2014: Vol. 38, Núm. 1
http://hdl.handle.net/2099/15900
2023-02-09T07:21:04ZThe asymptotic relative efficiency and the ratio of sample sizes when testing two different null hypotheses
http://hdl.handle.net/2117/88935
The asymptotic relative efficiency and the ratio of sample sizes when testing two different null hypotheses
Gómez, Guadalupe; Gómez-Mateu, Moisés
Composite endpoints, consisting of the union of two or more outcomes, are often used as the primary endpoint in time-to-event randomized clinical trials. Previously, Gómez and Lagakos provided a method to guide the decision between using a composite endpoint instead of one of its components when testing the effect of a treatment in a randomized clinical trial. Consider the problem of testing the null hypotheses of no treatment effect by means of either the single component or the composite endpoint. In this paper we prove that the usual interpretation of the asymptotic relative efficiency as the reciprocal ratio of the sample sizes required for two test procedures, for the same null and alternative hypothesis, and attaining the same power at the same significance level, can be extended to the test procedures considered here for two different null and alternative hypotheses. A simulation to study the relationship between asymptotic relative efficiency and finite sample sizes is carried out.
2016-07-20T09:55:39ZGómez, GuadalupeGómez-Mateu, MoisésComposite endpoints, consisting of the union of two or more outcomes, are often used as the primary endpoint in time-to-event randomized clinical trials. Previously, Gómez and Lagakos provided a method to guide the decision between using a composite endpoint instead of one of its components when testing the effect of a treatment in a randomized clinical trial. Consider the problem of testing the null hypotheses of no treatment effect by means of either the single component or the composite endpoint. In this paper we prove that the usual interpretation of the asymptotic relative efficiency as the reciprocal ratio of the sample sizes required for two test procedures, for the same null and alternative hypothesis, and attaining the same power at the same significance level, can be extended to the test procedures considered here for two different null and alternative hypotheses. A simulation to study the relationship between asymptotic relative efficiency and finite sample sizes is carried out.Regression analysis using order statistics and their concomitants
http://hdl.handle.net/2117/88934
Regression analysis using order statistics and their concomitants
Ziaei, Abdul Rasoul; Sheikhi, Ayyub; Amirzadeh, Vahid
In this work we derive the exact joint distribution of linear combinations of order statistics and linear combinations of their concomitants and some auxiliary variables in multivariate normal distribution. By extending the results of Sheikhi and Jamalizadeh we investigate some regression equations. Our results generalize those obtained in previous research by Viana, Lee and Loperfido.
2016-07-20T09:53:52ZZiaei, Abdul RasoulSheikhi, AyyubAmirzadeh, VahidIn this work we derive the exact joint distribution of linear combinations of order statistics and linear combinations of their concomitants and some auxiliary variables in multivariate normal distribution. By extending the results of Sheikhi and Jamalizadeh we investigate some regression equations. Our results generalize those obtained in previous research by Viana, Lee and Loperfido.Time-Varying Market Beta: Does the estimation methodology matter?
http://hdl.handle.net/2117/88929
Time-Varying Market Beta: Does the estimation methodology matter?
Nieto, Belén; Orbe, Susan; Zarraga, Ainoha
This paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas. The comparison be- tween estimators relies on their financial applications: asset pricing and portfolio management. Results show that Kalman filter estimators with random coefficients outperform the others in capturing both the time series of market risk and their cross-sectional relation with mean returns, while more volatile estimators are better for diversification purposes.
