A Combined Shewhart-CUSUM Chart with Switching Limit The common Shewhart-CUSUM chart deploys an additional Shewhart limit to expand a single CUSUM chart by triggering quick alarms for large changes in the parameter of interest. Here, we utilize this supplementary limit to initiate the CUSUM accumulation. That is, we switch between an accumulation and a silent […]
Statistical Process Control in Quality Assurance of Inpatient Care Statistical Process Control (SPC) in hospital benchmarking using control charts is a common instrument for monitoring clinical performance and early detection of quality deficits. The external quality assurance program (EQA) of German hospitals does not yet employ SPC. Previous work has failed to come up with […]
Pricing and Valuation under the Real-World Measure In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem […]
Minensuche - ein statistisches Problem? Die in diesem Vortrag vorgestellte Untersuchung begann im Jahre 2002 mit dem Ziel, durch systematische Tests die Zuverlässigkeit von Methoden zur Räumung von Landminen zu quantifizieren. Insbesondere ging es um Klärung der Fragen, von welchen Einflussgrößen die Entdeckungswahrscheinlichkeit (probability of detection, POD) und die Rate falscher Alarme (false alarm rate, […]
Distance-based Analysis of Ordinal Data and Ordinal Time Series The dissimilarity of ordinal categories can be expressed with a distance measure. By considering expected distances of ordinal random variables, well-interpretable measures of location, dispersion or symmetry of ordinal random variables are defined, and also measures of serial dependence for ordinal processes. For special types of […]
Integer-valued max-autoregressive models The talk addresses an introduction to integer-valued max-autoregressive models. The parameter estimation for such models, e.g., the max-INAR(1) model, seems to be straightforward. The max-INAR(1) model is a Markov chain and maximum likelihood estimation with numerical optimization routines seems to be easily applicable. But if the observed counts attain very large values, […]
Changepoint detection in a nonparametric time series regression model A weakly dependent time series is considered, for which we develop a strategy to detect whether the nonparametric conditional mean function is stable in time. The strategy allows for autoregressive effects and heteroscedasticity. Our proposal is based on a modified CUSUM-type test procedure, which uses a […]
Effect Selection in Cox Frailty Models by Regularization Methods In all sorts of regression problems it has become more and more important to deal with complex and high dimensional data with lots of potentially influential covariates. A possible solution is to apply estimation methods that aim at the detection of the relevant effect structure by […]
Point Forecasting in Discrete Time Series Analysis In this work we determine central and non-central coherent point forecasts of various discrete valued time series models. Each coherent integer forecast is compared to its approximation, derived from the model representing the continuous counterpart to each respective discrete model. Several INAR(1) processes and the influence of their […]
Challenging the commonly used log-link in statistical models for count data with an application to infectious disease data A response function is an essential part of any generalized linear model, but its choice is rarely questioned. In particular, if the modeled expected value is restricted to be greater than zero, the choice often falls on […]