Veranstaltungen

Parameter estimation and diagnostic tests for INMA(1) processes

On Some Stochastic Optimal Control Problems for an Energy Storage Facility We 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 […]

Tests on Asymmetry for Ordered Categorical Variables Skewness 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 […]

Performance of risk-adjusted CUSUM chart under an incorrectly specified binary logistic regression model Quality 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 […]

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 […]