2. Weighted Log-rank statistics. Y 2 (u) 1. Perspective 1: weighted difference in cumulative hazard functions
|
|
- Νατάσσα Κομνηνός
- 6 χρόνια πριν
- Προβολές:
Transcript
1 2. Weighted Log-rank statistics Weighted Log-rank statistic W = 0 W (u) Y 1(u)Y 2 (u) Y 1 (u) + Y 2 (u) { dn1 (u) Y 1 (u) dn } 2(u) Y 2 (u) How do we view it? 1. Perspective 1: weighted difference in cumulative hazard functions 2. Perspective 2: weighted sum of (ad bc) of the 2 2 tables over time
2 An equivalent form: W = = W (u) Y 0(u)Y 1 (u) 0 Y 0 (u) + Y 1 (u) 0 W (u) { dn1 (u) Y 1 (u) dn 0(u) Y 0 (u) { Y0 (u) Y (u) dn 1(u) Y 1(u) Y (u) dn 0(u) Z i = 0/1 in group 0/1, respectively Y 1 (u) = n Z i Y i (u) } } Y 1 (u) Y (u) = n Z i Y i (u) n Y i (u) = Z(u) Y 0 (u) Y (u) = 1 Z(u)
3 After substitution, W = = = = 0 W (u) { Y0 (u) Y (u) dn 1(u) Y } 1(u) Y (u) dn 0(u) W (u) { [1 Z(u)]dN 1 (u) + [0 Z(u)]dN 0 (u) } 0 n W (u) { Zi Z(u) } dn i (u) 0 n 0 W (u) { Z i Z(u) } dn i (u) Perspective 3: weighted difference on covariates, because Z(u) = n Z i Y i (u) n Y i (u) E[ZI(X u)] Pr(X u) = E(Z X u) = µ Z (u)
4 Story continues: W = = + n n n 0 W (u) { Z i Z(u) } dn i (u) 0 W (u) { Z i Z(u) } [dn i (u) Y i (u)λ(u)du] 0 W (u) { Z i Z(u) } Y i (u)λ(u)du the second sum is zero, because n { Zi Z(u) } Y i (u) = { n Z i n Z i Y i (u) n Y i (u) } Y i (u) = 0
5 Eureka! W = n 0 W (u){ Z i Z(u) } dm i (u) cf. linear regression model y i = β 0 + β 1 x i + e i LS estimation of the second equation w.r.t. β 1 : n x i (y i ŷ i ) = n x i ê i = n (x i x)ê i
6 Asymptotics under H 0 : λ(t Z i ) = λ(t) U n (t) = n 1/2 n t 0 W (u) { Z i Z(u) } dm i (u) weighted Log-rank statistic: W = n 1/2 U n (τ) F t = σ{n i (u), Y i (u), Z i ; i = 1, 2,... n, 0 u t} M i ( ) are F t -martingales H i (u) = n 1/2 W (u) { Z i Z(u) } are F t -predictable U n (t) = n t0 H i (u)dm i (u)
7 Martingale CLT U n (t) = n t0 n 1/2 W (u) { Z i Z(u) } dm i (u) < U n, U n > (t) should be n t [ n 1/2 W (u) { Z i Z(u) }] 2 Yi (u)λ(u)du = t 0 1 n 0 n Assume that W (u) w(u) W (u) 2 { Z i Z(u) } 2 Yi (u)λ(u)du < U n, U n > (t) P t 0 w(u)2 E =α(t) [ {Z µ Z (u)} 2 ] I(X u) λ(u)du
8 < U n,ɛ, U n,ɛ > (t) P 0, because n t 0 [ n 1/2 W (u) { Z i Z(u) }] 2 I { n 1/2 W (u) { Z i Z(u) } ɛ } Yi (u)λ(u)du therefore, U n U var[u(t)] =α(t) = = = t 0 w(u)2 E t 0 w(u)2e t [ {Z µ Z (u)} 2 I(X u) λ(u)du [ {Z µz (u)} 2 I(X u) ] ] EI(X u)λ(u)du EI(X u) 0 w(u)2 var(z X u)ei(x u)λ(u)du
9 Weighted Log-rank statistic: W = n 1/2 U n (τ) n 1/2 W D N (0, α(τ)) Standardized weighted Log-rank test statistic: n 1/2 W α(τ) D N (0, 1) How to estimate α(τ)?
10 We know α(t) equals t 0 w(u)2 var(z X u)ei(x u)λ(u)du λ(t)dt = d Λ(t) = dn(t)/y (t) ÊI(X u) = Y (u)/n var(z X u) = p q, where p = Ê(Z X u) = Z(u) α(τ) is estimated by n 1 t 0 W (u)2 Z(u)[1 Z(u)]dN(u)
11 Standardized weighted Log-rank statistics n 1/2 W α(τ) = n τ0 W (u) { Z i Z(u) } dn i (u) { n τ0 W (u) 2 Z(u)[1 Z(u)]dN i (u)} 1/2 goes to N (0, 1) Reject H 0 when n 1/2 W α(τ) > 1.96 for type-i error of 5%
12 What is weighted Log-rank test statistic anyway? n 1/2 W α(τ) = n τ0 W (u) { Z i Z(u) } dn i (u) { n τ0 W (u) 2 Z(u)[1 Z(u)]dN i (u)} 1/2 if i = 0, then dn i (u) = 0 if i = 1, dn i (t) = 1 at t = X i and 0 elsewhere τ 0 W (u) { Z i Z(u) } dn i (u) = W (X i ){Z i Y 1 (X i )/Y (X i )} = w i {Z i Y i1 /Y i } Numerator is n w i i (Z i Y i1 /Y i ) Denominator is { n w 2 i iy i1 Y i0 /Y 2 i }1/2
13 Numerator is n w i i (Z i Y i1 /Y i ) Denominator is { n w 2 i iy i1 Y i0 /Y 2 i }1/2 2 2 table for ith failure, i = 1 t Z dn(t) = 1 Y (t) dn(t) Y (t) X i Z i = 1 1 Y i1 1 Y i1 Z i = 0 0 Y i0 Y i0 1 Y i 1 Y i X i Z i = 1 0 Y i1 Y i1 Z i = 0 1 Y i0 1 Y i0 1 Y i 1 Y i O i = Z i = 0/1, E i = 1 Y i1 /Y i var(o i ) = 1 (Y i 1) Y i1 Y i0 /[Y i 2 (Y i 1)]
14 Power analysis of weighted Log-rank test statistics 1. type-i error: α = 5% 2. power level 3. alternative hypothesis 4. error bound Under H 0 : λ 0 (t) = λ 1 (t) = λ(t), n 1/2 W N (0, α(τ))
15 Alternative hypothesis H 1 : λ 1 (t) = λ 0 (t)e β n θ(t) log[λ 1 (t Z i )/λ 0 (t)] = β n Z i θ(t) θ(t): take into account of nonproportionality β n : distance between the null and an alternative 1. n 1/2 β n ξ (0, ) 2. local alternatives: β n 0 Given a sample size n, { Power = Pr n 1/2 W / α(τ) > z 1 α/2 H 1 }
