Search

This paper presents an algorithm to select records from a ground motion database for multiple sites under unconditional or conditional earthquake scenarios. Major steps in the selection algorithm are to construct the target distribution (i.e., mean and covariance matrix) of spectral accelerations (SAs) at multiple sites by incorporating the ground-motion spatial correlation, randomly simulate suites of response spectra given the "target", and select a final suite of recorded ground motions with response spectra individually matching the simulated spectra. Ground-motion selection examples are provided to validate the performance of the algorithm developed; it is demonstrated that the selected multiple-site ground motions realistically capture the target distribution (i.e., mean, covariance, and spatial correlation) of response spectra for both unconditional and conditional scenarios. The computational expense of the algorithm is examined to be generally acceptable. The algorithm presented can be used for selecting ground motions, as inputs to conduct dynamic analysis of spatially distributed buildings. [ABSTRACT FROM AUTHOR]

In this paper, we consider two well-known parametric long-term survival models, namely, the Bernoulli cure rate model and the promotion time (or Poisson) cure rate model. Assuming the long-term survival probability to depend on a set of risk factors, the main contribution is in the development of the stochastic expectation maximization (SEM) algorithm to determine the maximum likelihood estimates of the model parameters. We carry out a detailed simulation study to demonstrate the performance of the proposed SEM algorithm. For this purpose, we assume the lifetimes due to each competing cause to follow a two-parameter generalized exponential distribution. We also compare the results obtained from the SEM algorithm with those obtained from the well-known expectation maximization (EM) algorithm. Furthermore, we investigate a simplified estimation procedure for both SEM and EM algorithms that allow the objective function to be maximized to split into simpler functions with lower dimensions with respect to model parameters. Moreover, we present examples where the EM algorithm fails to converge but the SEM algorithm still works. For illustrative purposes, we analyze a breast cancer survival data. Finally, we use a graphical method to assess the goodness-of-fit of the model with generalized exponential lifetimes. [ABSTRACT FROM AUTHOR]

One of the major challenges in modern day statistics is to formulate models and develop inferential procedures to understand the complex multivariate relationships present in high-dimensional datasets. In this paper, we address the issue of model determination for DAGs, with respect to a given ordering of the variables, together with the corresponding parameter estimation. For this, we use a hierarchical mixture prior and develop a Gibbs sampling algorithm to carry out the posterior computations. We first focus on the Gaussian DAG models and calculate the posterior probability of being the edge between two nodes. We then extend our idea to construct a DAG for discrete data under the assumption that the data generated by discretization of the marginal distributions of a latent multivariate Gaussian distribution via a set of predetermined threshold values. Results show that the proposed method has high accuracy. The source code is available at [ABSTRACT FROM AUTHOR]

This paper considers the vector autoregressive model of order p, VAR(p), with multivariate t error distributions, the latter being more prevalent in real life than the usual multivariate normal distribution. It is believed that the maximum-likelihood equations for the multivariate t distribution have convergence problem, hence we develop estimation procedures for VAR(p) model using the normal mean–variance mixture representation of multivariate t distribution. The procedure relies on the computational ease available in Expectation Maximization-based algorithms. The estimators obtained are explicit functions of sample observations and therefore are easy to compute. Extensive simulation experiments show that the estimators have negligible bias and are considerably more efficient than an existing method that uses the least-squares error approach. It is shown that the proposed estimators are robust to plausible deviations from an assumed distribution and hence are more advantageous when compared with the other estimator. One real-life example is given for illustration purposes. [ABSTRACT FROM AUTHOR]

This paper investigates the problem of unknown input estimation such as acceleration, target class, and maneuvering target tracking using a hybrid algorithm. One of the challenges of unknown input estimation is that no effective method has been presented so far that could be applied to general cases. The available methods are ineffective when the range of variation of the unknown input parameter is large. Also, the issue of determining the system class could improve the performance of the tracking algorithms in many applications. Using the Bayesian theory, the posterior distribution functions of state and parameter could be obtained concurrently. In the proposed algorithm, Liu and West and multimode filters are used for unknown parameters' estimation, and particle filter is used to estimate the posterior density function. Parameter estimation and mode determination could be used in the resampling phase to weight the particles in accordance with the target mode. The main advantage of the adaptive parameter estimation approach is its ability to provide a quick estimation of the abruptly changing parameters from noninformative prior knowledge and to do this for multiple unknown parameters. Simulation results show that the proposed algorithm performs better than the other input estimation and tracking methods. [ABSTRACT FROM AUTHOR]

