Ir al contenido

Documat


Evaluación de rendimiento de los estimadorespara los parámetros de la Distribución Burr XII

  • Autores: Wyara Vanesa Moura E Silva, Daniel Leonardo Ramirez Orozco
  • Localización: Comunicaciones en Estadística, ISSN 2027-3355, ISSN-e 2339-3076, Vol. 15, Nº. 1, 2022, págs. 1-14
  • Idioma: español
  • DOI: 10.15332/23393076.7755
  • Títulos paralelos:
    • Performance Evaluation of Estimators for the Burr XII DistributionParameters
  • Enlaces
  • Resumen
    • español

      Este trabajo tiene como objetivo principal evaluar el rendimiento de los estimado-res de m ́axima verosimilitud y estimadores puntuales bayesianos para los par ́ame-trospebde la distribuci ́on Burr XII y sus versiones corregidas porbootstrap.Simulaciones de Monte Carlo fueron utilizadas para el an ́alisis, considerando di-versos escenarios y verificando algunas propiedades de esos estimadores, como lamedia, varianza, sesgo y error cuadr ́atico medio. Los estimadores corregidos pre-sentaron mejores rendimientos en cuanto a la estimaci ́on por el m ́etodo de m ́aximaverosimilitud, no sucede lo mismo en las estimativas puntuales para el an ́alisis delos estimadores bayesianos.

    • English

      The main objective of this paper is to evaluate the performance of maximum li-kelihood estimators and Bayesian point estimators for the parameterspandbofthe Burr XII distribution and itsbootstrap-corrected versions. Monte Carlo simu-lations were used for the analysis, considering various scenarios and verifying someproperties of these estimators, such as the mean, variance, bias, and mean squa-red error. The corrected estimators presented better performances in terms of theestimation by the maximum likelihood method, the same does not happen in thepoint estimates for the analysis of the Bayesian estimators.

  • Referencias bibliográficas
    • Citas B. Abbasi, S. Z. Hosseinifard, and M. Abdollahian. On the estimating burr xii distribution parameters. In 2010 Seventh International...
    • A. Bovas and A. Thavaneswaran. A nonlinear time series model and estimation of missing data. Annals of the Institute of Statistical Mathematics,...
    • I. W. Burr. Cumulative frequency functions. The Annals of mathematical statistics, 13(2):215–232, 1942.
    • S. Calderon and F. Nieto. Bayesian analysis of Multivariate Threshold Autoregressive Models with Missing Data. Communications in Statistics:...
    • B. P. Carlin and S. Chib. Bayesian Model Choice via Markov Chain Monte Carlo Methods. Journal of the Royal Statistical Society. Series B (Methodological),...
    • B. P. Carlin, N. G. Polson, and D. S. Stoffer. A Monte Carlo approach to Nonnormal and Nonlinear State-Space Modeling. Journal of the American...
    • C. Carter and R. Konh. On Gibbs Sampling for State Space Models. Biometrika, 81(3):541–553, August 1994.
    • C. Chen and J. Lee. Bayesian inference of threshold autoregressive models. Journal of Time Series Analysis, 16(5):483–492, September 1995.
    • C. W. S. Chen, F. Liu, and R. Gerlach. Bayesian subset selection for threshold autoregressive moving-average models. Computational Statistics,...
    • S. Chib. Marginal Likelihood from the Gibbs Output. Journal of the American Statistical Association, 90(432):1313–1321, December 1995.
    • S. Chib and I. Jeliazkov. Marginal Likelihood from the Metropolis-Hastings Output. Journal of the American Statistical Association, 96(453):270–281,...
    • J. G. De Gooijer and A. Vidiella-i Anguera. Forecasting threshold cointegrated systems. International Journal of Forecasting, 20(2):237–253,...
    • P. Dellaportas, J. Forster, and I. Ntzoufras. On Bayesian model and variable selection using MCMC. Statistics and Computing, 12(1):27–36,...
    • B. Efron. Bootstrap methods: Another look at the jackknife. The Annals of Statistics, pages 1–26, 1979.
    • B. Efron and R. J. Tibshirani. An introduction to the bootstrap chapman & hall. New York, 436, 1993.
    • S. Frh¨uwirth-Schnatter. Data augmentation and dynamic linear models. Journal of Time Series Analysis, 15(2):183–202, March 1995.
    • D. Gamerman and H. F. Lopes. Markov chain Monte Carlo: stochastic simulation for Bayesian inference. CRC Press, 2006.
    • E. George and R. McCulloch. Variable Selection Via Gibbs Sampling. Journal of the American Statistical Association, 8(423):881–889, September...
    • P. Green. Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination. Biometrika, 82(4):711–732, December 1995.
    • B. Hansen. Threshold autoregression in economics. Statistics and Its Interface, 4(2):123–127, 2011.
    • A. Harvey. Forecasting, structural time series model and the Kalman filter. Cambridge University Press, Cambridge, 1989. ISBN 0-521-32196-4.
    • T. Hong and T. Lee. Diagnostic Checking for the Adequacy of Nonlinear Time Series Models. Econometric Theory, 19(6):1065–1121, December 2003.
    • L. Kuo and B. Mallick. Variable Selection for Regression Models. Sankhya: The Indian Journal of Statistics, Series B, 60(1):65–81, April 1998.
    • Y. Kwon. Bayesian Analysis of Threshold Autoregressive Models. PhD thesis, University of Tennessee - Knoxville, 2003.
    • Y. Kwon, H. Bozdogan, and H. Bensmail. Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models. Econometric Reviews,...
    • S. Ling and W. Li. Diagnostic checking of nonlinear multivariate time series with multivariate arch errors. Journal of Time Series Analysis.,...
    • J. G. MacKinnon and A. A. Smith Jr. Approximate bias correction in econometrics. Journal of Econometrics, 85(2):205–230, 1998.
    • S. Meyn and R. Tweedie. Markov Chains and Stochastic Stability. Oxford Statistical Science. CAMBRIDGE UNIVERSITY PRESS, Cambridge, 2009. ISBN...
    • D. Moore and A. S. Papadopoulos. The burr type xii distribution as a failure model under various loss functions. Microelectronics Reliability,...
    • F. Nieto. Modeling Bivariate Threshold Autoregressive Processes in the Presence of Missing Data. Communications in Statistics - Theory and...

Fundación Dialnet

Mi Documat

Opciones de artículo

Opciones de compartir

Opciones de entorno