16 Aysmptotic distribution of n 1/2 W under H 1 n 1/2 W = n 1/2 n τ0 W (u) { Z i Z(u) } dn i (u) under H 1, E[dN i (u) F u ] = Y i (u)λ i (u)du = Y i (u)λ 0 (u)e β nz i θ(u) du n 1/2 W = n 1/2 +n 1/2 n τ n τ 0 W (u){ Z i Z(u) } dm i (u) 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)e β nz i θ(u) du apply MCLT
17 Aysmptotic distribution of n 1/2 W under H 1 n 1/2 W = n 1/2 n τ0 W (u) { Z i Z(u) } dn i (u) under H 1, E[dN i (u) F u ] = Y i (u)λ i (u)du = Y i (u)λ 0 (u)e β nz i θ(u) du n 1/2 W = n 1/2 +n 1/2 n τ =Term I + Term II n τ 0 W (u){ Z i Z(u) } dm i (u) 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)e β nz i θ(u) du
18 Term I: predictable variation τ 0 n 1 n W (u) 2{ Z i Z(u) } 2 Yi (u)λ 0 (u)e β nz i θ(u) du β n 0 e β nz i θ(u) 1 and H 1n H 0 Term I τ 0 w(u) 2 E[(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Term I asymptotically N (0, τ 0 w(u)2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du)
19 Term II: n 1/2 n τ 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)e β nz i θ(u) du Taylor expansion: e β nz i θ(u) = 1 + β n Z i θ(u) + O(β 2 n ) O(β 2 n )/β2 n is bounded Term II = Term IIa + Term IIb + Term IIc Term IIa n 1/2 n τ 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)du = 0
20 Term IIb = = =ξ n 1/2 n τ τ 0 W (u)n 1 τ 0 W (u)n 1 τ 0 W (u){ Z i Z(u) } Z i Y i (u)β n θ(u)λ 0 (u)du n n { Zi Z(u) } Z i Y i (u) n 1/2 β n θ(u)λ 0 (u)du { Zi Z(u) } 2 Yi (u) n 1/2 β n θ(u)λ 0 (u)du 0 w(u)e H 0 [(Z i µ Z (u)) 2 I(X u)] ξ θ(u)λ 0 (u)du τ 0 w(u)θ(u)e H 0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du
21 Term IIc O(βn 2)/β2 n < M no(β2 n ) = O(nβ2 n ) n 1/2 O(βn) 2 = n 1/2 O(nβn) 2 = o(n 1/2 ) = 0 n 1/2 n τ 0 τ 0 W (u)n 1 { Zi Z(u) } Y i (u)o(β 2 n )λ 0(u)du n { Zi Z(u) } Y i (u)o(n 1/2 )λ 0 (u)du
22 Term II = Term IIa + Term IIb + Term IIc converges to ξ τ 0 w(u)θ(u)e H 0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Recall on Term I N (0, τ 0 w(u)2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du) Under H 1n : A(w 2 ) = τ 0 w(u) 2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du) n 1/2 W N (ξa(θw), A(w))
23 Recap on power calculation of weighted Log-rank n 1/2 W = n 1/2 n τ0 W (u) { Z i Z(u) } dn i (u) Under H 0, n 1/2 W N (0, α(τ)) Alternative hypothesis: H 1n : λ 1 (t) = λ 0 (t)e β n θ(t) A breakdown n 1/2 W = n 1/2 +n 1/2 n τ =Term I + Term II n τ 0 W (u){ Z i Z(u) } dm i (u) 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)e β nz i θ(u) du
24 Term I: mean zero contribute random variation Term I asymptotically N (0, τ 0 w(u)2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du)
25 Term II: n 1/2 n τ 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)e β nz i θ(u) du Taylor expansion: e β nz i θ(u) = 1 + β n Z i θ(u) + O(βn 2) Term II = Term IIa + Term IIb + Term IIc
26 Term IIa is zero: n 1/2 n τ 0 W (u){ Z i Z(u) } Y i (u)λ 0 (u)du = 0 Term IIb converges to ξ τ 0 w(u)θ(u)e H 0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Term IIc converges to zero
27 Term I converges in distribution to N (0, τ 0 w(u)2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Term II converges in probability to ξ τ 0 w(u)θ(u)e H 0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Let s define: A(w 2 ) = τ 0 w(u)2 E H0 [(Z i µ Z (u)) 2 I(X u)]λ 0 (u)du Under H 1n : n 1/2 W N (ξa(θw), A(w 2 ))
28 Summary on n 1/2 W Under H 0 : n 1/2 W N (0, A(w 2 )) Under H 1n : n 1/2 W N (ξa(θw), A(w 2 )) Binary versus Time-to-event Binary Time-to-event T.S. p 1 p 0 weighted Log-rank H 0 p 1 = p 0 λ 1 (t) = λ 0 (t) Dist n N (0, σ0 2) N (0, A(w2 )) H 1 p 1 = p 0 + d λ 1 (t) = λ 0 (t)e β nθ(u) Dist n N (d, σ1 2) N (ξa(θw), A(w2 ))
29 Power P = Φ ( ξa(θw) A(w 2 ) 1/2 z 1 α/2 ) t Probability density
30 What would affect power? ξa(θw) A(w 2 ) 1/2 increases, power increases ξ: usually predetermined w(u): weight functions How do we choose w to maximize A(θw) A(w 2 ) 1/2
31 Consider A( ): for any constant b A[(w bθ) 2 ] 0 A[(w bθ) 2 ] =A(w 2 2bwθ + b 2 θ 2 ) =A(θ 2 )b 2 2bA(wθ) + A(w 2 ) 0 A(wθ) 2 A(θ 2 )A(w 2 ) 0 equality satisfied only when Cauchy-Schwarz Inequality A(θw) A(w 2 ) 1/2 A(θ2 ) 1/2 w(u) = θ(u).
