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Full-Text Articles in Statistics and Probability
A Monte Carlo Study Of The Effects Of Variability And Outliers On The Linear Correlation Coefficient, Hussein Yousif Eledum
A Monte Carlo Study Of The Effects Of Variability And Outliers On The Linear Correlation Coefficient, Hussein Yousif Eledum
Journal of Modern Applied Statistical Methods
Monte Carlo simulations are used to investigate the effect of two factors, the amount of variability and an outlier, on the size of the Pearson correlation coefficient. Some simulation algorithms are developed, and two theorems for increasing or decreasing the amount of variability are suggested.
Annuity Product Valuation And Risk Measurement Under Correlated Financial And Longevity Risks, Soohong Park
Annuity Product Valuation And Risk Measurement Under Correlated Financial And Longevity Risks, Soohong Park
Electronic Thesis and Dissertation Repository
Longevity risk is a non-diversifiable risk and regarded as a pressing socio-economic challenge of the century. Its accurate assessment and quantification is therefore critical to enable pension-fund companies provide sustainable old-age security and maintain a resilient global insurance market. Fluctuations and a decreasing trend in mortality rates, which give rise to longevity risk, as well as the uncertainty in interest-rate dynamics constitute the two fundamental determinants in pricing and risk management of longevity-dependent products. We also note that historical data reveal some evidence of strong correlation between mortality and interest rates and must be taken into account when modelling their …
Multivariate Rank Outlyingness And Correlation Effects, Olusola Samuel Makinde
Multivariate Rank Outlyingness And Correlation Effects, Olusola Samuel Makinde
Journal of Modern Applied Statistical Methods
The effect of correlation on multivariate rank outlyingness, a result of deviation of multivariate rank functions from property of spherical symmetry, is examined. Possible affine invariant versions of this multivariate rank are surveyed, and outlyingness of affine invariant and non-invariant spatial rank functions under general affine transformation are compared.
Control Charts For Mean For Non-Normally Correlated Data, J. R. Singh, Ab Latif Dar
Control Charts For Mean For Non-Normally Correlated Data, J. R. Singh, Ab Latif Dar
Journal of Modern Applied Statistical Methods
Traditionally, quality control methodology is based on the assumption that serially-generated data are independent and normally distributed. On the basis of these assumptions the operating characteristic (OC) function of the control chart is derived after setting the control limits. But in practice, many of the basic industrial variables do not satisfy both the assumptions and hence one may doubt the validity of the inferences drawn from the control charts. In this paper the power of the control chart for the mean is examined when both the assumptions of independence and normality are not tenable. The OC function is calculated and …
Effect Of Correlations On Type 1 Error Rates Of Some Multivariate Normality Tests, Gbenga Sunday Solomon, Kayode Ayinde, Nurudeen Abiodun Alao
Effect Of Correlations On Type 1 Error Rates Of Some Multivariate Normality Tests, Gbenga Sunday Solomon, Kayode Ayinde, Nurudeen Abiodun Alao
Conference on Applied Statistics in Agriculture
Normality assumption of multivariate data is a prerequisite to the use of multivariate statistical data analysis methods before inference could be valid and reliable. Tests developed to validate this assumption including Doornik-Harsen (DH), Shapiro-Francia (SF), Mardia Skewness (MS), Mardia Skewness for small sample (MSS) and Kurtosis (MK), Skewness (S) and Kurtosis(K), Shapiro-Wilk(SW), Royston (R), Desgagne-Micheaux (DM), Henze-Zirkler (HZ), Energy (E), Gel-Gastwirth (GG) and Bontemps-Meddahi (BM) tests often result into different conclusions. These differences can be misleading. Consequently, this paper examined the effect of correlations on the Type 1 error rates of multivariate tests of normality. Monte Carlo experiments were conducted …