In applications of Gaussian processes (GPs) where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. This is normally done by means of standard Markov chain Monte Carlo (MCMC) algorithms, which require repeated expensive calculations involving the marginal likelihood. Motivated by the desire to avoid the inefficiencies of MCMC algorithms rejecting a considerable amount of expensive proposals, this paper develops an alternative inference framework based on adaptive multiple importance sampling (AMIS). In particular, this paper studies the application of AMIS for GPs in the case of a Gaussian likelihood, and proposes a novel pseudo-marginal-based AMIS algorithm for non-Gaussian likelihoods, where the marginal likelihood is unbiasedly estimated. The results suggest that the proposed framework outperforms MCMC-based inference of covariance parameters in a wide range of scenarios. [ABSTRACT FROM AUTHOR]

The Type-II progressive censoring scheme has become very popular for analyzing lifetime data in reliability and survival analysis. However, no published papers address parameter estimation under progressive Type-II censoring for the mixed exponential distribution (MED), which is an important model for reliability and survival analysis. This is the problem that we address in this paper. It is noted that maximum likelihood estimation of unknown parameters cannot be obtained in closed form due to the complicated log-likelihood function. We solve this problem by using the EM algorithm. Finally, we obtain closed form estimates of the model. The proposed methods are illustrated by both some simulations and a case analysis. [ABSTRACT FROM PUBLISHER]

Models for dealing with survival data in the presence of a cured fraction of individuals have attracted the attention of many researchers and practitioners in recent years. In this paper, we propose a cure rate model under the competing risks scenario. For the number of causes that can lead to the event of interest, we assume the polylogarithm distribution. The model is flexible in the sense it encompasses some well-known models, which can be tested using large sample test statistics applied to nested models. Maximum-likelihood estimation based on the EM algorithm and hypothesis testing are investigated. Results of simulation studies designed to gauge the performance of the estimation method and of two test statistics are reported. The methodology is applied in the analysis of a data set. [ABSTRACT FROM AUTHOR]

In this paper, a hybrid modeling approach for granular flow-like applications is presented. The approach allows to switch for a priori fixed points in time between the different levels of description which are the microscopic and macroscopic scale, respectively. Based on the numerical discretization of the models, the switching procedure is able to interpret information on individual objects as density distributions and vice versa. In particular, the reverse direction, i.e. from a macroscopic to a microscopic perspective, requires the solution of a nonlinear least squares problem subject to further constraints. Simulation results are given and demonstrate the good performance of the algorithm in the case of material and pedestrian flow models. [ABSTRACT FROM AUTHOR]

This paper presents a method for determining the optimum number, impedance, and locations of fault current limiter (FCL) to reduce the negative impact of distributed generations presence in the power systems such as increasing the short circuit current levels and improve the system reliability. In the considered method, we have modeled the FCL placement as an optimization problem while the objectives are; bus fault current difference, reliability, the number and impedance of FCLs. Moreover, to solve the proposed problem, a new multi-objective optimization algorithm based on firework algorithm namely multi-objective firework algorithm has been implemented. In the new algorithm, several iterations have been considered, and the non-dominated solutions are extracted and stored in an external repository in the iterations. Finally, a fuzzy clustering technique is used to control the size of the repository during the algorithm evolution. The proposed approach is tested on two different systems, namely, Roy Billinton Test System (RBTS) 2 and RBTS 4 test system. The obtained results demonstrate the effectiveness and feasibility of the new method. [ABSTRACT FROM PUBLISHER]

In this paper, the run-length distributions of cumulative sum (CUSUM) charts for monitoring mean changes under normal distributions have been investigated thoroughly. However, there are few studies devoted to the analysis of the run-length distributions of CUSUM charts under changes in process variances. Motivated by this, this paper develops a fast and accurate algorithm based on piecewise collocation method for computing the run-length distributions of CUSUM scale charts. It is shown that the proposed method can provide more accurate approximation to the run-length distribution than the conventional Gauss-type quadrature-based methods applied to the CUSUM location charts. Some computational aspects for facilitating computation load are discussed, including the alternative formulation based on matrix decomposition and the geometric approximation to the distribution of large run lengths. [ABSTRACT FROM PUBLISHER]

Detection of an environmental phenomenon, e.g. air pollution and oil spills, occurs when a group of sensors continuously produces similar readings (i.e. data streams) over a period of time. Thus, detection of environmental phenomena is basically a process of clustering the sensors' data streams, which commonly involves the processing of hundreds and maybe thousands of data streams in real time. Since the sensor network environment is wireless, energy conservation of the sensors would be the main concern. Thus in this paper, we propose an efficient and energy friendly distributed scheme to detect phenomena in a wireless sensor network (WSN). To achieve fast response, the proposed algorithms reduce the dimensionality of the streams. Then, each stream is represented by a point in a multi-dimensional grid. The algorithm uses a grid-based clustering technique to detect clusters of similar stream values. The processing of the algorithm is distributed among different elements of the WSN in a hierarchical topology for more energy efficiency. The paper shows the feasibility of the proposed fully distributed scheme by comparing it with three other WSN schemes in terms of clustering accuracy and energy consumption. [ABSTRACT FROM PUBLISHER]