32 Some examples of optimal w(u) in nonproportional alternatives Additive hazards model (Lin & Ying, 1994, BMKA): λ(t Z) = λ 0 (t) + βz λ 0 (t)e βz λ 0 (t) w(u) = 1 λ 0 (u) Accelerated hazards model (Chen & Wang, 1999, JASA): λ(t Z) = λ 0 (te βz ) λ 0 (t)+λ 0 (t)tβz w(u) = λ 0 (u)u λ 0 (u)
33 Why n 1/2 β n ξ suppose n k β n ξ for some k 0 n 1/2 β n = n 1/2 k n k β n n 1/2 k ξ, we can verify in Term IIb if k > 1/2, n 1/2 β n 0; Term II goes to 0 no power whatsoever if k < 1/2, n 1/2 β n ; Term II goes to always 100% power for any w(u)
34 3. Sample size calculation In practice, we have a fixed β 0 to be detected H 0 : λ 1 (t) = λ 0 (t) H 1 : λ 1 (t) = λ 0 (t)e β 0 θ(u) Standardized weighted Log-rank T S: under H 0 : T S N (0, 1) under H 1 : T S N ( n 1/2 ) β 0 A(θw) A(w 2 ) 1/2, 1
35 Power P = Pr{ T S z 1 α/2 } = 1 β n 1/2 β 0 A(θw) A(w 2 ) 1/2 = z 1 α/2 +z 1 β n = (z α/2 + zβ)2a(w2 ) β 0 A(θw) 2 w = θ = 1 Log-rank for proportional hazards model sample size n = (z α/2 + z β) 2 β 2 0 A(1)
36 what is A(1)? recall on A(1) = 0 E[(Z µ Z (u)) 2 I(X u)]λ 0 (u)du A(1) = π Z (1 π Z ) Pr( = 1) Sample size is then n Pr( = 1) = (z α/2 + z β) 2 β0 2π Z(1 π Z ) Expected # failures/events: E D = n Pr( = 1) HR = e β is hazards ratio 1-to-1 treatment-control assignment E D = 4(z α/2 + z β) 2 (log HR) 2
37 Example: type-i error: 5% power: 90% HR = 2 E D = 42/(log HR) 2 : 88
38 Summary on comparing survival functions Weighted Log-rank statistic perspectives asymptotics power calculation Alternatives Yet to cover stratified Log-rank K-samples staggered entry in sample size calculation
ST5224: Advanced Statistical Theory II
ST5224: Advanced Statistical Theory II 2014/2015: Semester II Tutorial 7 1. Let X be a sample from a population P and consider testing hypotheses H 0 : P = P 0 versus H 1 : P = P 1, where P j is a known
Διαβάστε περισσότεραSurvival Analysis: One-Sample Problem /Two-Sample Problem/Regression. Lu Tian and Richard Olshen Stanford University
Survival Analysis: One-Sample Problem /Two-Sample Problem/Regression Lu Tian and Richard Olshen Stanford University 1 One sample problem T 1,, T n 1 S( ), C 1,, C n G( ) and T i C i Observations: (U i,
Διαβάστε περισσότεραΜηχανική Μάθηση Hypothesis Testing
ΕΛΛΗΝΙΚΗ ΔΗΜΟΚΡΑΤΙΑ ΠΑΝΕΠΙΣΤΗΜΙΟ ΚΡΗΤΗΣ Μηχανική Μάθηση Hypothesis Testing Γιώργος Μπορμπουδάκης Τμήμα Επιστήμης Υπολογιστών Procedure 1. Form the null (H 0 ) and alternative (H 1 ) hypothesis 2. Consider
Διαβάστε περισσότεραStatistical Inference I Locally most powerful tests
Statistical Inference I Locally most powerful tests Shirsendu Mukherjee Department of Statistics, Asutosh College, Kolkata, India. shirsendu st@yahoo.co.in So far we have treated the testing of one-sided
Διαβάστε περισσότεραOther Test Constructions: Likelihood Ratio & Bayes Tests
Other Test Constructions: Likelihood Ratio & Bayes Tests Side-Note: So far we have seen a few approaches for creating tests such as Neyman-Pearson Lemma ( most powerful tests of H 0 : θ = θ 0 vs H 1 :
Διαβάστε περισσότεραECE598: Information-theoretic methods in high-dimensional statistics Spring 2016
ECE598: Information-theoretic methods in high-dimensional statistics Spring 06 Lecture 7: Information bound Lecturer: Yihong Wu Scribe: Shiyu Liang, Feb 6, 06 [Ed. Mar 9] Recall the Chi-squared divergence
Διαβάστε περισσότεραStatistics 104: Quantitative Methods for Economics Formula and Theorem Review
Harvard College Statistics 104: Quantitative Methods for Economics Formula and Theorem Review Tommy MacWilliam, 13 tmacwilliam@college.harvard.edu March 10, 2011 Contents 1 Introduction to Data 5 1.1 Sample
Διαβάστε περισσότεραProblem Set 3: Solutions
CMPSCI 69GG Applied Information Theory Fall 006 Problem Set 3: Solutions. [Cover and Thomas 7.] a Define the following notation, C I p xx; Y max X; Y C I p xx; Ỹ max I X; Ỹ We would like to show that C
Διαβάστε περισσότεραEcon 2110: Fall 2008 Suggested Solutions to Problem Set 8 questions or comments to Dan Fetter 1
Eon : Fall 8 Suggested Solutions to Problem Set 8 Email questions or omments to Dan Fetter Problem. Let X be a salar with density f(x, θ) (θx + θ) [ x ] with θ. (a) Find the most powerful level α test
Διαβάστε περισσότεραEE512: Error Control Coding
EE512: Error Control Coding Solution for Assignment on Finite Fields February 16, 2007 1. (a) Addition and Multiplication tables for GF (5) and GF (7) are shown in Tables 1 and 2. + 0 1 2 3 4 0 0 1 2 3
Διαβάστε περισσότεραHOMEWORK#1. t E(x) = 1 λ = (b) Find the median lifetime of a randomly selected light bulb. Answer:
HOMEWORK# 52258 李亞晟 Eercise 2. The lifetime of light bulbs follows an eponential distribution with a hazard rate of. failures per hour of use (a) Find the mean lifetime of a randomly selected light bulb.
