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X-ORIGINAL-URL:https://www.hsu-hh.de/statistik
X-WR-CALDESC:Veranstaltungen für Fächergruppe Mathematik und Statistik
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DTSTART:20170326T010000
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BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20190313T154500
DTEND;TZID=Europe/Berlin:20190313T171500
DTSTAMP:20190226T152341Z
CREATED:20190226T140207Z
LAST-MODIFIED:20190226T152341Z
UID:727-1552491900-1552497300@www.hsu-hh.de
SUMMARY:Aisouda Hoshiyar (HSU)
DESCRIPTION:Challenging the commonly used log-link in statistical models for count data with an application to infectious disease data \nA response function is an essential part of any generalized linear model\, but its choice\nis rarely questioned. In particular\, if the modeled expected value is restricted to be\ngreater than zero\, the choice often falls on the exponential function. Even for a response\nvariable\, for which the exponential function corresponds to the canonical link\, there is\nno indication that this is the true response function in general. Therefore\, we propose to\ntake the softplus function as response function into consideration. The softplus function\,\nwhich is technically used in the context of neural networks\, enables the modeling of the\nconditional mean in an additive way and therefore ensures a linear interpretation of the\nregression coefficients while respecting the positivity boundary of the conditional mean\nat the same time. The central research question to be discussed in this study is: Does\nthe softplus activating function represent an adequate substitute of the commonly used\nlog-link with an application to infectious diseases? In the first step\, a simulation study\ngives insight into the robustness of the estimated coefficients under various circumstances.\nFurthermore\, the framework for the analysis of multivariate infection disease data yield\nby Held et al. (2005) is self-implemented via the open source software R. By doing so\,\nthe softplus function is introduced to the model class applied. The estimation results\nfrom Held et al. (2005) are reproduced and compared to those concerning the softplus\nlink function with respect to the predictive quality. One-step-ahead-predictions build the\nbasis for mean-squared prediction errors and coverage frequencies of the upper prediction\nlimits. The results have been obtained using general optimisation routines via maximum\nlikelihood estimation.
URL:https://www.hsu-hh.de/statistik/event/challenging-the-commonly-used-log-link
LOCATION:Gebäude H1\, Raum 2151
CATEGORIES:Kolloquium
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20190213T154500
DTEND;TZID=Europe/Berlin:20190213T171500
DTSTAMP:20190109T141313Z
CREATED:20190109T141209Z
LAST-MODIFIED:20190109T141313Z
UID:691-1550072700-1550078100@www.hsu-hh.de
SUMMARY:Annika Homburg (HSU)
DESCRIPTION:Point Forecasting in Discrete Time Series Analysis\nIn this work we determine central and non-central coherent point forecasts of various discrete valued time series models.\nEach 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 distribution parameters\nare analyzed.
URL:https://www.hsu-hh.de/statistik/event/point-forecasting-in-discrete-time-series-analysis
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20190206T161500
DTEND;TZID=Europe/Berlin:20190206T174500
DTSTAMP:20190128T161126Z
CREATED:20190121T162340Z
LAST-MODIFIED:20190128T161126Z
UID:704-1549469700-1549475100@www.hsu-hh.de
SUMMARY:Andreas Groll (TU Dortmund)
DESCRIPTION:Effect Selection in Cox Frailty Models by Regularization Methods\nIn 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 using regularization methods. In this talk\, the effect structure in the Cox frailty model\, which is the most widely used model that accounts for heterogeneity in survival data\, is investigated. Since in survival models one has to account for possible variation of the effect strength over time the selection of the relevant features has to distinguish between several cases: covariates can have time-varying effects\, can have time-constant effects or be irrelevant. A regularization approach is proposed that is able to distinguish between these types of effects to obtain a sparse representation that includes the relevant effects in a proper form. The method is applied to a real world data set\, illustrating that the complexity of the influence structure can be strongly reduced by using the proposed regularization approach.
