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Estimation of False Discovery Proportion with Unknown Dependence
Approximate factor model large-scale multiple testing dependent test statistics un-known covariance matrix false discovery proportion
2013/6/14
Large-scale multiple testing with highly correlated test statistics arises frequently in many scienti?c research. Incorporating correlation information in estimating false discovery proportion has att...
Measures of serial extremal dependence and their estimation
Measures serial extremal dependence their estimation
2013/4/28
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent conc...
The notion of ψ-weak dependence and its applications to bootstrapping time series
Autoregressive processes autoregressive bootstrap mixing weak dependence.
2009/5/18
We give an introduction to a notion of weak dependence which is more general than mixing and allows to treat for example processes driven by discrete innovations as they appear with time series bootst...