Διαβάστε περισσότερα5.4 The Poisson Distribution.
The worst thing you can do about a situation is nothing. Sr. O Shea Jackson 5.4 The Poisson Distribution. Description of the Poisson Distribution Discrete probability distribution. The random variable
Διαβάστε περισσότερα557: MATHEMATICAL STATISTICS II HYPOTHESIS TESTING
557: MATHEMATICAL STATISTICS II HYPOTHESIS TESTING A statistical hypothesis test is a decision rule that takes as an input observed sample data and returns an action relating to two mutually exclusive
Διαβάστε περισσότεραLast Lecture. Biostatistics Statistical Inference Lecture 19 Likelihood Ratio Test. Example of Hypothesis Testing.
Last Lecture Biostatistics 602 - Statistical Iferece Lecture 19 Likelihood Ratio Test Hyu Mi Kag March 26th, 2013 Describe the followig cocepts i your ow words Hypothesis Null Hypothesis Alterative Hypothesis
Διαβάστε περισσότεραLecture 7: Overdispersion in Poisson regression
Lecture 7: Overdispersion in Poisson regression Claudia Czado TU München c (Claudia Czado, TU Munich) ZFS/IMS Göttingen 2004 0 Overview Introduction Modeling overdispersion through mixing Score test for
Διαβάστε περισσότεραHOMEWORK 4 = G. In order to plot the stress versus the stretch we define a normalized stretch:
HOMEWORK 4 Problem a For the fast loading case, we want to derive the relationship between P zz and λ z. We know that the nominal stress is expressed as: P zz = ψ λ z where λ z = λ λ z. Therefore, applying
Διαβάστε περισσότεραSolution Series 9. i=1 x i and i=1 x i.
Lecturer: Prof. Dr. Mete SONER Coordinator: Yilin WANG Solution Series 9 Q1. Let α, β >, the p.d.f. of a beta distribution with parameters α and β is { Γ(α+β) Γ(α)Γ(β) f(x α, β) xα 1 (1 x) β 1 for < x
Διαβάστε περισσότεραP AND P. P : actual probability. P : risk neutral probability. Realtionship: mutual absolute continuity P P. For example:
(B t, S (t) t P AND P,..., S (p) t ): securities P : actual probability P : risk neutral probability Realtionship: mutual absolute continuity P P For example: P : ds t = µ t S t dt + σ t S t dw t P : ds
Διαβάστε περισσότεραExercises 10. Find a fundamental matrix of the given system of equations. Also find the fundamental matrix Φ(t) satisfying Φ(0) = I. 1.
Exercises 0 More exercises are available in Elementary Differential Equations. If you have a problem to solve any of them, feel free to come to office hour. Problem Find a fundamental matrix of the given
Διαβάστε περισσότερα557: MATHEMATICAL STATISTICS II RESULTS FROM CLASSICAL HYPOTHESIS TESTING
Most Powerful Tests 557: MATHEMATICAL STATISTICS II RESULTS FROM CLASSICAL HYPOTHESIS TESTING To construct and assess the quality of a statistical test, we consider the power function β(θ). Consider a
Διαβάστε περισσότεραParametrized Surfaces
Parametrized Surfaces Recall from our unit on vector-valued functions at the beginning of the semester that an R 3 -valued function c(t) in one parameter is a mapping of the form c : I R 3 where I is some
Διαβάστε περισσότεραTheorem 8 Let φ be the most powerful size α test of H
Testing composite hypotheses Θ = Θ 0 Θ c 0 H 0 : θ Θ 0 H 1 : θ Θ c 0 Definition 16 A test φ is a uniformly most powerful (UMP) level α test for H 0 vs. H 1 if φ has level α and for any other level α test
Διαβάστε περισσότεραExercise 2: The form of the generalized likelihood ratio
Stats 2 Winter 28 Homework 9: Solutions Due Friday, March 6 Exercise 2: The form of the generalized likelihood ratio We want to test H : θ Θ against H : θ Θ, and compare the two following rules of rejection:
Διαβάστε περισσότεραJesse Maassen and Mark Lundstrom Purdue University November 25, 2013
Notes on Average Scattering imes and Hall Factors Jesse Maassen and Mar Lundstrom Purdue University November 5, 13 I. Introduction 1 II. Solution of the BE 1 III. Exercises: Woring out average scattering
Διαβάστε περισσότεραThe Simply Typed Lambda Calculus
Type Inference Instead of writing type annotations, can we use an algorithm to infer what the type annotations should be? That depends on the type system. For simple type systems the answer is yes, and
Διαβάστε περισσότεραAn Introduction to Signal Detection and Estimation - Second Edition Chapter II: Selected Solutions
An Introduction to Signal Detection Estimation - Second Edition Chapter II: Selected Solutions H V Poor Princeton University March 16, 5 Exercise : The likelihood ratio is given by L(y) (y +1), y 1 a With
Διαβάστε περισσότεραFractional Colorings and Zykov Products of graphs
Fractional Colorings and Zykov Products of graphs Who? Nichole Schimanski When? July 27, 2011 Graphs A graph, G, consists of a vertex set, V (G), and an edge set, E(G). V (G) is any finite set E(G) is
Διαβάστε περισσότεραMean-Variance Analysis
Mean-Variance Analysis Jan Schneider McCombs School of Business University of Texas at Austin Jan Schneider Mean-Variance Analysis Beta Representation of the Risk Premium risk premium E t [Rt t+τ ] R1
Διαβάστε περισσότεραLecture 21: Properties and robustness of LSE