URL:https://www.hsu-hh.de/statistik/event/effect-selection-in-cox-frailty-models-by-regularization-methods
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20190108T154500
DTEND;TZID=Europe/Berlin:20190108T171500
DTSTAMP:20181226T095130Z
CREATED:20181226T094910Z
LAST-MODIFIED:20181226T095130Z
UID:669-1546962300-1546967700@www.hsu-hh.de
SUMMARY:Maria Mohr (Uni Hamburg)
DESCRIPTION:Changepoint detection in a nonparametric time series regression model\nA 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 sequential marked empirical process of residuals. We show weak convergence of the considered process to a centered Gaussian process under the null ”mt(·) = m(·) for all t” and a stationarity assumption. This requires some sophisticated arguments for sequential empirical processes of weakly dependent variables. As a consequence we obtain the convergence of Kolmogorov-Smirnov\nand Cramér-von Mises type test statistics. The procedure acquires a very simple limiting distribution and nice consistency properties against changepoint alternatives\, features from which related tests are lacking. Further considerations include a bootstrap procedure as well as a test for change in the conditional variance function. Finally\, a simulation study is conducted to investigate the finite sample performance of our tests.
URL:https://www.hsu-hh.de/statistik/event/changepoint-detection-in-a-nonparametric-time
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20181211T154500
DTEND;TZID=Europe/Berlin:20181211T171500
DTSTAMP:20181226T094847Z
CREATED:20181108T111402Z
LAST-MODIFIED:20181226T094847Z
UID:655-1544543100-1544548500@www.hsu-hh.de
SUMMARY:Tobias A. Möller (HSU)
DESCRIPTION:Integer-valued max-autoregressive models\nThe 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\, numerical issues frustrate this plan. The structure of the max-INAR(1) process will be used to show up a way to circumvent this problem. An example of the parameter estimation procedure with real data (counts of cinema visitors) demonstrates the application.
URL:https://www.hsu-hh.de/statistik/event/integer-valued-max-autoregressive-models
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20181113T154500
DTEND;TZID=Europe/Berlin:20181113T171500
DTSTAMP:20180828T120904Z
CREATED:20180828T120839Z
LAST-MODIFIED:20180828T120904Z
UID:626-1542123900-1542129300@www.hsu-hh.de
SUMMARY:Christian Weiss (HSU)
DESCRIPTION:Distance-based Analysis of Ordinal Data and Ordinal Time Series\nThe 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 distance\, these analytic tools lead to known approaches for ordinal or real-valued random variables. We also analyze the sample counterparts of the proposed measures and derive asymptotic results for practically important cases. Two real applications about the economic situation in Germany and the credit rating of European countries are presented.
URL:https://www.hsu-hh.de/statistik/event/distance-based-analysis-of-ordinal-data-and-ordinal-time-series
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20181106T154500
DTEND;TZID=Europe/Berlin:20181106T171500
DTSTAMP:20181212T115833Z
CREATED:20181009T121459Z
LAST-MODIFIED:20181212T115833Z
UID:643-1541519100-1541524500@www.hsu-hh.de
SUMMARY:Peter-Theodor Wilrich (FU)
DESCRIPTION:Minensuche – ein statistisches Problem?\nDie in diesem Vortrag vorgestellte Untersuchung begann im Jahre 2002\nmit dem Ziel\, durch systematische Tests die Zuverlässigkeit von Methoden zur\nRäumung von Landminen zu quantifizieren. Insbesondere ging es um Klärung\nder Fragen\, von welchen Einflussgrößen die Entdeckungswahrscheinlichkeit\n(probability of detection\, POD) und die Rate falscher Alarme (false alarm\nrate\, FAR) abhängen\, wie sich POD erhöhen und FAR verringern lassen\, ob\nTrainingsprogramme für Minensucher erforderlich sind und wie die Experimente\nzur Beantwortung dieser Fragen geplant und deren Ergebnisse ausgewertet\nwerden müssen.\nDie in die Minensuchexperimente einbezogenen Faktoren waren die Minentypen\,\ndie Minentiefen\, die Suchgerätetypen (device types)\, die Exemplare\nder Geräte (specimen)\, die Minensucher (operators) und die Versuchsfelder\n(lanes) mit verschiedener Bodenbeschaffenheit.