Principal component analysis (PCA) is well recognized in dimensionality reduction, and kernel PCA (KPCA) has also been proposed in statistical data analysis. However, KPCA fails to detect the nonlinear structure of data well when outliers exist. To reduce this problem, this paper presents a novel algorithm, named iterative robust KPCA (IRKPCA). IRKPCA works well in dealing with outliers, and can be carried out in an iterative manner, which makes it suitable to process incremental input data. As in the traditional robust PCA (RPCA), a binary field is employed for characterizing the outlier process, and the optimization problem is formulated as maximizing marginal distribution of a Gibbs distribution. In this paper, this optimization problem is solved by stochastic gradient descent techniques. In IRKPCA, the outlier process is in a high-dimensional feature space, and therefore kernel trick is used. IRKPCA can be regarded as a kernelized version of RPCA and a robust form of kernel Hebbian algorithm. Experimental results on synthetic data demonstrate the effectiveness of IRKPCA. [ABSTRACT FROM AUTHOR]

In this paper, we give an elegant algorithm to generate all distributions of n identical objects to m bins without repetition. The best known previous algorithm, due to Klingsberg, generates each distribution in constant time in average sense. Using a new technique of efficient tree traversal, in this paper we improve the time complexity to constant time (in ordinary sense). By modifying our algorithm, we can generate the distributions in anti-lexicographic order. Overall space complexity of our algorithm is O(mlgn), where m is the number of bins and n is the number of objects. [ABSTRACT FROM AUTHOR]

This paper considers a life test under progressive type I group censoring with a Weibull failure time distribution. The maximum likelihood method is used to derive the estimators of the parameters of the failure time distribution. In practice, several variables, such as the number of test units, the number of inspections, and the length of inspection interval are related to the precision of estimation and the cost of experiment. An inappropriate setting of these decision variables not only wastes the resources of the experiment but also reduces the precision of estimation. One problem arising from designing a life test is the restricted budget of experiment. Therefore, under the constraint that the total cost of experiment does not exceed a pre-determined budget, this paper provides an algorithm to solve the optimal decision variables by considering three different criteria. An example is discussed to illustrate the proposed method. The sensitivity analysis is also studied. [ABSTRACT FROM AUTHOR]

In this paper we give an algorithm to generate all distributions of distinguishable objects to bins without repetition. Our algorithm generates each distribution in constant time. To the best of our knowledge, our algorithm is the first algorithm which generates each solution in O(1) time in the ordinary sense. As a byproduct of our algorithm, we obtain a new algorithm to enumerate all multiset partitions when the number of partitions is fixed and the partitions are numbered. In this case, the algorithm generates each multiset partitions in constant time (in the ordinary sense). Finally, we extend the algorithm to the case when the bins have priorities associated with them. Overall space complexity of the algorithm is O(mklgn), where there are m bins and the objects fall into k different classes. In a companion paper, the generation of all distributions of identical objects to bins is also considered. [ABSTRACT FROM AUTHOR]

This paper presents a new approach to the unit commitment problem using the absolutely stochastic simulated annealing method. In each iteration, a solution is taken with a certain probability. Typically, in the simulated annealing minimization method, a higher cost feasible solution is accepted with temperature-dependent probability, but other solutions are accepted deterministically. That may lead to the near optimization slowly. However in this paper, all the solutions, both higher and lower cost, are associated with acceptance probabilities. Besides, the number of bits flipping is decided by an appropriate distribution. Excess units with system-dependent probability distribution handle constraints efficiently. To reduce the economic load dispatch (ELD) overhead recalculations, a sign bit vector is introduced as well. The proposed method is tested using the reported problem data sets. Simulation results for the systems up to 100 units are compared to the previous reported results. Numerical results show an improvement in solution cost and time over to the results obtained from recent powerful algorithms. [ABSTRACT FROM AUTHOR]

This paper is concerned with the technique of numerically evaluating the cumulative distribution function of a quadratic form in normal variables. The efficiency of two new truncation bounds and all existing truncation bounds are investigated. We also find that the suggestion in the literature for further splitting truncation errors might reduce computational efficiency, and the optimum splitting rate could be different in different situations. A practical solution is provided. The paper also discusses a modified secant algorithm for finding the critical value of the distribution at any given significance level. [ABSTRACT FROM AUTHOR]

Discrepancies are measures which are defined as the deviation between the empirical and the theoretical uniform distribution. In this way, discrepancy is a measure of uniformity which provides a way of construction a special kind of space filling designs, namely uniform designs. Several discrepancies have been proposed in recent literature. A brief, selective review of these measures including some construction algorithms are given in this paper. Furthermore, a critical discussion along with some comparisons is provided, as well. [ABSTRACT FROM PUBLISHER]