Lecture 21: Properties and robustness of LSE BLUE: Robustness of LSE against normality We now study properties of l τ β and σ 2 under assumption A2, i.e., without the normality assumption on ε. From Theorem
Διαβάστε περισσότεραPhys460.nb Solution for the t-dependent Schrodinger s equation How did we find the solution? (not required)
Phys460.nb 81 ψ n (t) is still the (same) eigenstate of H But for tdependent H. The answer is NO. 5.5.5. Solution for the tdependent Schrodinger s equation If we assume that at time t 0, the electron starts
Διαβάστε περισσότεραSolutions to Exercise Sheet 5
Solutions to Eercise Sheet 5 jacques@ucsd.edu. Let X and Y be random variables with joint pdf f(, y) = 3y( + y) where and y. Determine each of the following probabilities. Solutions. a. P (X ). b. P (X
Διαβάστε περισσότεραContinuous Distribution Arising from the Three Gap Theorem
Continuous Distribution Arising from the Three Gap Theorem Geremías Polanco Encarnación Elementary Analytic and Algorithmic Number Theory Athens, Georgia June 8, 2015 Hampshire college, MA 1 / 24 Happy
Διαβάστε περισσότεραMatrices and Determinants
Matrices and Determinants SUBJECTIVE PROBLEMS: Q 1. For what value of k do the following system of equations possess a non-trivial (i.e., not all zero) solution over the set of rationals Q? x + ky + 3z
Διαβάστε περισσότερα6. MAXIMUM LIKELIHOOD ESTIMATION
6 MAXIMUM LIKELIHOOD ESIMAION [1] Maximum Likelihood Estimator (1) Cases in which θ (unknown parameter) is scalar Notational Clarification: From now on, we denote the true value of θ as θ o hen, view θ
Διαβάστε περισσότεραExercises to Statistics of Material Fatigue No. 5
Prof. Dr. Christine Müller Dipl.-Math. Christoph Kustosz Eercises to Statistics of Material Fatigue No. 5 E. 9 (5 a Show, that a Fisher information matri for a two dimensional parameter θ (θ,θ 2 R 2, can
Διαβάστε περισσότερα6.3 Forecasting ARMA processes
122 CHAPTER 6. ARMA MODELS 6.3 Forecasting ARMA processes The purpose of forecasting is to predict future values of a TS based on the data collected to the present. In this section we will discuss a linear
Διαβάστε περισσότεραLecture 2: Dirac notation and a review of linear algebra Read Sakurai chapter 1, Baym chatper 3
Lecture 2: Dirac notation and a review of linear algebra Read Sakurai chapter 1, Baym chatper 3 1 State vector space and the dual space Space of wavefunctions The space of wavefunctions is the set of all
Διαβάστε περισσότεραChapter 6: Systems of Linear Differential. be continuous functions on the interval
Chapter 6: Systems of Linear Differential Equations Let a (t), a 2 (t),..., a nn (t), b (t), b 2 (t),..., b n (t) be continuous functions on the interval I. The system of n first-order differential equations
Διαβάστε περισσότεραFourier Series. MATH 211, Calculus II. J. Robert Buchanan. Spring Department of Mathematics
Fourier Series MATH 211, Calculus II J. Robert Buchanan Department of Mathematics Spring 2018 Introduction Not all functions can be represented by Taylor series. f (k) (c) A Taylor series f (x) = (x c)
Διαβάστε περισσότερα3.4 SUM AND DIFFERENCE FORMULAS. NOTE: cos(α+β) cos α + cos β cos(α-β) cos α -cos β
3.4 SUM AND DIFFERENCE FORMULAS Page Theorem cos(αβ cos α cos β -sin α cos(α-β cos α cos β sin α NOTE: cos(αβ cos α cos β cos(α-β cos α -cos β Proof of cos(α-β cos α cos β sin α Let s use a unit circle
Διαβάστε περισσότεραFORMULAS FOR STATISTICS 1
FORMULAS FOR STATISTICS 1 X = 1 n Sample statistics X i or x = 1 n x i (sample mean) S 2 = 1 n 1 s 2 = 1 n 1 (X i X) 2 = 1 n 1 (x i x) 2 = 1 n 1 Xi 2 n n 1 X 2 x 2 i n n 1 x 2 or (sample variance) E(X)
Διαβάστε περισσότεραAPPENDICES APPENDIX A. STATISTICAL TABLES AND CHARTS 651 APPENDIX B. BIBLIOGRAPHY 677 APPENDIX C. ANSWERS TO SELECTED EXERCISES 679
APPENDICES APPENDIX A. STATISTICAL TABLES AND CHARTS 1 Table I Summary of Common Probability Distributions 2 Table II Cumulative Standard Normal Distribution Table III Percentage Points, 2 of the Chi-Squared
Διαβάστε περισσότεραC.S. 430 Assignment 6, Sample Solutions
C.S. 430 Assignment 6, Sample Solutions Paul Liu November 15, 2007 Note that these are sample solutions only; in many cases there were many acceptable answers. 1 Reynolds Problem 10.1 1.1 Normal-order
Διαβάστε περισσότεραSupplementary Appendix
Supplementary Appendix Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis Sebastian Opitz, Henry Seidel and Alexander Szimayer Model specification Table
Διαβάστε περισσότεραCE 530 Molecular Simulation
C 53 olecular Siulation Lecture Histogra Reweighting ethods David. Kofke Departent of Cheical ngineering SUNY uffalo kofke@eng.buffalo.edu Histogra Reweighting ethod to cobine results taken at different
Διαβάστε περισσότεραLecture 13 - Root Space Decomposition II
Lecture 13 - Root Space Decomposition II October 18, 2012 1 Review First let us recall the situation. Let g be a simple algebra, with maximal toral subalgebra h (which we are calling a CSA, or Cartan Subalgebra).
