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THE ASYMPTOTIC VARIANCE OF DEPARTURES IN CRITICALLY LOADED QUEUES
"... The asymptotic variance of departures ..."
Asymptotic Variance Estimation for the
, 2006
"... Most epidemiological studies suffer from misclassification in the response and/or the covariates. Since ignoring misclassification induces bias on the parameter estimates, correction for such errors is important. For measurement error, the continuous analog to misclassification, a general approach ..."
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SIMEX approach. To assess the importance of a regressor not only its (corrected) estimate is needed, but also its standard error. For the original SIMEX approach. Carroll et al. (1996) developed a method for estimating the asymptotic variance. Here we derive the asymptotic variance estimators for the MC
Asymptotic variance of subspace estimates
 Journal of Econometrics
"... We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A, B, C, D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA etc. The asymptotic expressions highlight how the conditioning ..."
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Cited by 10 (4 self)
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We give new simple general expressions for the asymptotic covariance of the estimated system parameters (A, B, C, D) in subspace identification. The formulas can be applied to a whole class of subspace methods including N4SID, MOESP, CVA etc. The asymptotic expressions highlight how
Estimating the asymptotic variance with batch means
, 1991
"... We show that there is no batchmeans estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping rule ..."
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Cited by 22 (2 self)
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We show that there is no batchmeans estimation procedure for consistently estimating the asymptotic variance when the number of batches is held fixed as the run length increases. This result suggests that the number of batches should increase as the run length increases for sequential stopping
Pitman estimators: an asymptotic variance revisited
 Theory Probability and its Applications, v.57, N 3
, 2012
"... Abstract. We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identically distributed observations. The expression is obtained in terms o ..."
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Cited by 1 (0 self)
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Abstract. We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identically distributed observations. The expression is obtained in terms
Judging MCMC Estimators by Their Asymptotic Variance
, 1998
"... The expectation of a function can be estimated by the empirical estimator based on the output of a Markov chain Monte Carlo method. We review results on the asymptotic variance of the empirical estimator, and on improving the estimator by exploiting knowledge of the underlying distribution or of the ..."
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The expectation of a function can be estimated by the empirical estimator based on the output of a Markov chain Monte Carlo method. We review results on the asymptotic variance of the empirical estimator, and on improving the estimator by exploiting knowledge of the underlying distribution
CLTs and asymptotic variance of timesampled Markov chains
, 2011
"... For a Markov transition kernel P and a probability distribution µ on nonnegative integers, a timesampled Markov chain evolves according to the transition kernel Pµ = ∑ k µ(k)P k. In this note we obtain CLT conditions for timesampled Markov chains and derive a spectral formula for the asymptotic va ..."
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Cited by 3 (0 self)
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variance. Using these results we compare efficiency of Barker’s and Metropolis algorithms in terms of asymptotic variance.
Asymptotic Variance of Sample Vector Variance of Standardized Variables
"... The stability of the correlation matrices is noteworthy. Usually to testing stability of coorelation matrices used to statistics M Box, Jennrich and G. Its statistics However, M Box and G statistics as computation of matrix determinant and J statistic involves matrix inversion. The former needs the ..."
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in the calculation to determine variance of Vector Variance of Sample Variance of Standardized Variables. In this paper, by utilizing the vec operator and properties of the matrix will be investigated alternative formulation of asymptotic variance of Vector Variance of Sample Variance of
On the asymptotic variance in the Central Limit Theorem for particle filters
, 2009
"... Particle filters algorithms approximate a sequence of distributions by a sequence of empirical measures generated by a population of simulated particles. In the context of Hidden Markov Models (HMM), they provide approximations of the distribution of optimal filters associated to these models. Given ..."
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Cited by 2 (0 self)
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. Given a set of observations, the asymptotic behaviour of particle filters, as the number of particles tends to infinity, has been studied: a central limit theorem holds with an asymptotic variance depending on the fixed set of observations. In this paper we establish, under general assumptions
Results 1  10
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2,756