\nDabei hatte der Statistiker folgende Aufgaben: \n1. Entwicklung eines Algorithmus zur Allokation der Minen in Versuchsfeldern.\nAnfangs gab es zwar mit Minen bestückte Versuchsfelder\, aber\nkeine Regeln\, nach denen vorzugehen ist\, um Fehlinformationen zu vermeiden.\n2. Bereitstellung von Versuchsplänen für die Minensuche. Anfangs gab es\nkeinerei statistische Versuchsplanung. Zunächst wurden griechisch-lateinische\nVersuchspläne benutzt\, später eigens entwickelte balancierte faktorielle\nVersuchspläne für Faktoren mit unterschiedlichen Anzahlen von Faktorstufen.\n3. Bereitstellung von Methoden zur statistischen Analyse der in den Experimenten\ngewonnenen Daten. Da die Erebnisse der Experimente binäre\nDaten (0 = nicht gefunden\, 1 = gefunden zw. falscher Alarm) bestehen\,\nerfolgte die statistische Analyse mit verallgemeinerten linearen Modellen.\n4. Erstellung von konsistenten web-basierten Programmen zur Durchführung\nder Planungs- und Analyseschritte\, basierend auf R\, benutzbar aber ohne\nKenntnisse von R. \nDie ersten drei dieser Aufgaben werden im Vortrag angesprochen. Einige\nUntersuchungsergebnisse werden vorgestellt.
URL:https://www.hsu-hh.de/statistik/event/minensuche-ein-statistisches-problem
LOCATION:Helmut-Schmidt-Universität / Universität der Bundeswehr\, Holstenhofweg 85\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20181023T154500
DTEND;TZID=Europe/Berlin:20181023T171500
DTSTAMP:20180830T133757Z
CREATED:20180830T133757Z
LAST-MODIFIED:20180830T133757Z
UID:632-1540309500-1540314900@www.hsu-hh.de
SUMMARY:Gabriel Frahm (HSU)
DESCRIPTION:Pricing and Valuation under the Real-World Measure\nIn 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 is that asset prices are typically expressed in terms of a risk-neutral measure. This makes it difficult to transfer the fundamental results of financial mathematics to econometrics. I show that the aforementioned problems evaporate if the financial market is complete and sensitive. In this case\, after an appropriate choice of the numéraire\, the discounted price processes turn out to be uniformly integrable martingales under the real-world measure. This leads to a Law of One Price and a simple real-world valuation formula in a model-independent framework where the number of assets as well as the lifetime of the market can be finite or infinite.
URL:https://www.hsu-hh.de/statistik/event/pricing-and-valuation-under-the-real-world-measure
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20181016T154500
DTEND;TZID=Europe/Berlin:20181016T171500
DTSTAMP:20180823T085353Z
CREATED:20180823T085353Z
LAST-MODIFIED:20180823T085353Z
UID:620-1539704700-1539710100@www.hsu-hh.de
SUMMARY:Lena Hubig (LMU München)
DESCRIPTION:Statistical Process Control in Quality Assurance of Inpatient Care\nStatistical 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 suggestions for efficient application of SPC. There is also a lack of focus on the importance of preventing false positive signals.\nIn this contribution we study control limits for defined false signal probability and their dependence on specific features such as hospital volume\, risk score and patient mix. We also determine the detection quality of specific control switches. We conduct simulation studies in order to investigate optimal designs for crude and risk-adjusted performance indicators of the log-likelihood CUSUM chart of Steiner et al. (Biostatistics 1.4 (2000)\, pp. 441-52). Examples are taken from the EQA in Bavaria\, Germany.\nFocusing on signal probability instead of average run length allows control of the false signal probability and performance evaluation of control charts. Thus it was possible to construct CUSUM charts for different hospital volumes and failure probabilities. We gained better understanding of the influence of control switches in constructing CUSUM charts. We also compare our results to run-length based control strategies.\nThe presented results are useful for regulatory decision making and help to implement CUSUM charts within EQA. We expect application of CUSUM control charts to significantly improve early detection of quality deficits with appropriate adjustment for different case mix and hospital volume.