Διαβάστε περισσότεραw o = R 1 p. (1) R = p =. = 1
Πανεπιστήµιο Κρήτης - Τµήµα Επιστήµης Υπολογιστών ΗΥ-570: Στατιστική Επεξεργασία Σήµατος 205 ιδάσκων : Α. Μουχτάρης Τριτη Σειρά Ασκήσεων Λύσεις Ασκηση 3. 5.2 (a) From the Wiener-Hopf equation we have:
Διαβάστε περισσότεραExample Sheet 3 Solutions
Example Sheet 3 Solutions. i Regular Sturm-Liouville. ii Singular Sturm-Liouville mixed boundary conditions. iii Not Sturm-Liouville ODE is not in Sturm-Liouville form. iv Regular Sturm-Liouville note
Διαβάστε περισσότεραTable 1: Military Service: Models. Model 1 Model 2 Model 3 Model 4 Model 5 Model 6 Model 7 Model 8 Model 9 num unemployed mili mili num unemployed
Tables: Military Service Table 1: Military Service: Models Model 1 Model 2 Model 3 Model 4 Model 5 Model 6 Model 7 Model 8 Model 9 num unemployed mili mili num unemployed mili 0.489-0.014-0.044-0.044-1.469-2.026-2.026
Διαβάστε περισσότεραBayesian statistics. DS GA 1002 Probability and Statistics for Data Science.
Bayesian statistics DS GA 1002 Probability and Statistics for Data Science http://www.cims.nyu.edu/~cfgranda/pages/dsga1002_fall17 Carlos Fernandez-Granda Frequentist vs Bayesian statistics In frequentist
Διαβάστε περισσότεραA Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering
Electronic Companion A Two-Sie Laplace Inversion Algorithm with Computable Error Bouns an Its Applications in Financial Engineering Ning Cai, S. G. Kou, Zongjian Liu HKUST an Columbia University Appenix
Διαβάστε περισσότεραderivation of the Laplacian from rectangular to spherical coordinates
derivation of the Laplacian from rectangular to spherical coordinates swapnizzle 03-03- :5:43 We begin by recognizing the familiar conversion from rectangular to spherical coordinates (note that φ is used
Διαβάστε περισσότεραES440/ES911: CFD. Chapter 5. Solution of Linear Equation Systems
ES440/ES911: CFD Chapter 5. Solution of Linear Equation Systems Dr Yongmann M. Chung http://www.eng.warwick.ac.uk/staff/ymc/es440.html Y.M.Chung@warwick.ac.uk School of Engineering & Centre for Scientific
Διαβάστε περισσότεραDERIVATION OF MILES EQUATION FOR AN APPLIED FORCE Revision C
DERIVATION OF MILES EQUATION FOR AN APPLIED FORCE Revision C By Tom Irvine Email: tomirvine@aol.com August 6, 8 Introduction The obective is to derive a Miles equation which gives the overall response
Διαβάστε περισσότεραΔεδομένα (data) και Στατιστική (Statistics)
Δεδομένα (data) και Στατιστική (Statistics) Η Στατιστική (Statistics) ασχολείται με την ανάλυση δεδομένων (data analysis): Πρόσφατες παιδαγωγικές εξελίξεις υποδεικνύουν ότι η Στατιστική πρέπει και να διδάσκεται
Διαβάστε περισσότεραSOLUTIONS TO MATH38181 EXTREME VALUES AND FINANCIAL RISK EXAM
SOLUTIONS TO MATH38181 EXTREME VALUES AND FINANCIAL RISK EXAM Solutions to Question 1 a) The cumulative distribution function of T conditional on N n is Pr T t N n) Pr max X 1,..., X N ) t N n) Pr max
Διαβάστε περισσότεραUniform Convergence of Fourier Series Michael Taylor
Uniform Convergence of Fourier Series Michael Taylor Given f L 1 T 1 ), we consider the partial sums of the Fourier series of f: N 1) S N fθ) = ˆfk)e ikθ. k= N A calculation gives the Dirichlet formula
Διαβάστε περισσότερα12. Radon-Nikodym Theorem
Tutorial 12: Radon-Nikodym Theorem 1 12. Radon-Nikodym Theorem In the following, (Ω, F) is an arbitrary measurable space. Definition 96 Let μ and ν be two (possibly complex) measures on (Ω, F). We say
Διαβάστε περισσότεραIntroduction to the ML Estimation of ARMA processes
Introduction to the ML Estimation of ARMA processes Eduardo Rossi University of Pavia October 2013 Rossi ARMA Estimation Financial Econometrics - 2013 1 / 1 We consider the AR(p) model: Y t = c + φ 1 Y
Διαβάστε περισσότεραBiostatistics for Health Sciences Review Sheet
Biostatistics for Health Sciences Review Sheet http://mathvault.ca June 1, 2017 Contents 1 Descriptive Statistics 2 1.1 Variables.............................................. 2 1.1.1 Qualitative........................................
Διαβάστε περισσότεραLecture 34 Bootstrap confidence intervals
Lecture 34 Bootstrap confidence intervals Confidence Intervals θ: an unknown parameter of interest We want to find limits θ and θ such that Gt = P nˆθ θ t If G 1 1 α is known, then P θ θ = P θ θ = 1 α
Διαβάστε περισσότεραChapter 6: Systems of Linear Differential. be continuous functions on the interval
Chapter 6: Systems of Linear Differential Equations Let a (t), a 2 (t),..., a nn (t), b (t), b 2 (t),..., b n (t) be continuous functions on the interval I. The system of n first-order differential equations
Διαβάστε περισσότεραA Bonus-Malus System as a Markov Set-Chain. Małgorzata Niemiec Warsaw School of Economics Institute of Econometrics
A Bonus-Malus System as a Markov Set-Chain Małgorzata Niemiec Warsaw School of Economics Institute of Econometrics Contents 1. Markov set-chain 2. Model of bonus-malus system 3. Example 4. Conclusions
Διαβάστε περισσότεραProbability and Random Processes (Part II)
Probability and Random Processes (Part II) 1. If the variance σ x of d(n) = x(n) x(n 1) is one-tenth the variance σ x of a stationary zero-mean discrete-time signal x(n), then the normalized autocorrelation
Διαβάστε περισσότεραSrednicki Chapter 55
Srednicki Chapter 55 QFT Problems & Solutions A. George August 3, 03 Srednicki 55.. Use equations 55.3-55.0 and A i, A j ] = Π i, Π j ] = 0 (at equal times) to verify equations 55.-55.3. This is our third
Διαβάστε περισσότεραDESIGN OF MACHINERY SOLUTION MANUAL h in h 4 0.
