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Detecting Conditional Independence for Modeling Non-Gaussian Time Series
Kattumannil Sudheesh K.,Mathew Deemat C.,Hareesh G. 한국통계학회 2020 Journal of the Korean Statistical Society Vol.49 No.2
Entropy based dependence measures are used as an alternative to correlation for determining the lag dependency of time series models. In this study, we explore the properties of partial autoinformation function (PAIF) to identify the lag dependency of non-linear and non-Gaussian autoregressive models. Non-parametric estimators of autoinformation function (AIF) and PAIF are obtained and then studied its asymptotic properties. A bootstrap algorithm is developed for testing significance of PAIF at different lags. Finally, we present numerical study to illustrate the use of AIF and PAIF for identifying the order of AR processes.
Quantile based tests for exponentiality against DMRQ and NBUE alternatives
Sreelakshmi N.,Sudheesh K. Kattumannil,Asha G. 한국통계학회 2018 Journal of the Korean Statistical Society Vol.47 No.2
Quantile-based reliability analysis has received much attention recently. We propose new quantile-based tests for exponentiality against decreasing mean residual quantile function (DMRQ) and new better than used in expectation (NBUE) classes of alternatives. The exact null distribution of the test statistic is derived when the alternative class is DMRQ. The asymptotic properties of both the test statistics are studied. The performance of the proposed tests with other existing tests in the literature is evaluated through simulation study. Finally, we illustrate our test procedure using real data sets.
Jackknife empirical likelihood based inference for probability weighted moments
Bhati Deepesh,Kattumannil Sudheesh K.,Sreelakshmi N. 한국통계학회 2021 Journal of the Korean Statistical Society Vol.50 No.1
We discuss jackknife empirical likelihood (JEL) and adjusted jackknife empirical likelihood (AJEL) based inference for fnding confdence intervals for probability weighted moment (PWM). We obtain the asymptotic distribution of the JEL ratio and AJEL ratio statistics. We compare the performance of the proposed confdence intervals with recently developed methods in terms of coverage probability and average width. We also develop JEL and AJEL based tests for PWM and study its properties. Finally we illustrate our method using rainfall data of Indian states.
Goodness of fit test for uniform distribution with censored observation
Sreedevi E. P.,Kattumannil Sudheesh K. 한국통계학회 2023 Journal of the Korean Statistical Society Vol.52 No.2
We develop new goodness of fit test for uniform distribution based on a conditional moment characterization. We study the asymptotic properties of the proposed test statistic. We also present a goodness of fit test for uniform distribution to incorpo-rate the right censored observations and studied its properties. A Monte Carlo simu-lation study is carried out to evaluate the finite sample performance of the proposed tests. We illustrate the test procedures using real data sets.