Accurate Calculation of Confidence Intervals on Predicted Extreme Met-Ocean Conditions When Using Small Datasets

2004 ◽  
Author(s):  
Daniel C. Brooker ◽  
Geoffrey K. Cole
Keyword(s):  
Confidence Intervals ◽  
Profile Likelihood ◽  
Parametric Bootstrap ◽  
Likelihood Method ◽  
Finite Sample ◽  
Likelihood Methods ◽  
Finite Sample Size ◽  
Design Values ◽  
Asymptotic Normal ◽  
Return Value

Estimation of high return period values of wind and wave conditions is usually done using a limited sample of data from measurement or hindcast studies. Because a finite sample size is used, the reliability of estimates is usually evaluated by constructing confidence intervals around design values such as the 100 year return value. In this paper, a numerical simulation study is used to compare the accuracy of calculated confidence intervals using several different calculation methods: the asymptotic normal, parametric bootstrap and profile likelihood methods. The accuracy of each method for different sample sizes is assessed for the truncated Weibull distribution. Based on these results, a profile likelihood method for estimation of confidence intervals is suggested for use when dealing with small datasets.

EMPIRICAL-LIKELIHOOD-BASED CONFIDENCE INTERVALS FOR CONDITIONAL VARIANCE IN HETEROSKEDASTIC REGRESSION MODELS

2010 ◽  
Vol 27 (1) ◽  
pp. 154-177 ◽  
Author(s):  
Ngai Hang Chan ◽  
Liang Peng ◽  
Dabao Zhang
Keyword(s):  
Confidence Intervals ◽  
Empirical Likelihood ◽  
Regression Models ◽  
Variance Reduction ◽  
Normal Approximation ◽  
Conditional Variance ◽  
Likelihood Method ◽  
Simulation Studies ◽  
Likelihood Methods ◽  
Reduction Techniques

Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and Peng (2009) applied variance reduction techniques to the estimator of Fan and Yao (1998) and proposed a new estimator for conditional variance to account for the skewness of financial data. In this paper, we apply empirical likelihood methods to construct confidence intervals for the conditional variance based on the estimator of Fan and Yao (1998) and the reduced variance modification of Chen et al. (2009). Simulation studies and data analysis demonstrate the advantage of the empirical likelihood method over the normal approximation method.

scholarly journals Goodness-of-Fit Tests for Bivariate Time Series of Counts

Econometrics ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 10
Author(s):  
Šárka Hudecová ◽  
Marie Hušková ◽  
Simos G. Meintanis
Keyword(s):  
Goodness Of Fit ◽  
Probability Generating Function ◽  
Parametric Bootstrap ◽  
Real Data ◽  
Data Sets ◽  
Test Statistics ◽  
Finite Sample ◽  
Generalized Poisson ◽  
Goodness Of Fit Tests ◽  
Monte Carlo Experiments

This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one being entirely nonparametric and the second one being semiparametric computed under the corresponding null hypothesis. The asymptotic distribution of the proposed tests statistics both under the null hypotheses as well as under alternatives is derived and consistency is proved. The case of testing bivariate generalized Poisson autoregression and extension of the methods to dimension higher than two are also discussed. The finite-sample performance of a parametric bootstrap version of the tests is illustrated via a series of Monte Carlo experiments. The article concludes with applications on real data sets and discussion.

scholarly journals MLE-Based Parameter Estimation for Four-Parameter Exponential Gamma Distribution and Asymptotic Variance of Its Quantiles

Water ◽  
2021 ◽  
Vol 13 (15) ◽  
pp. 2092
Author(s):  
Songbai Song ◽  
Yan Kang ◽  
Xiaoyan Song ◽  
Vijay P. Singh
Keyword(s):  
Parameter Estimation ◽  
Confidence Intervals ◽  
Asymptotic Variance ◽  
Information Matrix ◽  
Estimation Method ◽  
Flood Frequency Analysis ◽  
Annual Precipitation ◽  
Precipitation Data ◽  
Marquardt Algorithm ◽  
Design Values

