完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.author | Liang, Kuo-Yuan | en_US |
dc.contributor.author | Lee, Jack C. | en_US |
dc.contributor.author | Shao, Kurt S. H. | en_US |
dc.date.accessioned | 2014-12-08T15:15:33Z | - |
dc.date.available | 2014-12-08T15:15:33Z | - |
dc.date.issued | 2006-11-01 | en_US |
dc.identifier.issn | 0266-4763 | en_US |
dc.identifier.uri | http://dx.doi.org/10.1080/02664760600744330 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/11638 | - |
dc.description.abstract | This paper establishes a sampling theory for an inverted linear combination of two dependent F-variates. It is found that the random variable is approximately expressible in terms of a mixture of weighted beta distributions. Operational results, including rth-order raw moments and critical values of the density are subsequently obtained by using the Pearson Type I approximation technique. As a contribution to the probability theory, our findings extend Lee & Hu's (1996) recent investigation on the distribution of the linear compound of two independent F-variates. In terms of relevant applied works, our results refine Dickinson's (1973) inquiry on the distribution of the optimal combining weights estimates based on combining two independent rival forecasts, and provide a further advancement to the general case of combining three independent competing forecasts. Accordingly, our conclusions give a new perception of constructing the confidence intervals for the optimal combining weights estimates studied in the literature of the linear combination of forecasts. | en_US |
dc.language.iso | en_US | en_US |
dc.subject | combining weights | en_US |
dc.subject | critical values | en_US |
dc.subject | error-variance minimizing criterion | en_US |
dc.subject | inverted F-variates | en_US |
dc.subject | Pearson Type I approximation | en_US |
dc.title | On the distribution of the inverted linear compound of dependent F-variates and its application to the combination of forecasts | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1080/02664760600744330 | en_US |
dc.identifier.journal | JOURNAL OF APPLIED STATISTICS | en_US |
dc.citation.volume | 33 | en_US |
dc.citation.issue | 9 | en_US |
dc.citation.spage | 961 | en_US |
dc.citation.epage | 973 | en_US |
dc.contributor.department | 交大名義發表 | zh_TW |
dc.contributor.department | 資訊管理與財務金融系 註:原資管所+財金所 | zh_TW |
dc.contributor.department | National Chiao Tung University | en_US |
dc.contributor.department | Department of Information Management and Finance | en_US |
dc.identifier.wosnumber | WOS:000243205100005 | - |
dc.citation.woscount | 0 | - |
顯示於類別: | 期刊論文 |