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9 results for “Multivariate normal distribution”
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Research ArticleOpen accessIn the keywordsModelling the Effect of Salinity on the Multivariate Distribution of a Water Quality IndexDaniela cocchi, Michele scagliariniSalinity is a tracer of water and nutrient flows and is employed in studies on coastal environment to establish the coastal or remote origins of pollutants and nutrients. The present article analyses the effects of salinity on the multivariate distribution of the Trophic Index TRIX. The approach taken is based on a multivariate nested model with salinity as an explicative … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 5,915 accessesView PDFCite
Research ArticleOpen accessIn the abstractMultivariate Option Pricing with Gaussian Mixture Distributions and Mixed CopulasJimbo Henri Claver, Tatanfack Emerson, Shu FelixRecently, it has been reported that the hypothesis proposed by the classical black scholes model to price multivariate options in finance were unrealistic, as such, several other methods have been introduced over the last decades including the copulas methods which uses copulas functions to model the dependence structure of underlying assets. However, the previous work did not take into account … …Journal of Mathematics and Statistics, Vol. 19, Issue 1 · 3 Apr 2023 · 6,511 accessesView PDFCite
Research ArticleOpen accessIn the abstractA Test on the Multivariate Behrens–Fisher Problem in High–Dimensional Data by Block Covariance EstimationParanut Sukcharoen, Samruam ChongcharoenIn this paper, we proposed a new testing statistic for testing the equality of mean vectors from two multivariate normal populations when the covariance matrices are unknown and unequal in high–dimensional data. A new test is proposed based on the idea of keeping more information from the sample covariance matrices as much as possible. A proposed test is invariant under … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 2 Apr 2019 · 7,369 accessesView PDFCite
Research ArticleOpen accessIn the abstractSMOOTHING SPLINE IN SEMIPARAMETRIC ADDITIVE REGRESSION MODEL WITH BAYESIAN APPROACHRita Diana, I. Nyoman Budiantara, Purhadi, Satwiko DarmestoSemiparametric additive regression model is a combination of parametric and nonparametric regression models. The parametric components are not linear but following a polynomial pattern, while the nonparametric components are unknown pattern and assumed to be contained in the Sobolev space. The nonparametric components can be approximated by smoothing spline functions. In the development of smoothing spline, the classical statistical approach … …Journal of Mathematics and Statistics, Vol. 9, Issue 3 · 12 Jun 2013 · 7,252 accessesView PDFCite
Research ArticleOpen accessIn the abstractAssessing Convergence of the Markov Chain Monte Carlo Method in Multivariate CaseDenismar Alves Nogueira, Thelma Safadi, Daniel Furtado Ferreira, Eric Batista FerreiraThe formal convergence diagnosis of the Markov Chain Monte Carlo (MCMC) is made using univariate and multivariate criteria. In 1998, a multivariate extension of the univariate criterion of multiple sequences was proposed. However, due to some problems of that multivariate criterion, an alternative form of calculation was proposed in addition to the two new alternatives for multivariate convergence criteria. In … …Journal of Mathematics and Statistics, Vol. 8, Issue 4 · 8 Jan 2013 · 7,019 accessesView PDFCite
Research ArticleOpen accessIn the abstractA Test for Two-Sample Repeated Measures Designs: Effect of High-Dimensional DataBoonyarit Choopradit, Samruam ChongcharoenProblem statement: High-dimensional repeated measures data are increasingly encountered in various areas of modern science since classical multivariate statistics, e.g,. Hotelling’s T2, are not well defined in the case of high-dimensional data. Approach: In this study, the test statistics with no specific form of covariance matrix for analyzing high-dimensional two-sample repeated measures designs with common equal covariance are proposed. The … …Journal of Mathematics and Statistics, Vol. 7, Issue 4 · 28 Oct 2011 · 7,328 accessesView PDFCite
Research ArticleOpen accessIn the abstractAn Application of Univariate Statistics to Hotelling's T2Dr. A. PolymenisProblem statement: Hotelling's T2 statistic has been well documented in the existing literature and exact as well as asymptotic results have been obtained. In the present article, we focus on an important particular case of T2 and we note that, there is no clear way to show, how univariate results, used in the theory of Student’s t statistic, could be … …Journal of Mathematics and Statistics, Vol. 7, Issue 1 · 25 Mar 2011 · 7,660 accessesView PDFCite
Research ArticleOpen accessIn the abstractComparison of Estimators of Dispersion MatrixNarges AbbasiBased on a sample, we considered the problem of estimating the dispersion matrix of a multivariate normal distribution with variance covariance matrix Σ. Empirical Bayes estimators and Haff estimators with their conditions, two proposed estimators of Σ, were the best affine equivariant estimators of dispersion matrix, which we compared them by three different loss functions. …Journal of Mathematics and Statistics, Vol. 4, Issue 3 · 31 Dec 2008 · 6,732 accessesView PDFCite
Research ArticleOpen accessAll words, across the recordRisks Ratios of Shrinkage Estimators for the Multivariate Normal MeanAbdenour Hamdaoui, Nadia MezouarWe study the estimation of the mean θ of a multivariate Gaussian random variable X∼Np(θ,σ2Ip) in ℜp, σ2 is unknown and estimated by the chi-square variable S2∼σ2χn2. In this work we are interested in studying bounds and limits of risk ratios of shrinkage estimators to the maximum likelihood estimator X, when n and p tend to infinity. We recall that … …Journal of Mathematics and Statistics, Vol. 13, Issue 2 · 3 Apr 2017 · 7,108 accessesView PDFCite