The choice of a probability distribution function and confidence interval of estimated design values have long been of interest in flood frequency analysis. Although the four-parameter exponential gamma (FPEG) distribution has been developed for application in hydrology, its maximum likelihood estimation (MLE)-based parameter estimation method and asymptotic variance of its quantiles have not been well documented. In this study, the MLE method was used to estimate the parameters and confidence intervals of quantiles of the FPEG distribution. This method entails parameter estimation and asymptotic variances of quantile estimators. The parameter estimation consisted of a set of four equations which, after algebraic simplification, were solved using a three dimensional Levenberg-Marquardt algorithm. Based on sample information matrix and Fisher’s expected information matrix, derivatives of the design quantile with respect to the parameters were derived. The method of estimation was applied to annual precipitation data from the Weihe watershed, China and confidence intervals for quantiles were determined. Results showed that the FPEG was a good candidate to model annual precipitation data and can provide guidance for estimating design values

scholarly journals Nonparametric bootstrap inference for the targeted highly adaptive least absolute shrinkage and selection operator (LASSO) estimator

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Weixin Cai ◽  
Mark van der Laan
Keyword(s):  
Confidence Intervals ◽  
Nonparametric Estimation ◽  
Cross Validation ◽  
Data Distribution ◽  
Average Treatment Effect ◽  
Finite Sample ◽  
Nonparametric Bootstrap ◽  
A Value ◽  
Variation Norm ◽  
Selection Operator

AbstractThe Highly-Adaptive least absolute shrinkage and selection operator (LASSO) Targeted Minimum Loss Estimator (HAL-TMLE) is an efficient plug-in estimator of a pathwise differentiable parameter in a statistical model that at minimal (and possibly only) assumes that the sectional variation norm of the true nuisance functions (i.e., relevant part of data distribution) are finite. It relies on an initial estimator (HAL-MLE) of the nuisance functions by minimizing the empirical risk over the parameter space under the constraint that the sectional variation norm of the candidate functions are bounded by a constant, where this constant can be selected with cross-validation. In this article we establish that the nonparametric bootstrap for the HAL-TMLE, fixing the value of the sectional variation norm at a value larger or equal than the cross-validation selector, provides a consistent method for estimating the normal limit distribution of the HAL-TMLE. In order to optimize the finite sample coverage of the nonparametric bootstrap confidence intervals, we propose a selection method for this sectional variation norm that is based on running the nonparametric bootstrap for all values of the sectional variation norm larger than the one selected by cross-validation, and subsequently determining a value at which the width of the resulting confidence intervals reaches a plateau. We demonstrate our method for 1) nonparametric estimation of the average treatment effect when observing a covariate vector, binary treatment, and outcome, and for 2) nonparametric estimation of the integral of the square of the multivariate density of the data distribution. In addition, we also present simulation results for these two examples demonstrating the excellent finite sample coverage of bootstrap-based confidence intervals.

scholarly journals Robust estimation for multivariate wrapped models

METRON ◽  
2021 ◽  
Author(s):  
Giovanni Saraceno ◽  
Claudio Agostinelli ◽  
Luca Greco
Keyword(s):  
Robust Estimation ◽  
Numerical Study ◽  
Real Data ◽  
Likelihood Method ◽  
Weighted Likelihood ◽  
Finite Sample ◽  
Pearson Residuals ◽  
Data Points ◽  
Wrapped Distributions ◽  
Standard Techniques

AbstractA weighted likelihood technique for robust estimation of multivariate Wrapped distributions of data points scattered on a $$p-$$ p - dimensional torus is proposed. The occurrence of outliers in the sample at hand can badly compromise inference for standard techniques such as maximum likelihood method. Therefore, there is the need to handle such model inadequacies in the fitting process by a robust technique and an effective downweighting of observations not following the assumed model. Furthermore, the employ of a robust method could help in situations of hidden and unexpected substructures in the data. Here, it is suggested to build a set of data-dependent weights based on the Pearson residuals and solve the corresponding weighted likelihood estimating equations. In particular, robust estimation is carried out by using a Classification EM algorithm whose M-step is enhanced by the computation of weights based on current parameters’ values. The finite sample behavior of the proposed method has been investigated by a Monte Carlo numerical study and real data examples.

scholarly journals Parametric Bootstrap Methods for Estimating Model Parameters of Non-homogeneous Gamma Process

