scholarly journals Consistency Bands for the Mean Excess Function and Application to Graphical Goodness-of-fit Test for Financial Data

2016 ◽  
Vol 8 (1) ◽  
pp. 42
Author(s):  
Amadou Diadie Ba ◽  
El Hadj Deme ◽  
Cheikh Tidiane Seck ◽  
Gane Samb Lo
Keyword(s):  
Goodness Of Fit ◽  
Empirical Processes ◽  
Financial Data ◽  
Generalized Hyperbolic Distribution ◽  
Goodness Of Fit Test ◽  
Excess Function ◽  
Monthly Data ◽  
Hyperbolic Distribution ◽  
Mean Excess Function ◽  
The Mean

<p>In this paper, we use the modern setting of functional empirical processes and recent techniques on uniform estimation for non parametric objects to derive consistency bands for the mean excess function in the i.i.d. case. We apply our results for modelling Dow Jones data to see how good the Generalized hyperbolic distribution fits monthly data.</p>

A new estimation method for Weibull-type tails based on the mean excess function

2009 ◽  
Vol 139 (6) ◽  
pp. 1905-1920 ◽  
Author(s):  
G. Dierckx ◽  
J. Beirlant ◽  
D. De Waal ◽  
A. Guillou
Keyword(s):  
Estimation Method ◽  
Excess Function ◽  
Mean Excess Function ◽  
The Mean

scholarly journals A Cautionary Note on the Use of the Kolmogorov–Smirnov Test for Normality

2007 ◽  
Vol 135 (3) ◽  
pp. 1151-1157 ◽  
Author(s):  
Dag J. Steinskog ◽  
Dag B. Tjøstheim ◽  
Nils G. Kvamstø
Keyword(s):  
Goodness Of Fit ◽  
Small Sample ◽  
Power Comparison ◽  
Goodness Of Fit Test ◽  
Kolmogorov Smirnov ◽  
The Mean ◽  
Small Sample Problem ◽  
Tests For Normality ◽  
Test For Normality ◽  
Smirnov Test

Abstract The Kolmogorov–Smirnov goodness-of-fit test is used in many applications for testing normality in climate research. This note shows that the test usually leads to systematic and drastic errors. When the mean and the standard deviation are estimated, it is much too conservative in the sense that its p values are strongly biased upward. One may think that this is a small sample problem, but it is not. There is a correction of the Kolmogorov–Smirnov test by Lilliefors, which is in fact sometimes confused with the original Kolmogorov–Smirnov test. Both the Jarque–Bera and the Shapiro–Wilk tests for normality are good alternatives to the Kolmogorov–Smirnov test. A power comparison of eight different tests has been undertaken, favoring the Jarque–Bera and the Shapiro–Wilk tests. The Jarque–Bera and the Kolmogorov–Smirnov tests are also applied to a monthly mean dataset of geopotential height at 500 hPa. The two tests give very different results and illustrate the danger of using the Kolmogorov–Smirnov test.

scholarly journals On the Infinitely Divisible of Meixner Distribution

2018 ◽  
Vol 3 (4) ◽  
pp. 147
Author(s):  
Dodi Devianto ◽  
Jayanti Herli ◽  
Maiyastri Maiyastri ◽  
Rahma Diana Safitri
Keyword(s):  
Characteristic Function ◽  
Lévy Process ◽  
Goodness Of Fit ◽  
Divisible Distribution ◽  
Levy Process ◽  
Financial Data ◽  
Infinitely Divisible Distribution ◽  
Goodness Of Fit Test ◽  
Infinitely Divisible

The log-returns of most financial data show a significant leptokurtosis. For the better fit we showed a special levy process which is called the Meixner process. The Meixner distribution belongs to the class of infinitely divisible distribution chracterized by using characteristic function and it was proposed as a model for represented efficiently of the log-returns of financial data. The perfect fit of underlying Meixner distribution performing by using goodness of fit test.

scholarly journals P118 External validation of model predicting early-onset surgery in Crohn’s Disease patients

2021 ◽  
Vol 15 (Supplement_1) ◽  
pp. S209-S210
Author(s):  
J Yao ◽  
B Hu ◽  
H Wang ◽  
M Zhi
Keyword(s):  
Crohn’S Disease ◽  
Crohn's Disease ◽  
Early Onset ◽  
Goodness Of Fit ◽  
Clinical Decision Making ◽  
External Validation ◽  
Therapeutic Strategies ◽  
Goodness Of Fit Test ◽  
The Mean