DESIGN OF MACHINERY SOLUTION MANUAL -7-1! PROBLEM -7 Statement: Design a double-dwell cam to move a follower from to 25 6, dwell for 12, fall 25 and dwell for the remader The total cycle must take 4 sec
Διαβάστε περισσότεραOptimal Parameter in Hermitian and Skew-Hermitian Splitting Method for Certain Two-by-Two Block Matrices
Optimal Parameter in Hermitian and Skew-Hermitian Splitting Method for Certain Two-by-Two Block Matrices Chi-Kwong Li Department of Mathematics The College of William and Mary Williamsburg, Virginia 23187-8795
Διαβάστε περισσότεραHomework 3 Solutions
Homework 3 Solutions Igor Yanovsky (Math 151A TA) Problem 1: Compute the absolute error and relative error in approximations of p by p. (Use calculator!) a) p π, p 22/7; b) p π, p 3.141. Solution: For
Διαβάστε περισσότεραLocal Approximation with Kernels
Local Approximation with Kernels Thomas Hangelbroek University of Hawaii at Manoa 5th International Conference Approximation Theory, 26 work supported by: NSF DMS-43726 A cubic spline example Consider
Διαβάστε περισσότεραSecond Order Partial Differential Equations
Chapter 7 Second Order Partial Differential Equations 7.1 Introduction A second order linear PDE in two independent variables (x, y Ω can be written as A(x, y u x + B(x, y u xy + C(x, y u u u + D(x, y
Διαβάστε περισσότεραApproximation of distance between locations on earth given by latitude and longitude
Approximation of distance between locations on earth given by latitude and longitude Jan Behrens 2012-12-31 In this paper we shall provide a method to approximate distances between two points on earth
Διαβάστε περισσότερα2. THEORY OF EQUATIONS. PREVIOUS EAMCET Bits.
EAMCET-. THEORY OF EQUATIONS PREVIOUS EAMCET Bits. Each of the roots of the equation x 6x + 6x 5= are increased by k so that the new transformed equation does not contain term. Then k =... - 4. - Sol.
Διαβάστε περισσότερα5. Choice under Uncertainty
5. Choice under Uncertainty Daisuke Oyama Microeconomics I May 23, 2018 Formulations von Neumann-Morgenstern (1944/1947) X: Set of prizes Π: Set of probability distributions on X : Preference relation
Διαβάστε περισσότεραHomework 8 Model Solution Section
MATH 004 Homework Solution Homework 8 Model Solution Section 14.5 14.6. 14.5. Use the Chain Rule to find dz where z cosx + 4y), x 5t 4, y 1 t. dz dx + dy y sinx + 4y)0t + 4) sinx + 4y) 1t ) 0t + 4t ) sinx
Διαβάστε περισσότερα= λ 1 1 e. = λ 1 =12. has the properties e 1. e 3,V(Y
Stat 50 Homework Solutions Spring 005. (a λ λ λ 44 (b trace( λ + λ + λ 0 (c V (e x e e λ e e λ e (λ e by definition, the eigenvector e has the properties e λ e and e e. (d λ e e + λ e e + λ e e 8 6 4 4
Διαβάστε περισσότεραPARTIAL NOTES for 6.1 Trigonometric Identities
PARTIAL NOTES for 6.1 Trigonometric Identities tanθ = sinθ cosθ cotθ = cosθ sinθ BASIC IDENTITIES cscθ = 1 sinθ secθ = 1 cosθ cotθ = 1 tanθ PYTHAGOREAN IDENTITIES sin θ + cos θ =1 tan θ +1= sec θ 1 + cot
Διαβάστε περισσότεραMath 6 SL Probability Distributions Practice Test Mark Scheme
Math 6 SL Probability Distributions Practice Test Mark Scheme. (a) Note: Award A for vertical line to right of mean, A for shading to right of their vertical line. AA N (b) evidence of recognizing symmetry
Διαβάστε περισσότεραStatistics & Research methods. Athanasios Papaioannou University of Thessaly Dept. of PE & Sport Science
Statistics & Research methods Athanasios Papaioannou University of Thessaly Dept. of PE & Sport Science 30 25 1,65 20 1,66 15 10 5 1,67 1,68 Κανονική 0 Height 1,69 Καμπύλη Κανονική Διακύμανση & Ζ-scores
Διαβάστε περισσότεραMain source: "Discrete-time systems and computer control" by Α. ΣΚΟΔΡΑΣ ΨΗΦΙΑΚΟΣ ΕΛΕΓΧΟΣ ΔΙΑΛΕΞΗ 4 ΔΙΑΦΑΝΕΙΑ 1
Main source: "Discrete-time systems and computer control" by Α. ΣΚΟΔΡΑΣ ΨΗΦΙΑΚΟΣ ΕΛΕΓΧΟΣ ΔΙΑΛΕΞΗ 4 ΔΙΑΦΑΝΕΙΑ 1 A Brief History of Sampling Research 1915 - Edmund Taylor Whittaker (1873-1956) devised a
Διαβάστε περισσότεραLecture 2. Soundness and completeness of propositional logic
Lecture 2 Soundness and completeness of propositional logic February 9, 2004 1 Overview Review of natural deduction. Soundness and completeness. Semantics of propositional formulas. Soundness proof. Completeness
Διαβάστε περισσότεραThese derivations are not part of the official forthcoming version of Vasilaky and Leonard
Target Input Model with Learning, Derivations Kathryn N Vasilaky These derivations are not part of the official forthcoming version of Vasilaky and Leonard 06 in Economic Development and Cultural Change.
