive for full uncertainty quantification of the latent spatial process. Our approach exploits distribution theory for the matrix-normal distribution, which we use...
Journal Article
Estimated Impacts of Emerald Ash Borer on Ash Timber Supply in Texas, USA Get access
Journal of Forestry, Volume 119, Issue 1, January 2021, Pages 45–61, https://doi.org/10.1093/jofore/fvaa043
Published: 09 November 2020
... lows of (delivered/stumpage) $37.6/$12.8 million over 25 years when assuming a normal distribution to highs of $247.8/$97.2 million over 75 years under a beta distribution. Salvage intensity exceeded mortality accumulation by a factor of at least 2.00. Regardless of length chosen, mortality that skewed...
Journal Article
Regularized Matrix Data Clustering and Its Application to Image Analysis
in
Biometrics
Biometrics, Volume 77, Issue 3, September 2021, Pages 890–902, https://doi.org/10.1111/biom.13354
Published: 16 August 2020
... the problem as a finite mixture model of matrix-normal distributions with regularization terms, and then develop an expectation maximization type of algorithm for efficient computation. In theory, we show that the proposed estimators are strongly consistent for various choices of penalty functions. Simulation...
Journal Article
Improving Value-at-Risk Prediction Under Model Uncertainty Get access
Journal of Financial Econometrics, Volume 21, Issue 1, Winter 2023, Pages 228–259, https://doi.org/10.1093/jjfinec/nbaa022
Published: 06 July 2020
... ∈ Θ and follows a G-normal distribution N ( 0 , [ σ ¯ 2 , σ ¯ 2 ] ) (the reader is reminded that this is not a classical probability distribution). The definitions of maximal distribution and unbiased estimator are given as follows: Definition 2.1...
Journal Article
Paired test of matrix graphs and brain connectivity analysis
Biostatistics, Volume 22, Issue 2, April 2021, Pages 402–420, https://doi.org/10.1093/biostatistics/kxz037
Published: 21 October 2019
... Gaussian graphical model Matrix variate normal distribution Multiple testing Partial correlation Variance correction Let denotes the matrix observed at time point . In brain connectivity analysis, denotes the spatial–temporal imaging data before ( ) and after ( ) a stimulus...
Journal Article
Bayesian Inference of Finite Population Quantiles for Skewed Survey Data Using Skew-Normal Penalized Spline Regression Get access
Journal of Survey Statistics and Methodology, Volume 8, Issue 4, September 2020, Pages 792–816, https://doi.org/10.1093/jssam/smz016
Published: 03 September 2019
.... We assume the survey outcome to follow a skew-normal distribution given the probability of selection and model the location and scale parameters of the skew-normal distribution as functions of the probability of selection. To allow a flexible association between the survey outcome and the probability...
Journal Article
Conjugate Bayes for probit regression via unified skew-normal distributions Get access
in
Biometrika
Biometrika, Volume 106, Issue 4, December 2019, Pages 765–779, https://doi.org/10.1093/biomet/asz034
Published: 25 August 2019
... and , as well as the effect of the data and , consider a constructive representation of the posterior. In particular, by adapting known results from unified skew-normal distributions ( Azzalini & Capitanio, 2014 , § 7.1.2) to the specific posterior in Theorem 1, it can be shown that has...
Journal Article
Simple Modifications for Signed Roots of Likelihood Ratio Statistics
Journal of the Royal Statistical Society: Series B (Methodological), Volume 55, Issue 1, September 1993, Pages 305–316, https://doi.org/10.1111/j.2517-6161.1993.tb01485.x
Published: 05 December 2018
...Thomas J. Diciccio; Michael A. Martin asymptotic expansion bayesian inference censoring conditional inference conditional likelihood ratio statistic confidence limit exponential family linear regression model location-scale model log-normal distribution natural parameter orthogonal...
Journal Article
Sequential Estimation Saving Sampling Operations
Journal of the Royal Statistical Society: Series B (Methodological), Volume 45, Issue 2, January 1983, Pages 219–223, https://doi.org/10.1111/j.2517-6161.1983.tb01243.x
Published: 05 December 2018
... predetermined factor, at the expense of only a slight increase in the expected sample size. The large sample theory is outlined, and some numerical computations provided to demonstrate the practicality of the procedure for smaller samples. confidence interval mean normal distribution sample size sequential...
Journal Article
Herschel on Estimation
Journal of the Royal Statistical Society Series A: Statistics in Society, Volume 155, Issue 1, January 1992, Pages 29–35, https://doi.org/10.2307/2982667
Published: 05 December 2018
... an explanation which is confirmed here. circular normal distribution estimation mixture of distributions probable error sir john herschel target shooting REFERENCES Bravais , A. ( 1846 ) Analyse mathématique sur les probabilités des erreurs de situation d’un point . Mem. Pres. Acad. Sci. Inst. Fr...
Journal Article
Computation of Bi- and Tri-Variate Normal Integrals
Journal of the Royal Statistical Society Series C: Applied Statistics, Volume 23, Issue 3, November 1974, Pages 435–438, https://doi.org/10.2307/2347136
Published: 05 December 2018
... A simple rule that is effectively an adaptive quadrature technique is shown to be an efficient method of computing the T-function needed in the Sheppard–Nicholson–Owen formulae for the bivariate normal distribution function Φ2. An extension to the trivariate case is outlined. Other...
Journal Article
Maximum Likelihood Estimation in a Linear Model from Confined and Censored Normal Data
Journal of the Royal Statistical Society Series C: Applied Statistics, Volume 28, Issue 2, June 1979, Pages 195–206, https://doi.org/10.2307/2346749
Published: 05 December 2018
...M. S. Wolynetz © 1979 The Authors 1979 This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model ( https://dbpia.nl.go.kr/journals/pages/open_access/funder_policies/chorus/standard_publication_model ) normal distribution...