Geographically weighted generalised linear models are an extension of the geographically weighted regression models in order to handle such types of the response variables that their distributions follow a member of the exponential family of distributions. In view of the advantages of the local-linear fitting technique, we propose in this paper a local-linear likelihood estimation approach for geographically weighted generalised linear models to improve the accuracy of the coefficient estimators. A Fisher scoring algorithm is formulated to compute the estimators of the coefficients. Simulations are conducted for some typical geographically weighted generalised linear models to evaluate the performance of the proposed estimation method and the results show that, compared to the existing local-constant likelihood estimation, the local-linear likelihood method can evidently improve the accuracy of the coefficient estimators. A real-world data-set is finally analysed to demonstrate the application of the proposed approach. [ABSTRACT FROM AUTHOR]

A progressive hybrid censoring scheme is a mixture of type-I and type-II progressive censoring schemes. In this paper, we mainly consider the analysis of progressive type-II hybrid-censored data when the lifetime distribution of the individual item is the normal and extreme value distributions. Since the maximum likelihood estimators (MLEs) of these parameters cannot be obtained in the closed form, we propose to use the expectation and maximization (EM) algorithm to compute the MLEs. Also, the Newton–Raphson method is used to estimate the model parameters. The asymptotic variance–covariance matrix of the MLEs under EM framework is obtained by Fisher information matrix using the missing information and asymptotic confidence intervals for the parameters are then constructed. This study will end up with comparing the two methods of estimation and the asymptotic confidence intervals of coverage probabilities corresponding to the missing information principle and the observed information matrix through a simulation study, illustrated examples and real data analysis. [ABSTRACT FROM PUBLISHER]

In this paper, we propose a class of infinite-dimensional phase-type distributions with finitely many parameters as models for heavy tailed distributions. The class of finite-dimensional phase-type distributions is dense in the class of distributions on the positive reals and may hence approximate any such distribution. We prove that formulas from renewal theory, and with a particular attention to ruin probabilities, which are true for common phase-type distributions also hold true for the infinite-dimensional case. We provide algorithms for calculating functionals of interest such as the renewal density and the ruin probability. It might be of interest to approximate a given heavy tailed distribution of some other type by a distribution from the class of infinite-dimensional phase-type distributions and to this end we provide a calibration procedure which works for the approximation of distributions with a slowly varying tail. An example from risk theory, comparing ruin probabilities for a classical risk process with Pareto distributed claim sizes, is presented and exact known ruin probabilities for the Pareto case are compared to the ones obtained by approximating by an infinite-dimensional hyper-exponential distribution. [ABSTRACT FROM AUTHOR]

This paper proposes a procedure of synthetic detection for the location of a change point and outliers in bilinear time series models with a change after an unknown time point. Based on Bayesian framework, we first derive the conditional posterior distribution of the change point and from that distribution estimate the position of the change point. Then we use these results to detect the outliers in the time series before and after that change point via Gibbs sampler algorithm. Our simulation studies show that the proposed procedure is effective. [ABSTRACT FROM PUBLISHER]

The exponential power distribution (EPD), also known as generalized error distribution, is a flexible symmetrical unimodal family that belongs to the exponential one. The EPD becomes the density function of a range of symmetric distributions with different values of its power parameter β. A closed-form estimator for β does not exist, so the power parameter is usually estimated numerically. Unfortunately, the optimization algorithms do not always converge, especially when the true value of β is close to its parametric space frontier. In this paper, we present an alternative method to estimate β. Our proposal is based on the normal standardized Q–Q plot, and it exploits the relationship between β and the kurtosis. Furthermore, it is a direct method which does not require computational efforts nor the use of optimization algorithms. [ABSTRACT FROM AUTHOR]

The detection of outliers and influential observations has received a great deal of attention in the statistical literature in the context of least-squares (LS) regression. However, the explanatory variables can be correlated with each other and alternatives to LS come out to address outliers/influential observations and multicollinearity, simultaneously. This paper proposes new influence measures based on the affine combination type regression for the detection of influential observations in the linear regression model when multicollinearity exists. Approximate influence measures are also proposed for the affine combination type regression. Since the affine combination type regression includes the ridge, the Liu and the shrunken regressions as special cases, influence measures under the ridge, the Liu and the shrunken regressions are also examined to see the possible effect that multicollinearity can have on the influence of an observation. The Longley data set is given illustrating the influence measures in affine combination type regression and also in ridge, Liu and shrunken regressions so that the performance of different biased regressions on detecting and assessing the influential observations is examined. [ABSTRACT FROM AUTHOR]