URL:https://www.hsu-hh.de/statistik/event/statistical-process-control-in-quality-assurance-of-inpatient-care
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20180626T154500
DTEND;TZID=Europe/Berlin:20180626T171500
DTSTAMP:20180509T094258Z
CREATED:20180509T094202Z
LAST-MODIFIED:20180509T094258Z
UID:600-1530027900-1530033300@www.hsu-hh.de
SUMMARY:Sebastian Ottenstreuer (HSU)
DESCRIPTION:A Combined Shewhart-CUSUM Chart with Switching Limit\nThe 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 phase. The new switching limit’s value resides between the reference value of the CUSUM chart and the usual Shewhart limit. Thus\, for the case that the CUSUM statistic is equal to zero\, a further observation has to be more substantial than this new limit to engage the summing process. We demonstrate the setup and analyze the new combination for independent Poisson distributed data and a more involved time series model with Poisson marginals\, the Poisson INAR(1). Moreover\, we also test the novel chart’s robustness against hypothetical misspecification such as undetected overdispersion or autocorrelation. It turns out that this kind of combination features patterns between a pure CUSUM and a stand-alone Shewhart chart and\, hence\, constitutes a solid alternative to both single charts as well as to the ordinary Shewhart-CUSUM. Finally\, in the context of possible extensions\, a real data set from semiconductor industry with apparently overdispersed counts is considered and the application to Gaussian variables data is briefly discussed.
URL:https://www.hsu-hh.de/statistik/event/a-combined-shewhart-cusum-chart-with-switching-limit
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20180607T143000
DTEND;TZID=Europe/Berlin:20180607T160000
DTSTAMP:20180605T133017Z
CREATED:20180605T133017Z
LAST-MODIFIED:20180605T133017Z
UID:612-1528381800-1528387200@www.hsu-hh.de
SUMMARY:Philipp Wittenberg (HSU)
DESCRIPTION:Performance of risk-adjusted CUSUM chart under an incorrectly specified binary logistic regression model\nQuality control charts used in a healthcare environment\, for example\, to monitor surgical performance are becoming more common. Risk-adjusted (RA) CUSUM charts\, that utilize only raw risk scores like the Parsonnet score to assess the preoperative risk\, may lead to a deterioration of the chart’s properties\, in particular the false alarm behavior. Our approach considers the application of power transformations in the logistic regression model to improve the fit to the binary outcome data. From a list of alternatives\, we derive an appropriate value for the power exponent δ. The average run length (ARL) to false alarm is calculated with the popular Markov chain approximation more efficiently by utilizing the Toeplitz structure of the transition matrix. A sensitivity analysis of the in-control ARL against the actually used value δ shows possible effects of incorrect choices of δ depending on the underlying patient mix. We show that these results can vary from robustness to severe effects (doubled number of false alarms).
URL:https://www.hsu-hh.de/statistik/event/performance-of-risk-adjusted-cusum-chart-under-an
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20180605T154500
DTEND;TZID=Europe/Berlin:20180605T171500
DTSTAMP:20180406T130723Z
CREATED:20180406T130644Z
LAST-MODIFIED:20180406T130723Z
UID:581-1528213500-1528218900@www.hsu-hh.de
SUMMARY:Monika Doll (Uni Erlangen-Nürnberg)
DESCRIPTION:Tests on Asymmetry for Ordered Categorical Variables\nSkewness is a well-established statistical concept for continuous and to a lesser extent for discrete quantitative statistical variables. However\, for ordered categorical variables almost no literature concerning skewness exists\, although this type of variables is common for behavioral\, educational\, and social sciences. Suitable measures of skewness for ordered categorical variables have to be invariant with respect to the group of strictly increasing\, continuous transformations. Therefore\, they have to depend on the corresponding maximal-invariants. Based on these maximal-invariants we propose a new class of skewness functionals\, show that members of this class preserve a suitable ordering of skewness and derive the asymptotic distribution of the corresponding skewness statistic. Finally\, we show the good power behavior of the corresponding skewness tests and illustrated these tests by applying real data examples.
