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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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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
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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
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