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1.
On the exact distribution of linear combinations of order statistics from dependent random variables 总被引:2,自引:0,他引:2
We study the exact distribution of linear combinations of order statistics of arbitrary (absolutely continuous) dependent random variables. In particular, we examine the case where the random variables have a joint elliptically contoured distribution and the case where the random variables are exchangeable. We investigate also the particular L-statistics that simply yield a set of order statistics, and study their joint distribution. We present the application of our results to genetic selection problems, design of cellular phone receivers, and visual acuity. We give illustrative examples based on the multivariate normal and multivariate Student t distributions. 相似文献
2.
In this paper, a family of the skew elliptical distributions is defined and investigated. Some basic properties, such as stochastic representation, marginal and conditional distributions, distribution under linear transformations, moments and moment generating function are derived. The joint distribution of several quadratic forms is obtained. An example is given to show that the distributions of some statistics as the functions of the quadratic forms can be derived for various applications. 相似文献
3.
深沪股市收益率分布特征的统计分析 总被引:8,自引:0,他引:8
本文通过对深沪两地股票市场的股指收益率数据进行分析,发现两地股票收益率分布均呈现"尖峰厚尾"反正态特征,本文通过引入Laplace分布代替过去人们常用的正态分布去刻画收益率分布,结果显示Laplace分布比正态分布拟合效率有了明显的提高。 相似文献
4.
Robert J. Boik 《Annals of the Institute of Statistical Mathematics》2008,60(1):61-83
A linear model in which random errors are distributed independently and identically according to an arbitrary continuous distribution
is assumed. Second- and third-order accurate confidence intervals for regression parameters are constructed from Charlier
differential series expansions of approximately pivotal quantities around Student’s t distribution. Simulation verifies that small sample performance of the intervals surpasses that of conventional asymptotic
intervals and equals or surpasses that of bootstrap percentile-t and bootstrap percentile-|t| intervals under mild to marked departure from normality. 相似文献
5.
Transformation of flow turbulence structure with cavitation occurrence, determination of the flow conditions favorable for nucleation of cavitation bubbles, influence of the statistical structure of turbulence on this process and the inverse effect of cavitation on the flow dynamics are challenging problems in modern fluid mechanics. The paper reports on the results of statistical processing of the velocity fields measured by a PIV technique in cavitating flow over a 2D symmetric hydrofoil for four flow conditions, starting from a cavitation-free regime and finishing by unsteady cloud cavitation. We analyze basic information on the statistical structure of velocity fluctuations in the form of histograms and Q-Q diagrams along with profiles of the mean velocity and turbulent kinetic energy. The research reveals that the flow turbulence pattern and distributions of turbulent fluctuations change significantly with the cavitation development. Under unsteady cloud cavitation conditions, the probability density function of the fluctuating velocity has a two-mode distribution, which indicates switching of two alternating flow conditions in a region above the hydrofoil aft part due to periodic passing of cavitation clouds. Behaviors of the mean and most probable velocities unexpectedly appear to be different with a monotonous increase of the incoming flow velocity. This finding must be caused by modification of the skewness coefficient of the fluctuating velocity. 相似文献
6.
7.
《Journal of computational and graphical statistics》2013,22(1):208-221
This article takes up Bayesian inference in linear models with disturbances from a noncentral Student-t distribution. The distribution is useful when both long tails and asymmetry are features of the data. The distribution can be expressed as a location-scale mixture of normals with inverse weights distributed according to a chi-square distribution. The computations are performed using Gibbs sampling with data augmentation. An empirical application to Standard and Poor's stock returns indicates that posterior odds strongly favor a noncentral Student-t specification over its symmetric counterpart. 相似文献
8.
This paper considers a flexible class of omnibus affine invariant tests for the hypothesis that a multivariate distribution is symmetric about an unspecified point. The test statistics are weighted integrals involving the imaginary part of the empirical characteristic function of suitably standardized given data, and they have an alternative representation in terms of an L2-distance of nonparametric kernel density estimators. Moreover, there is a connection with two measures of multivariate skewness. The tests are performed via a permutational procedure that conditions on the data. 相似文献
9.
Toshikatsu Koga 《Theoretical chemistry accounts》2004,112(5-6):431-434
The accuracies of approximate formulas are examined for several characteristics of the interelectronic angle density A(12), where 12 (012) is the angle subtended by the position vectors r1 and r2 of two electrons. Numerical results for 102 atoms show that simple approximations have sufficient accuracies for the moments with n=1–4, the central moments n with n=2, 4, and the kurtosis, when measured by the absolute and relative errors. For heavy atoms, however, the relative errors for the third central moment 3 and the skewness are large. 相似文献
10.
A non-Gaussian autoregressive model with epsilon-skew-normal innovations is introduced. Moments and maximum likelihood estimators of the parameters are proposed and their limit distributions are derived. Monte Carlo simulation results are analysed and the model is fitted to a real time series. 相似文献