Search results for "Mathematical statistics"
showing 10 items of 29 documents
Collective Cell Migration in a Fibrous Environment: A Hybrid Multiscale Modelling Approach
2021
International audience; The specific structure of the extracellular matrix (ECM), and in particular the density and orientation of collagen fibres, plays an important role in the evolution of solid cancers. While many experimental studies discussed the role of ECM in individual and collective cell migration, there are still unanswered questions about the impact of nonlocal cell sensing of other cells on the overall shape of tumour aggregation and its migration type. There are also unanswered questions about the migration and spread of tumour that arises at the boundary between different tissues with different collagen fibre orientations. To address these questions, in this study we develop …
Finding Prediction Limits for a Future Number of Failures in the Prescribed Time Interval under Parametric Uncertainty
2012
Computing prediction intervals is an important part of the forecasting process intended to indicate the likely uncertainty in point forecasts. Prediction intervals for future order statistics are widely used for reliability problems and other related problems. In this paper, we present an accurate procedure, called ‘within-sample prediction of order statistics', to obtain prediction limits for the number of failures that will be observed in a future inspection of a sample of units, based only on the results of the first in-service inspection of the same sample. The failure-time of such units is modeled with a two-parameter Weibull distribution indexed by scale and shape parameters β and δ, …
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
2018
We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended monotonicity condition in the y-variable and have linear time-dependent growth. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008) and, in the $L^2$-case with linear growth, those of Kruse and Popier (2016). Moreover, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we consider BSDEs where the Poisson random measure admits only jumps of size larger than $1/n$. We show con…
Comparing normal means: new methods for an old problem
2007
Comparing the means of two normal populations is an old problem in mathematical statistics, but there is still no consensus about its most appropriate solution. In this paper we treat the problem of comparing two normal means as a Bayesian decision problem with only two alternatives: either to accept the hypothesis that the two means are equal, or to conclude that the observed data are, under the assumed model, incompatible with that hypothesis. The combined use of an information-theory based loss function, the intrinsic discrepancy (Bernardo and Rueda 2002}, and an objective prior function, the reference prior \citep{Bernardo 1979; Berger and Bernardo 1992), produces a new solution to this…
Consumo de substancias durante el embarazo y dimensiones de personalidad
2020
Este estudio evalúa los patrones de consumo de substancias durante el embarazo y las dimensiones de personalidad asociadas, en una muestra multicéntrica de 1804 mujeres de población general. En el 2-3 día posparto, completaron una entrevista auto-administrada sobre el consumo de alcohol, tabaco, cafeína, cannabis, cocaína, opiáceos, drogas de diseño, además de variables socio-demográficas, obstétricas/reproductivas, historia psiquiátrica previa, apoyo social durante el embarazo y el cuestionario de personalidad de Eysenck (EPQ-RS). Se generaron modelos de regresión logística múltiple. La prevalencia del consumo fue del 50% (N=909): 40% cafeína, 21% tabaco, 3,5% alcohol, y 0,3 cannabis. Las …
Volatility transmission patterns and terrorist attacks
2009
The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo d…
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
2021
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
On the fusion problem for degenerate elliptic equations
1995
Let F be a relatively closed subset of a Euclidean domain Ω. We investigate when solutions u to certain elliptic equations on Ω/F are restrictions of solutions on all of Ω. Specifically, we show that if ∂F is not too large, and u has a suitable decay rate near F, then u can be so extended.
Inventory Control Under Parametric Uncertainty of Underlying Models
2013
A large number of problems in inventory control, production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncertainty of underlying models. In the present paper we consider the case, where it is known that the underlying distribution belongs to a parametric family of distributions. The problem of determining an optimal decision rule in the absence of complete information about the underlying distribution, i.e., when we specify only the functional form of the distribution and leave some or all of its parameters unspecified, is seen to be a standard problem of statistical estimation. Unfortunately, the clas…
A New Technique of Invariant Statistical Embedding and Averaging in Terms of Pivots for Improvement of Statistical Decisions Under Parametric Uncerta…
2021
In this chapter, a new technique of invariant embedding of sample statistics in a decision criterion (performance index) and averaging this criterion via pivotal quantities (pivots) is proposed for intelligent constructing efficient (optimal, uniformly non-dominated, unbiased, improved) statistical decisions under parametric uncertainty. This technique represents a simple and computationally attractive statistical method based on the constructive use of the invariance principle in mathematical statistics. Unlike the Bayesian approach, the technique of invariant statistical embedding and averaging in terms of pivotal quantities (ISE&APQ) is independent of the choice of priors and represents …