In this paper, we consider the four-parameter bivariate generalized exponential distribution proposed by Kundu and Gupta [Bivariate generalized exponential distribution, J. Multivariate Anal. 100 (2009), pp. 581–593] and propose an expectation–maximization algorithm to find the maximum-likelihood estimators of the four parameters under random left censoring. A numerical experiment is carried out to discuss the properties of the estimators obtained iteratively. [ABSTRACT FROM PUBLISHER]

Segmentation is one of the most complicated procedures in the image processing that has important role in the image analysis. In this paper, an improved pixon-based method for image segmentation is proposed. In proposed algorithm, complex partial differential equations (PDEs) is used as a kernel function to make pixonal image. Using this kernel function causes noise on images to reduce and an image not to be over-segment when the pixon-based method is used. Utilising the PDE-based method leads to elimination of some unnecessary details and results in a fewer pixon number, faster performance and more robustness against unwanted environmental noises. As the next step, the appropriate pixons are extracted and eventually, we segment the image with the use of a Markov random field. The experimental results indicate that the proposed pixon-based approach has a reduced computational load and a better accuracy compared to the other existing pixon-image segmentation techniques. To evaluate the proposed algorithm and compare it with the last best algorithms, many experiments on standard images were performed. The results indicate that the proposed algorithm is faster than other methods, with the most segmentation accuracy. [ABSTRACT FROM AUTHOR]

Most statistical and data-mining algorithms assume that data come from a stationary distribution. However, in many real-world classification tasks, data arrive over time and the target concept to be learned from the data stream may change accordingly. Many algorithms have been proposed for learning drifting concepts. To deal with the problem of learning when the distribution generating the data changes over time, dynamic weighted majority was proposed as an ensemble method for concept drift. Unfortunately, this technique considers neither the age of the classifiers in the ensemble nor their past correct classification. In this paper, we propose a method that takes into account expert's age as well as its contribution to the global algorithm's accuracy. We evaluate the effectiveness of our proposed method by usingmclassifiers and training a collection ofn-fold partitioning of the data. Experimental results on a benchmark data set show that our method outperforms existing ones. [ABSTRACT FROM AUTHOR]

In this paper we study the cure rate survival model involving a competitive risk structure with missing categorical covariates. A parametric distribution that can be written as a sequence of one-dimensional conditional distributions is specified for the missing covariates. We consider the missing data at random situation so that the missing covariates may depend only on the observed ones. Parameter estimates are obtained by using the EM algorithm via the method of weights. Extensive simulation studies are conducted and reported to compare estimates efficiency with and without missing data. As expected, the estimation approach taking into consideration the missing covariates presents much better efficiency in terms of mean square errors than the complete case situation. Effects of increasing cured fraction and censored observations are also reported. We demonstrate the proposed methodology with two real data sets. One involved the length of time to obtain a BS degree in Statistics, and another about the time to breast cancer recurrence. [ABSTRACT FROM AUTHOR]

This paper investigates methodologies for evaluating the probabilistic value (P-value) of the Kolmogorov–Smirnov (K–S) goodness-of-fit test using algorithmic program development implemented in Microsoft® Visual Basic® (VB). Six methods were examined for the one-sided one-sample and two methods for the two-sided one-sample cumulative sampling distributions in the investigative software implementation that was based on machine-precision arithmetic. For sample sizes n≤2000 considered, results from the Smirnov iterative method found optimal accuracy for K–S P-values≥0.02, while those from the SmirnovD were more accurate for lower P-values for the one-sided one-sample distribution statistics. Also, the Durbin matrix method sustained better P-value results than the Durbin recursion method for the two-sided one-sample tests up to n≤700 sample sizes. Based on these results, an algorithm for Microsoft Excel® function was proposed from which a model function was developed and its implementation was used to test the performance of engineering students in a general engineering course across seven departments. [ABSTRACT FROM AUTHOR]

In a distributed optimization problem, the complete problem information is not available at a single location but is rather distributed among different agents in a multi-agent system. In the problems studied in the literature, each agent has an objective function and the network goal is to minimize the sum of the agents’ objective functions over a constraint set that is globally known. In this paper, we study a generalization of the above distributed optimization problem. In particular, the network objective is to minimize a function of the sum of the individual objective functions over the constraint set. The ‘outer’ function and the constraint set are known to all the agents. We discuss an algorithm and prove its convergence, and then discuss extensions to more general and complex distributed optimization problems. We provide a motivation for our algorithms through the example of distributed regression of distributed data. [ABSTRACT FROM PUBLISHER]

In this paper, a new compounding distribution, named the Weibull–Poisson distribution is introduced. The shape of failure rate function of the new compounding distribution is flexible, it can be decreasing, increasing, upside-down bathtub-shaped or unimodal. A comprehensive mathematical treatment of the proposed distribution and expressions of its density, cumulative distribution function, survival function, failure rate function, the kth raw moment and quantiles are provided. Maximum likelihood method using EM algorithm is developed for parameter estimation. Asymptotic properties of the maximum likelihood estimates are discussed, and intensive simulation studies are conducted for evaluating the performance of parameter estimation. The use of the proposed distribution is illustrated with examples. [ABSTRACT FROM AUTHOR]

