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See detailA robust statistical approach to select adequate error distributions for financial returns
Hambuckers, julien ULg; Heuchenne, Cédric ULg

in Journal of Applied Statistics (in press)

In this article, we propose a robust statistical approach to select an appropriate error distribution, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional ... [more ▼]

In this article, we propose a robust statistical approach to select an appropriate error distribution, in a classical multiplicative heteroscedastic model. In a first step, unlike to the traditional approach, we don't use any GARCH-type estimation of the conditional variance. Instead, we propose to use a recently developed nonparametric procedure (Mercurio and Spokoiny, 2004): the Local Adaptive Volatility Estimation (LAVE). The motivation for using this method is to avoid a possible model misspecification for the conditional variance. In a second step, we suggest a set of estimation and model selection procedures (Berk-Jones tests, kernel density-based selection, censored likelihood score, coverage probability) based on the so-obtained residuals. These methods enable to assess the global fit of a set of distributions as well as to focus on their behavior in the tails, giving us the capacity to map the strengths and weaknesses of the candidate distributions. A bootstrap procedure is provided to compute the rejection regions in this semiparametric context. Finally, we illustrate our methodology throughout a small simulation study and an application on three time series of daily returns (UBS stock returns, BOVESPA returns and EUR/USD exchange rates) [less ▲]

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See detailTesting the proportional odds assumption in multiply imputed ordinal longitudinal data
Donneau, Anne-Françoise ULg; Mauer, M; Lambert, Philippe ULg et al

in Journal of Applied Statistics (2015), 42(10), 2257-2279

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See detailBayesian penalized smoothing approaches in models specified using affine differential equations with unknown error distributions
Jaeger, Jonathan ULg; Lambert, Philippe ULg

in Journal of Applied Statistics (2014), 41(12), 2709-2726

A full Bayesian approach based on ODE-penalized B-splines and penalized Gaussian mixture is proposed to jointly estimate ODE-parameters, state function and error distribution from the observation of some ... [more ▼]

A full Bayesian approach based on ODE-penalized B-splines and penalized Gaussian mixture is proposed to jointly estimate ODE-parameters, state function and error distribution from the observation of some state functions involved in systems of affine differential equations. Simulations inspired by pharmacokinetic studies show that the proposed method provides comparable results to the method based on the standard ODE-penalized B-spline approach (i.e. with the Gaussian error distribution assumption) and outperforms the standard ODE-penalized B-splines when the distribution is not Gaussian. This methodology is illustrated on the Theophylline dataset. [less ▲]

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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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