Διαβάστε περισσότεραRisk! " #$%&'() *!'+,'''## -. / # $
Risk! " #$%&'(!'+,'''## -. / 0! " # $ +/ #%&''&(+(( &'',$ #-&''&$ #(./0&'',$( ( (! #( &''/$ #$ 3 #4&'',$ #- &'',$ #5&''6(&''&7&'',$ / ( /8 9 :&' " 4; < # $ 3 " ( #$ = = #$ #$ ( 3 - > # $ 3 = = " 3 3, 6?3
Διαβάστε περισσότεραThe challenges of non-stable predicates
The challenges of non-stable predicates Consider a non-stable predicate Φ encoding, say, a safety property. We want to determine whether Φ holds for our program. The challenges of non-stable predicates
Διαβάστε περισσότεραMulti-dimensional Central Limit Theorem
Mult-dmensonal Central Lmt heorem Outlne () () () t as () + () + + () () () Consder a sequence of ndependent random proceses t, t, dentcal to some ( t). Assume t 0. Defne the sum process t t t t () t tme
Διαβάστε περισσότεραSection 9.2 Polar Equations and Graphs
180 Section 9. Polar Equations and Graphs In this section, we will be graphing polar equations on a polar grid. In the first few examples, we will write the polar equation in rectangular form to help identify
Διαβάστε περισσότεραCongruence Classes of Invertible Matrices of Order 3 over F 2
International Journal of Algebra, Vol. 8, 24, no. 5, 239-246 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/.2988/ija.24.422 Congruence Classes of Invertible Matrices of Order 3 over F 2 Ligong An and
Διαβάστε περισσότεραSTAT200C: Hypothesis Testing
STAT200C: Hypothesis Testing Zhaoxia Yu Spring 2017 Some Definitions A hypothesis is a statement about a population parameter. The two complementary hypotheses in a hypothesis testing are the null hypothesis
Διαβάστε περισσότεραBayesian modeling of inseparable space-time variation in disease risk
Bayesian modeling of inseparable space-time variation in disease risk Leonhard Knorr-Held Laina Mercer Department of Statistics UW May, 013 Motivation Ohio Lung Cancer Example Lung Cancer Mortality Rates
Διαβάστε περισσότεραPartial Differential Equations in Biology The boundary element method. March 26, 2013
The boundary element method March 26, 203 Introduction and notation The problem: u = f in D R d u = ϕ in Γ D u n = g on Γ N, where D = Γ D Γ N, Γ D Γ N = (possibly, Γ D = [Neumann problem] or Γ N = [Dirichlet
Διαβάστε περισσότεραConcrete Mathematics Exercises from 30 September 2016
Concrete Mathematics Exercises from 30 September 2016 Silvio Capobianco Exercise 1.7 Let H(n) = J(n + 1) J(n). Equation (1.8) tells us that H(2n) = 2, and H(2n+1) = J(2n+2) J(2n+1) = (2J(n+1) 1) (2J(n)+1)
Διαβάστε περισσότεραSOLUTIONS TO MATH38181 EXTREME VALUES AND FINANCIAL RISK EXAM
SOLUTIONS TO MATH38181 EXTREME VALUES AND FINANCIAL RISK EXAM Solutions to Question 1 a) The cumulative distribution function of T conditional on N n is Pr (T t N n) Pr (max (X 1,..., X N ) t N n) Pr (max
Διαβάστε περισσότεραSpherical Coordinates
Spherical Coordinates MATH 311, Calculus III J. Robert Buchanan Department of Mathematics Fall 2011 Spherical Coordinates Another means of locating points in three-dimensional space is known as the spherical
Διαβάστε περισσότεραΚΥΠΡΙΑΚΗ ΕΤΑΙΡΕΙΑ ΠΛΗΡΟΦΟΡΙΚΗΣ CYPRUS COMPUTER SOCIETY ΠΑΓΚΥΠΡΙΟΣ ΜΑΘΗΤΙΚΟΣ ΔΙΑΓΩΝΙΣΜΟΣ ΠΛΗΡΟΦΟΡΙΚΗΣ 6/5/2006
Οδηγίες: Να απαντηθούν όλες οι ερωτήσεις. Ολοι οι αριθμοί που αναφέρονται σε όλα τα ερωτήματα είναι μικρότεροι το 1000 εκτός αν ορίζεται διαφορετικά στη διατύπωση του προβλήματος. Διάρκεια: 3,5 ώρες Καλή
Διαβάστε περισσότεραQueensland University of Technology Transport Data Analysis and Modeling Methodologies
Queensland University of Technology Transport Data Analysis and Modeling Methodologies Lab Session #7 Example 5.2 (with 3SLS Extensions) Seemingly Unrelated Regression Estimation and 3SLS A survey of 206
Διαβάστε περισσότεραTMA4115 Matematikk 3
TMA4115 Matematikk 3 Andrew Stacey Norges Teknisk-Naturvitenskapelige Universitet Trondheim Spring 2010 Lecture 12: Mathematics Marvellous Matrices Andrew Stacey Norges Teknisk-Naturvitenskapelige Universitet
Διαβάστε περισσότεραMath221: HW# 1 solutions
Math: HW# solutions Andy Royston October, 5 7.5.7, 3 rd Ed. We have a n = b n = a = fxdx = xdx =, x cos nxdx = x sin nx n sin nxdx n = cos nx n = n n, x sin nxdx = x cos nx n + cos nxdx n cos n = + sin
Διαβάστε περισσότεραMean-Variance Hedging on uncertain time horizon in a market with a jump
Mean-Variance Hedging on uncertain time horizon in a market with a jump Thomas LIM 1 ENSIIE and Laboratoire Analyse et Probabilités d Evry Young Researchers Meeting on BSDEs, Numerics and Finance, Oxford
Διαβάστε περισσότεραMATH423 String Theory Solutions 4. = 0 τ = f(s). (1) dτ ds = dxµ dτ f (s) (2) dτ 2 [f (s)] 2 + dxµ. dτ f (s) (3)
1. MATH43 String Theory Solutions 4 x = 0 τ = fs). 1) = = f s) ) x = x [f s)] + f s) 3) equation of motion is x = 0 if an only if f s) = 0 i.e. fs) = As + B with A, B constants. i.e. allowe reparametrisations
Διαβάστε περισσότεραEvery set of first-order formulas is equivalent to an independent set
Every set of first-order formulas is equivalent to an independent set May 6, 2008 Abstract A set of first-order formulas, whatever the cardinality of the set of symbols, is equivalent to an independent
Διαβάστε περισσότερα2 Composition. Invertible Mappings
Arkansas Tech University MATH 4033: Elementary Modern Algebra Dr. Marcel B. Finan Composition. Invertible Mappings In this section we discuss two procedures for creating new mappings from old ones, namely,
Διαβάστε περισσότερα