The aim of this paper is to find an optimal alternative bivariate ranked-set sample for one-sample location model bivariate sign test. Our numerical and theoretical results indicated that the optimal designs for the bivariate sign test are the alternative designs with quantifying order statistics with labels {((r+1)/2, (r+1)/2)}, when the set size r is odd and {(r/2+1, r/2), (r/2, r/2+1)} when the set size r is even. The asymptotic distribution and Pitman efficiencies of these designs are derived. A simulation study is conducted to investigate the power of the proposed optimal designs. Illustration using real data with the Bootstrap algorithm for P-value estimation is used. [ABSTRACT FROM AUTHOR]

This paper derives an algorithm for computing rectangular multinomial probabilities. It thus provides a method for exact computation of the multinomial cumulative distribution function. One application of rectangular multinomial probabilities comes in determining how large a sample must be in order to have a high probability of being representative in a certain nonparametric sense. [ABSTRACT FROM AUTHOR]

In the literature, one of the main objects of stochastic claims reserving is to find models underlying the chain-ladder method in order to analyze the variability of the outstanding claims, either analytically or by bootstrapping. In bootstrapping these models are used to find a full predictive distribution of the claims reserve, even though there is a long tradition of actuaries calculating the reserve estimate according to more complex algorithms than the chain-ladder, without explicit reference to an underlying model. In this paper we investigate existing bootstrap techniques and suggest two alternative bootstrap procedures, one non-parametric and one parametric, by which the predictive distribution of the claims reserve can be found for other age-to-age development factor methods than the chain-ladder, using some rather mild model assumptions. For illustration, the procedures are applied to three different development triangles. [ABSTRACT FROM AUTHOR]

In this paper, we consider the family of skew generalized t (SGT) distributions originally introduced by Theodossiou [P. Theodossiou, Financial data and the skewed generalized t distribution, Manage. Sci. Part 1 44 (12) ( 1998), pp. 1650-1661] as a skew extension of the generalized t (GT) distribution. The SGT distribution family warrants special attention, because it encompasses distributions having both heavy tails and skewness, and many of the widely used distributions such as Student's t, normal, Hansen's skew t, exponential power, and skew exponential power (SEP) distributions are included as limiting or special cases in the SGT family. We show that the SGT distribution can be obtained as the scale mixture of the SEP and generalized gamma distributions. We investigate several properties of the SGT distribution and consider the maximum likelihood estimation of the location, scale, and skewness parameters under the assumption that the shape parameters are known. We show that if the shape parameters are estimated along with the location, scale, and skewness parameters, the influence function for the maximum likelihood estimators becomes unbounded. We obtain the necessary conditions to ensure the uniqueness of the maximum likelihood estimators for the location, scale, and skewness parameters, with known shape parameters. We provide a simple iterative re-weighting algorithm to compute the maximum likelihood estimates for the location, scale, and skewness parameters and show that this simple algorithm can be identified as an EM-type algorithm. We finally present two applications of the SGT distributions in robust estimation. [ABSTRACT FROM AUTHOR]

The generalized standard two-sided power (GTSP) distribution was mentioned only in passing by Kotz and van Dorp Beyond Beta, Other Continuous Families of Distributions with Bounded Support and Applications, World Scientific Press, Singapore, 2004. In this paper, we shall further investigate this three-parameter distribution by presenting some novel properties and use its more general form to contrast the chronology of developments of various authors on the two-parameter TSP distribution since its initial introduction. GTSP distributions allow for J-shaped forms of its pdf, whereas TSP distributions are limited to U-shaped and unimodal forms. Hence, GTSP distributions possess the same three distributional shapes as the classical beta distributions. A novel method and algorithm for the indirect elicitation of the two-power parameters of the GTSP distribution is developed. We present a Project Evaluation Review Technique example that utilizes this algorithm and demonstrates the benefit of separate powers for the two branches of activity GTSP distributions for project completion time uncertainty estimation. [ABSTRACT FROM AUTHOR]

Although thousands of quantitative structure-activity and structure-property relationships (QSARs/QSPRs) have been published, as well as numerous papers on the correct procedures for QSAR/QSPR analysis, many analyses are still carried out incorrectly, or in a less than satisfactory manner. We have identified 21 types of error that continue to be perpetrated in the QSAR/QSPR literature, and each of these is discussed, with examples (including some of our own). Where appropriate, we make recommendations for avoiding errors and for improving and enhancing QSAR/QSPR analyses. [ABSTRACT FROM AUTHOR]

