References of "Heuchenne, Cédric"
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See detailOptimal T2 control chart with double sampling scheme - an alternative to the MEWMA chart
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Saniga, Erwin

in Quality and Reliability Engineering International (2012), 28(7), 751-760

Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the ... [more ▼]

Recent studies have shown that the double sampling (DS) scheme yields rapid detection of out of control situations, but the economic consequences of applying the proposed method are not discussed in the literature yet. In this paper, the economic statistical design of the DS T2 control chart is designed to address this issue. In this regard, upon the Lorenzen and Vance (1986)’s economic model, the problem is formulized and then the cost function is minimized using the genetic algorithm search method to obtain the optimal design parameters. Besides, we assumed that the length of the time that process remains in control is exponentially distributed. Through an illustrative example we show that by applying the proposed method relatively large benefits can be achieved in a comparison with the classical T2 and the statistical DS T2 charts. Furthermore the performance of the ESD DS T2 charts is compared to the MEWMA and other variable ratio sampling (VRS) T2 control charts in the literature. [less ▲]

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See detailError distribution estimation in nonparametric regression with right censored selection biased data
Laurent, Géraldine ULg; Heuchenne, Cédric ULg

Conference (2012, October 25)

In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and ... [more ▼]

In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and sigma²(X) =Var[Y|X] are unknown smooth functions. The problem is to estimate the cumulative distribution function of the error in a nonparametric way when the couple (X;Y) is subject to generalized bias selection while the positive response Y can be right-censored. We propose a new estimator for the error distribution function. Asymptotic properties of the proposed estimator are established, namely the rate of convergence and the limiting distribution. A bootstrap procedure is developed to solve the critical problem of the smoothing parameter choice. The performance of the proposed estimator is investigated through simulations. Finally, a data set based on the mortality of diabetics is analyzed. [less ▲]

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See detailConditional asset allocation: Does Market-Wide Liquidity Matter?
Bazgour, Tarik ULg; Sougné, Danielle ULg; Heuchenne, Cédric ULg

E-print/Working paper (2012)

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a ... [more ▼]

This paper investigates the effect of market-wide liquidity on optimal portfolio allocations across US equity portfolios sorted by size and book-to-market characteristics. In particular, we consider a single-period investor with a relative risk aversion of 5, and use the nonparametric approach of Brandt (1999) to directly express optimal portfolio weights as functions of market-wide liquidity innovations. We find, first, that the effect of market-wide liquidity is a decreasing function of investment horizon. Second, this effect is stronger in allocations in the small stock portfolio and gets weaker as we move towards the large stock portfolio. Third, conditional allocations in risky asset(s) decrease and exhibit shifts towards more liquid and less risky assets as market-wide liquidity worsens. Overall, our results show that allocations based on market-wide liquidity as a signal capture many phenomena that have been identified by researchers in the US market, such as the so-called “flight-to-safety”, flight-to-quality” and “flight-to-liquidity” episodes. Furthermore, in an out-of-sample test, results demonstrate the superior performance of a strategy based on market-wide liquidity compared to a benchmark strategy. [less ▲]

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See detailConditional Asset Allocation: Does Market-Wide Liquidity Matter?
Sougné, Danielle ULg; Heuchenne, Cédric ULg; Bazgour, Tarik ULg

Conference (2012, September 19)

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See detailAsymptotic properties of the error distribution estimation in right censored and selection biased regression models
Laurent, Géraldine ULg; Heuchenne, Cédric ULg

Conference (2012, June 16)

Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with ... [more ▼]

Suppose the random vector (X,Y) satisfies the nonparametric regression model Y=m(X)+sigma(X)*epsilon where m(X) =E [Y|X] and sigma^2(X) = Var [Y|X] are unknown smooth functions and the error epsilon, with unknown distribution, is independent of the covariate X. The pair (X,Y) is subject to generalized bias selection and the response Y to right censoring. We define a new estimator for the cumulative distribution function of the error epsilon, where the estimators of m(.) and sigma^2(.) are obtained by extending the conditional estimation methods introduced in de Uña-Alvarez and Iglesias-Perez (2010). The asymptotic properties of the proposed estimator are established. A bootstrap technique is proposed to select the smoothing parameter involved in the procedure. Finally, this method is studied via extended simulations and applied to real data. [less ▲]

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See detailSome Applications of Mathematical Statistics in Management
Heuchenne, Cédric ULg

Scientific conference (2012, March)

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See detailTesting for one-sided alternatives in nonparametric censored regression
Heuchenne, Cédric ULg; Pardo Fernandez, Juan-Carlos

in TEST (2012), 21(3), 498-518

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See detailEstimation under left parametric truncation and right censoring
Heuchenne, Cédric ULg; Laurent, Géraldine ULg

Scientific conference (2012)

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See detailEstimation under left parametric truncation and right censoring
Heuchenne, Cédric ULg; Laurent, Géraldine ULg