Abstract Background Screening Crohn’s disease (CD) patients with high risk of early-onset surgery is crucial in launching therapeutic strategies. We have already identified disease behavior, smoking, body mass index, C-reactive protein level at diagnosis, previous perianal or intestinal surgery, maximum bowel wall thickness, use of biologics, and exclusive enteral nutrition as independent significant factors associated with 1-year surgery surgeries risk and further established a prognostic model (Fig.1,World J Gastroenterol. 2020;26(5):524–534). We aimed to validate this model using external cohort. Methods This retrospective study was conducted from Jan, 1, 2017, to Dec, 31, 2019 in three tertiary referral centers including Sixth Affiliated Hospital of Sun Yat-Sen University, Second Affiliated Hospital of Zhejiang University, and Second Affiliated Hospital of Military Medical University. Data of patients with a confirmed diagnosis of CD were collected through hospital electronic system. The published model was validated with calibration using the Hosmer-Lemeshow goodness-of-fit test, and discrimination was assessed using areas under the curve (AUC). Results A total of 756 patients were enrolled in our study with 101 (13.4%) excluded for the sake of incomplete data and loss of follow-up. Of the enrolled patients, 74.8% were male (n = 490) at the mean age of 28.4 ± 11.0 years, with the mean follow-up period of 21.8 ± 8.1 months. An ideal predictive ability of this model was confirmed by receiver operating characteristic curves and AUC as high as 94.5%. Besides, acceptable sensitivity of 69.5% and excellent specificity of 97.0% supported further clinical promotion and application of this model. Conclusion This model owns ideal ability to predict 1-year surgery risk in CD patients, which definitely help clinical decision-making and acid therapeutic strategies launching.

Adjusting a subject-specific time of event in longitudinal studies

2019 ◽  
Vol 29 (7) ◽  
pp. 1787-1798
Author(s):  
Hyunkeun Ryan Cho ◽  
Seonjin Kim ◽  
Myung Hee Lee
Keyword(s):  
Goodness Of Fit ◽  
Real Life ◽  
Model Parameters ◽  
Specific Time ◽  
Goodness Of Fit Test ◽  
Proposed Model ◽  
Subject Specific ◽  
The Subject ◽  
The Mean ◽  
Over Time

Biomedical studies often involve an event that occurs to individuals at different times and has a significant influence on individual trajectories of response variables over time. We propose a statistical model to capture the mean trajectory alteration caused by not only the occurrence of the event but also the subject-specific time of the event. The proposed model provides a post-event mean trajectory smoothly connected with the pre-event mean trajectory by allowing the model parameters associated with the post-event mean trajectory to vary over time of the event. A goodness-of-fit test is considered to investigate how well the proposed model is fit to the data. Hypothesis tests are also developed to assess the influence of the subject-specific time of event on the mean trajectory. Theoretical and simulation studies confirm that the proposed tests choose the correctly specified model consistently and examine the effect of the subject-specific time of event successfully. The proposed model and tests are also illustrated by the analysis of two real-life data from a biomarker study for HIV patients along with their own time of treatment initiation and a body fatness study in girls with different age of menarche.

The Relationship between Innovation Orientation and Strategic Typology in Business Firms

2016 ◽  
Vol 6 (2) ◽  
pp. 1-20 ◽  
Author(s):  
Parviz Kafchehi ◽  
Kaveh Hasani ◽  
Arman Gholami
Keyword(s):  
Significant Relationship ◽  
Goodness Of Fit ◽  
Goodness Of Fit Test ◽  
Chi Square ◽  
Test Analysis ◽  
Statistical Population ◽  
Chi Square Test ◽  
The Mean ◽  
Executive Managers ◽  
The Relationship

The aim of this study is to investigate the relationship between innovation orientation and strategic typology in firms such a way that a classification on the organization's orientation toward innovation and strategy could be obtained. The statistical population includes high executive managers of firms who have been acting in 4 industries of banking (B), food (F), insurance (I), and pharmacy (P), and have been the five pioneering firms in these industries. To test the hypothesis, the mean test analysis, the Goodness- of- Fit- Test, Chi- square test, and cross- tables were used and tested by SPSS18 software. The results show that there is a significant relationship between the firm's orientation toward innovation and competitive strategy; the more firm's orientation toward innovation, the firms uses more Prospector strategy, and their strategies have a more aggressive state. This paper provides a richer understanding of innovation orientation and strategic typology formation for similar firms.

Goodness-of-fit test for interest rate models: An approach based on empirical processes

2011 ◽  
Vol 55 (12) ◽  
pp. 3073-3092 ◽  
Author(s):  
Abelardo Monsalve-Cobis ◽  
Wenceslao González-Manteiga ◽  
Manuel Febrero-Bande
Keyword(s):  
Interest Rate ◽  
Goodness Of Fit ◽  
Empirical Processes ◽  
Goodness Of Fit Test ◽  
Interest Rate Models
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