The purpose of this paper is to present a simple, but efficient methodology for analysing semantically distributed data. The analysis reveals important information about the statistical distribution of the geographically distributed data sets. This information can be helpful in deriving accurate data mining models that correctly reflect the semantics of the distributed data sites and help in avoiding inappropriate summarisation of the data. Although, our methodology operates on distributed homogeneous data sets, it can also work with certain heterogeneous data sets that can be transformed into homogeneous data sets without a reduction in their intrinsic dimensionality. Experiments showed that this type of transformation is in fact feasible for some data sets. We propose a measure for comparison of data sets based on the correlation fractal dimension and the cross-value. We tested our methodology on real world data sets and showed that the proposed approach discovers differences in the semantics of both distributed homogeneous and heterogeneous data sites. [ABSTRACT FROM AUTHOR]

Sattolo's algorithm creates a random cyclic permutation by interchanging pairs of elements in an appropriate manner; the Fisher-Yates algorithm produces random (not necessarily cyclic) permutations in a very similar way. The distributions of the movements of the elements in these two algorithms have already been treated quite extensively in past works. In this paper, we are interested in the joint distribution of two elements j and k; we are able to compute the bivariate generating functions explicitly, although it is quite involved. From it, moments and limiting distributions can be deduced. Furthermore, we compute the probability that elements i and j ever change places in both algorithms. [ABSTRACT FROM AUTHOR]

Skew-normal distribution is a class of distributions that includes the normal distributions as a special case. In this paper, we explore the use of Markov Chain Monte Carlo (MCMC) methods to develop a Bayesian analysis in a multivariate, null intercept, measurement error model [R. Aoki, H. Bolfarine, J.A. Achcar, and D. Leao Pinto Jr, Bayesian analysis of a multivariate null intercept error-in-variables regression model, J. Biopharm. Stat. 13(4) (2003b), pp. 763-771] where the unobserved value of the covariate (latent variable) follows a skew-normal distribution. The results and methods are applied to a real dental clinical trial presented in [A. Hadgu and G. Koch, Application of generalized estimating equations to a dental randomized clinical trial, J. Biopharm. Stat. 9 (1999), pp. 161-178]. [ABSTRACT FROM AUTHOR]

Log-location-scale distributions are widely used parametric models that have fundamental importance in both parametric and semiparametric frameworks. The likelihood equations based on a Type II censored sample from location-scale distributions do not provide explicit solutions for the para-meters. Statistical software is widely available and is based on iterative methods (such as, Newton Raphson Algorithm, EM algorithm etc.), which require starting values near the global maximum. There are also many situations that the specialized software does not handle. This paper provides a method for determining explicit estimators for the location and scale parameters by approximating the likelihood function, where the method does not require any starting values. The performance of the proposed approximate method for the Weibull distribution and Log-Logistic distributions is compared with those based on iterative methods through the use of simulation studies for a wide range of sample size and Type II censoring schemes. Here we also examine the probability coverages of the pivotal quantities based on asymptotic normality. In addition, two examples are given. [ABSTRACT FROM AUTHOR]

For the data from multivariate t distributions, it is very hard to make an influence analysis based on the probability density function since its expression is intractable. In this paper, we present a technique for influence analysis based on the mixture distribution and EM algorithm. In fact, the multivariate t distribution can be considered as a particular Gaussian mixture by introducing the weights from the Gamma distribution. We treat the weights as the missing data and develop the influence analysis for the data from multivariate t distributions based on the conditional expectation of the complete-data log-likelihood function in the EM algorithm. Several case-deletion measures are proposed for detecting influential observations from multivariate t distributions. Two numerical examples are given to illustrate our methodology. [ABSTRACT FROM AUTHOR]

Conventional remote sensing classification algorithms assume that the data in each class can be modelled using a multivariate Gaussian distribution. As this assumption is often not valid in practice, conventional algorithms do not perform well. In this paper, we present an independent component analysis (ICA)-based approach for unsupervised classification of multi/hyperspectral imagery. ICA used for a mixture model estimates the data density in each class and models class distributions with non-Gaussian (sub- and super-Gaussian) probability density functions, resulting in the ICA mixture model (ICAMM) algorithm. Independent components and the mixing matrix for each class are found using an extended information-maximization algorithm, and the class membership probabilities for each pixel are computed. The pixel is allocated to the class having maximum class membership probability to produce a classification. We apply the ICAMM algorithm for unsupervised classification of images obtained from both multispectral and hyperspectral sensors. Four feature extraction techniques are considered as a preprocessing step to reduce the dimensionality of the hyperspectral data. The results demonstrate that the ICAMM algorithm significantly outperforms the conventional K-means algorithm for land cover classification produced from both multi- and hyperspectral remote sensing images. [ABSTRACT FROM AUTHOR]