Scientific conference (2012)

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See detailScale checks in censored regression
Heuchenne, Cédric ULg; Dette, Holger

in Scandinavian Journal of Statistics (2012), 39

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See detailEstimation of a general parametric location in censored regression
Heuchenne, Cédric ULg; Van Keilegom, Ingrid

in Exploring research frontiers in contemporary statistics and econometrics - A Festschrift for Léopold Simar (2012)

Detailed reference viewed: 34 (3 ULg)
See detailEconomic Design of Control Charts In Presence of Censored Data
Faraz, Alireza ULg; Heuchenne, Cédric ULg

Speech/Talk (2011)

we present Shewhart type Z ̅ and S2 control charts for monitoring individual or joint shifts in the scale and shape parameters of a Weibull distributed process. The advantage of this method is its ease of ... [more ▼]

we present Shewhart type Z ̅ and S2 control charts for monitoring individual or joint shifts in the scale and shape parameters of a Weibull distributed process. The advantage of this method is its ease of use and flexibility for the case where the process distribution is Weibull, although the method can be applied to any distribution. We illustrate the performance of our method through simulation and the application through the use of an actual data set. Our results indicate that Z ̅ and S2 control charts perform well in detecting shifts in the scale and shape parameters. We also provide a guide that would enable a user to interpret out-of-control signals. [less ▲]

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See detailThe Economic and Statistical Designs of Control charts for Censored and Non-Normal Data
Faraz, Alireza ULg; Heuchenne, Cédric ULg; Davis, Darwin, Edward et al

Scientific conference (2011, December)

In this research, we are dealing with constructing the statistical design (SD) and economic statistical design (ESD) of Shewhart and CUSUM control charts for reliability data which are right censored ... [more ▼]

In this research, we are dealing with constructing the statistical design (SD) and economic statistical design (ESD) of Shewhart and CUSUM control charts for reliability data which are right censored. This is the case which happens more frequently in the field. [less ▲]

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See detailTesting for one-sided alternatives in nonparametric censored regression
Heuchenne, Cédric ULg; Pardo Fernandez, Juan Carlos

Conference (2011, December)

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See detailQuantile regression in nonparametric location-scale models with censored data
Heuchenne, Cédric ULg; Van Keilegom, Ingrid

Conference (2011, December)

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See detailEstimation of the Error Distribution in a Semiparametric Transformation Model
Heuchenne, Cédric ULg; Samb, Rawane; Van Keilegom, Ingrid

Scientific conference (2011, November 15)

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See detailTesting for one-sided alternatives in nonparametric censored regression
Heuchenne, Cédric ULg; Pardo Fernandez, Juan Carlos

Scientific conference (2011, November 09)

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See detailA modified economic-statistical design of the T2 control chart with variable sample sizes and control limits
Seif, A.; Faraz, Alireza ULg; Heuchenne, Cédric ULg et al

in Journal of Applied Statistics (2011), 38(11), 2459-2469

Recent studies have shown that using variable sampling size and control limits (VSSC) schemes result in charts with more statistical power than variable sampling size (VSS) when detecting small to ... [more ▼]

Recent studies have shown that using variable sampling size and control limits (VSSC) schemes result in charts with more statistical power than variable sampling size (VSS) when detecting small to moderate shifts in the process mean vector. This paper presents an economic-statistical design (ESD) of the VSSC T2 control chart using the general model of Lorenzen and Vance [22]. The genetic algorithm approach is then employed to search for the optimal values of the six test parameters of the chart. We then compare the expected cost per unit of time of the optimally designed VSSC chart with optimally designed VSS and FRS (fixed ratio sampling) T2 charts as well as MEWMA charts. [less ▲]

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See detailStatistical Merits and Economic Evaluation of T2 Control Charts with the VSSC Scheme
Seif, Asghar; Moghadam, M.B.; Faraz, Alireza ULg et al

in Arabian Journal for Science and Engineering (2011), 36(7), 1461-1470

T2 control charts are used to monitor a process when more than one quality variable associated with the process is being observed. Recent studies have shown that using variable sampling size (VSS) schemes ... [more ▼]

T2 control charts are used to monitor a process when more than one quality variable associated with the process is being observed. Recent studies have shown that using variable sampling size (VSS) schemes results in charts with more statistical power for detecting small to moderate shifts in the process mean vector. This paper presents an economic-statistical design of T2 control charts with variable sample size and control limits (VSSC). We build a cost model of a VSSC T2 control chart for the purpose of economic-statistical design using the model of Costa and Rahim (J. Appl. Stat. 28:875–885, 2001). This cost model constructed involves the cost of false alarms, the cost of finding and eliminating an assignable cause, the cost associated with production in an out-of-control state, and the cost of sampling and testing. We optimize this model using a genetic algorithm approach. Furthermore, VSSC and VSS T2 charts are compared with respect to the expected cost per unit time. [less ▲]

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