2016-07-20T09:49:14ZNieto, BelénOrbe, SusanZarraga, AinohaThis paper compares the performance of nine time-varying beta estimates taken from three different methodologies never previously compared: least-square estimators including nonparametric weights, GARCH-based estimators and Kalman filter estimators. The analysis is applied to the Mexican stock market (2003-2009) because of the high dispersion in betas. The comparison be- tween estimators relies on their financial applications: asset pricing and portfolio management. Results show that Kalman filter estimators with random coefficients outperform the others in capturing both the time series of market risk and their cross-sectional relation with mean returns, while more volatile estimators are better for diversification purposes.Improving parametric Clarke and Wright algorithms by means of iterative empirically adjusted greedy heuristics
http://hdl.handle.net/2117/88928
Improving parametric Clarke and Wright algorithms by means of iterative empirically adjusted greedy heuristics
Corominas, Albert; García-Villoria, Alberto; Pastor Moreno, Rafael
Since Clarke and Wright proposed their well-known savings algorithm for solving the Capacitated Vehicle Routing Problem, several enhancements to the original savings formula have been recently proposed, in the form of parameterisations. In this paper we first propose to use Empirically Adjusted Greedy Heuristics to run these parameterized heuristics and we also consider the addition of new parameters. This approach is shown to improve the savings algorithms proposed in the literature. Moreover, we propose a new procedure which leads to even better solutions, based on what we call Iterative Empirically Adjusted Greedy Heuristics
2016-07-20T09:47:15ZCorominas, AlbertGarcía-Villoria, AlbertoPastor Moreno, RafaelSince Clarke and Wright proposed their well-known savings algorithm for solving the Capacitated Vehicle Routing Problem, several enhancements to the original savings formula have been recently proposed, in the form of parameterisations. In this paper we first propose to use Empirically Adjusted Greedy Heuristics to run these parameterized heuristics and we also consider the addition of new parameters. This approach is shown to improve the savings algorithms proposed in the literature. Moreover, we propose a new procedure which leads to even better solutions, based on what we call Iterative Empirically Adjusted Greedy HeuristicsDecision making in kidney paired donation programs with altruistic donors
http://hdl.handle.net/2117/88926
Decision making in kidney paired donation programs with altruistic donors
Li, Yijiang; Song, Peter X.-K.; Leichtman, Alan B.; Rees, Michael A.; Kalbfleisch, John D.
In recent years, kidney paired donation has been extended to include living non-directed or altruistic donors, in which an altruistic donor donates to the candidate of an incompatible donor candidate pair with the understanding that the donor in that pair will further donate to the candidate of a second pair, and so on; such a process continues and thus forms an altruistic donor-initiated chain. In this paper, we propose a novel strategy to sequentially allocate the altruistic donor (or bridge donor) so as to maximize the expected utility; analogous to the way a computer plays chess, the idea is to evaluate different allocations for each altruistic donor (or bridge donor) by looking several moves ahead in a derived look-ahead search tree. Simulation studies are provided to illustrate and evaluate our proposed method.
2016-07-20T09:44:57ZLi, YijiangSong, Peter X.-K.Leichtman, Alan B.Rees, Michael A.Kalbfleisch, John D.In recent years, kidney paired donation has been extended to include living non-directed or altruistic donors, in which an altruistic donor donates to the candidate of an incompatible donor candidate pair with the understanding that the donor in that pair will further donate to the candidate of a second pair, and so on; such a process continues and thus forms an altruistic donor-initiated chain. In this paper, we propose a novel strategy to sequentially allocate the altruistic donor (or bridge donor) so as to maximize the expected utility; analogous to the way a computer plays chess, the idea is to evaluate different allocations for each altruistic donor (or bridge donor) by looking several moves ahead in a derived look-ahead search tree. Simulation studies are provided to illustrate and evaluate our proposed method.Testing extreme value copulas to estimate the quantile
http://hdl.handle.net/2117/88925
Testing extreme value copulas to estimate the quantile
Bahraoui, Zuhair; Bolancé, Catalina; Pérez-Marín, Ana M.
We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto Insurance claims.
2016-07-20T09:43:36ZBahraoui, ZuhairBolancé, CatalinaPérez-Marín, Ana M.We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto Insurance claims.Editor's Report 2014
http://hdl.handle.net/2117/88923
Editor's Report 2014
Guillén, Montserrat
2016-07-20T09:42:00ZGuillén, Montserrat