This paper proposes an enhanced Ant Colony Optimization (ACO) metaheuristic called ACO-TS to attack the minimum dominating set (MDS) problem. One of the recognized difficulties faced by ACO in its original form is premature convergence, which produces less satisfactory solutions. We propose a way to encourage a higher degree of exploration of the search space by incorporating a technique based on a concept borrowed from genetic algorithms called tournament selection. Instead of always following the standard mechanism for selecting the next solution component, an ant would make its decision based on the outcome of a tournament between randomly selected allowable components. The frequency of the tournament selection is controlled by a probability measure. The use of tournament selection is coupled with an iteration-best pheromone update. To evaluate the enhanced ACO, we consider the MDS problem formulated from ad hoc network clustering. A comparison with its original form shows that the enhanced ACO produces better solutions using fewer number of cycles. We also empirically demonstrate that the proposed ACO produces better solutions than a genetic algorithm. Finally, we argue, based on empirical results, why the tournament selection approach is preferable to a pure random selection method. [ABSTRACT FROM AUTHOR]

In this paper, we study the relationship between phase type ( PH ) distributions, PH -invariant polytopes, and Coxian representations of PH -distributions. Explicit links are established between vectors in PH -invariant polytopes, PH -representations, and probability measures. A method is developed for the construction of PH -invariant polytopes associated with ordered Coxian representations. The relationship between PH -invariant polytopes and spectral polynomial algorithms is explored as well. Furthermore, a generic algorithm for computing bi-diagonal PH -representations of PH -distributions is developed. Numerical examples are provided to gain insight into the problems of interest. [ABSTRACT FROM AUTHOR]

We discuss the maximum likelihood estimates (MLEs) of the parameters of the log-gamma distribution based on progressively Type-II censored samples. We use the profile likelihood approach to tackle the problem of the estimation of the shape parameter κ. We derive approximate maximum likelihood estimators of the parameters μ and σ and use them as initial values in the determination of the MLEs through the Newton–Raphson method. Next, we discuss the EM algorithm and propose a modified EM algorithm for the determination of the MLEs. A simulation study is conducted to evaluate the bias and mean square error of these estimators and examine their behavior as the progressive censoring scheme and the shape parameter vary. We also discuss the interval estimation of the parameters μ and σ and show that the intervals based on the asymptotic normality of MLEs have very poor probability coverages for small values of m . Finally, we present two examples to illustrate all the methods of inference discussed in this paper. [ABSTRACT FROM AUTHOR]

This paper presents an algorithmic procedure to calculate the queue length and delay distribution of customers in a discrete time D-MAP/PH/1 queue, where the service time distribution of a customer depends on the inter-arrival time between himself and his predecessor. Setting up a Markov chain that keeps track of the contents of such a queue will result in a state space explosion as the inter-arrival times of all customers present in the system must be remembered. We avoid these difficulties by making use of the age process, a process that keeps track of the “age” of the customer in the service facility. From this process, which we solve by means of matrix analytic methods, we compute the queue length and sojourn time distribution by means of a simple formula and obtain an expression for the stability of the system. We also demonstrate that the D-MAP arrival process can be easily replaced by the more general semi-Markovian arrival process, without any additional computational costs. Queueing systems of this type arise in the domain of synchronous optical buffers. Based on the numerical analysis of such a queueing system, some guidelines for the design of optical buffers are presented. We also show the impact on the numerical results when the cross-correlation that exists between the service and inter-arrival times is neglected. [ABSTRACT FROM AUTHOR]

In this paper, we develop two spectral polynomial algorithms for computing bi-diagonal representations of matrix-exponential distributions and phase type ( PH ) distributions. The algorithms only use information about the spectrum of the original representation and, consequently, are efficient and easy to implement. For PH -representations with only real eigenvalues, some conditions are identified for the bi-diagonal representations to be ordered Coxian representations. It is shown that every PH -representation with a symmetric PH -generator has an equivalent ordered Coxian representation of the same or a smaller order. An upper bound of the PH -order of a PH -distribution with a triangular or symmetric PH -generator is obtained. [ABSTRACT FROM AUTHOR]

The main reason for the limited use of multivariate discrete models is the difficulty in calculating the required probabilities. The task is usually undertaken via recursive relationships which become quite computationally demanding for high dimensions and large values. The present paper discusses efficient algorithms that make use of the recurrence relationships in a manner that reduces the computational effort and thus allow for easy and cheap calculation of the probabilities. The most common multivariate discrete distribution, the multivariate Poisson distribution is treated. Real data problems are provided to motivate the use of the proposed strategies. Extensions of our results are discussed. It is shown that probabilities, for a large family of multivariate distributions, can be computed efficiently via our algorithms. [ABSTRACT FROM AUTHOR]