2018 ◽  
Vol 3 (2) ◽  
pp. 167-176 ◽  
Author(s):  
Yasuhiro Saito ◽  
Tadashi Dohi
Keyword(s):  
Confidence Intervals ◽  
Bootstrap Method ◽  
Parametric Bootstrap ◽  
Gamma Process ◽  
Estimation Accuracy ◽  
Model Parameters ◽  
Trend Function ◽  
Bootstrap Methods ◽  
Parametric Bootstrapping ◽  
Simulation Based

Non-Homogeneous Gamma Process (NHGP) is characterized by an arbitrary trend function and a gamma renewal distribution. In this paper, we estimate the confidence intervals of model parameters of NHGP via two parametric bootstrap methods: simulation-based approach and re-sampling-based approach. For each bootstrap method, we apply three methods to construct the confidence intervals. Through simulation experiments, we investigate each parametric bootstrapping and each construction method of confidence intervals in terms of the estimation accuracy. Finally, we find the best combination to estimate the model parameters in trend function and gamma renewal distribution in NHGP.

Near Observational Equivalence and Theoretical size Problems with Unit Root Tests

1996 ◽  
Vol 12 (4) ◽  
pp. 724-731 ◽  
Author(s):  
Jon Faust
Keyword(s):  
Unit Root ◽  
Sufficient Conditions ◽  
Unit Root Test ◽  
Asymptotic Distributions ◽  
Unit Root Tests ◽  
Finite Sample ◽  
Test Procedures ◽  
Asymptotic Size ◽  
Finite Sample Size ◽  
Topological Sense

Said and Dickey (1984,Biometrika71, 599–608) and Phillips and Perron (1988,Biometrika75, 335–346) have derived unit root tests that have asymptotic distributions free of nuisance parameters under very general maintained models. Under models as general as those assumed by these authors, the size of the unit root test procedures will converge to one, not the size under the asymptotic distribution. Solving this problem requires restricting attention to a model that is small, in a topological sense, relative to the original. Sufficient conditions for solving the asymptotic size problem yield some suggestions for improving finite-sample size performance of standard tests.

Statistical software fault management based on bootstrap confidence intervals

2020 ◽  
Vol 37 (6/7) ◽  
pp. 905-923
Author(s):  
Tadashi Dohi ◽  
Hiroyuki Okamura ◽  
Cun Hua Qian
Keyword(s):  
Confidence Interval ◽  
Confidence Intervals ◽  
Fault Management ◽  
Parametric Bootstrap ◽  
Software Systems ◽  
Statistical Software ◽  
System Availability ◽  
Content Type ◽  
Software Rejuvenation ◽  
Software Fault

PurposeIn this paper, the authors propose two construction methods to estimate confidence intervals of the time-based optimal software rejuvenation policy and its associated maximum system availability via a parametric bootstrap method. Through simulation experiments the authors investigate their asymptotic behaviors and statistical properties.Design/methodology/approachThe present paper is the first challenge to derive the confidence intervals of the optimal software rejuvenation schedule, which maximizes the system availability in the sense of long run. In other words, the authors concern the statistical software fault management by employing an idea of process control in quality engineering and a parametric bootstrap.FindingsAs a remarkably different point from the existing work, the authors carefully take account of a special case where the two-sided confidence interval of the optimal software rejuvenation time does not exist due to that fact that the estimator distribution of the optimal software rejuvenation time is defective. Here the authors propose two useful construction methods of the two-sided confidence interval: conditional confidence interval and heuristic confidence interval.Research limitations/implicationsAlthough the authors applied a simulation-based bootstrap confidence method in this paper, another re-sampling-based approach can be also applied to the same problem. In addition, the authors just focused on a parametric bootstrap, but a non-parametric bootstrap method can be also applied to the confidence interval estimation of the optimal software rejuvenation time interval, when the complete knowledge on the distribution form is not available.Practical implicationsThe statistical software fault management techniques proposed in this paper are useful to control the system availability of operational software systems, by means of the control chart.Social implicationsThrough the online monitoring in operational software systems, it would be possible to estimate the optimal software rejuvenation time and its associated system availability, without applying any approximation. By implementing this function on application programming interface (API), it is possible to realize the low-cost fault-tolerance for software systems with aging.Originality/valueIn the past literature, almost all authors employed parametric and non-parametric inference techniques to estimate the optimal software rejuvenation time but just focused on the point estimation. This may often lead to the miss-judgment based on over-estimation or under-estimation under uncertainty. The authors overcome the problem by introducing the two-sided confidence interval approach.

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