URL:https://www.hsu-hh.de/statistik/event/tests-on-asymmetry-for-ordered-categorical-variables
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20180508T154500
DTEND;TZID=Europe/Berlin:20180508T171500
DTSTAMP:20180430T171245Z
CREATED:20180430T171119Z
LAST-MODIFIED:20180430T171245Z
UID:591-1525794300-1525799700@www.hsu-hh.de
SUMMARY:Ralf Wunderlich (BTU Cottbus-Senftenberg)
DESCRIPTION:On Some Stochastic Optimal Control Problems for an Energy Storage Facility \nWe address the valuation of an energy storage facility in the presence of stochastic energy prices as it arises in the case of a hydro-electric pump station. The valuation problem is related to the problem of determining the optimal charging/discharging strategy that maximizes the expected value of the resulting discounted cash flows over the lifetime of the storage. We use a regime-switching model for the energy price which allows for a changing economic environment described by a finite state Markov chain. For the latter we consider the fully as well as the partially observed case. \nThe valuation problem is formulated as a stochastic control problem with regime switching in continuous time. For this control problem we derive the associated Hamilton-Jacobi-Bellman (HJB) equation which is not strictly elliptic. Therefore we study the HJB equation using regularization arguments. \nWe use numerical methods for computing approximations of the value function and the optimal strategy. Finally\, we present some numerical results.
URL:https://www.hsu-hh.de/statistik/event/on-some-stochastic-optimal-control-problems-for-an-energy-storage-facility
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=Europe/Berlin:20180206T140000
DTEND;TZID=Europe/Berlin:20180206T153000
DTSTAMP:20180129T134159Z
CREATED:20180129T134158Z
LAST-MODIFIED:20180129T134159Z
UID:575-1517925600-1517931000@www.hsu-hh.de
SUMMARY:Boris Aleksandrov (HSU)
DESCRIPTION:Parameter estimation and diagnostic tests for INMA(1) processes\nThe INMA(1) model for count time series\, an integer-valued counterpart to the usual moving-average model of order~1\, was introduced by Al-Osh & Alzaid (1988) and McKenzie (1988). During the last years\, it gained increasing interest for applications. For instance\, it was used by Cossette et al. (2011) to model the number of claims in the area of insurance\, and Zhang et al. (2015) applied the model in the area of reinsurance. Furthermore\, Hu et al. (2017) point out application areas where the claim numbers may exhibit overdispersion. While stochastic properties of this model\, in particular for the special case of the Poisson INMA(1) model\, have been comprehensively studied in the literature\, only little is known about statistical inference concerning this model. \nWe start with a central limit theorem for Poisson INMA(1) processes\, which allows to explicitly derive the asymptotic distribution of moment and frequency related statistics. In particular\, we consider the asymptotic distribution (including bias correction) for diverse moment estimators\, for the index of dispersion\, and for the autocorrelation function. We apply these results for constructing confidence intervals for model parameters\, and for deriving hypothesis tests to check the marginal distribution (e.g.\, with respect to the Poisson’s equidispersion property) as well as the autocorrelation function (to diagnose the moving average structure). We also show simulation results for INMA(1) time series with different parameters to demonstrate the finite-sample performance of the asymptotic approximations for the above mentioned statistics.
URL:https://www.hsu-hh.de/statistik/event/parameter-estimation-and-diagnostic-tests-for-inma1-processes
LOCATION:Gebäude H1\, Raum 1505\, Holstenhofweg 85\, Hamburg\, Hamburg\, 22043\, Deutschland
CATEGORIES:Kolloquium
ORGANIZER;CN="F%C3%A4chergruppe Mathematik und Statistik":MAILTO:weissc@hsu-hh.de
END:VEVENT
END:VCALENDAR