dc.contributor.advisor | Lindqvist, Bo Henry | nb_NO |
dc.contributor.author | Rannestad, Bjarte | nb_NO |
dc.date.accessioned | 2014-12-19T13:58:34Z | |
dc.date.available | 2014-12-19T13:58:34Z | |
dc.date.created | 2010-09-14 | nb_NO |
dc.date.issued | 2007 | nb_NO |
dc.identifier | 351348 | nb_NO |
dc.identifier | ntnudaim:3537 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/258711 | |
dc.description.abstract | We present a general approach for Monte Carlo computation of conditional expectations of the form E[(T)|S = s] given a sufficient statistic S. The idea of the method was first introduced by Lillegård and Engen [4], and has been further developed by Lindqvist and Taraldsen [7, 8, 9]. If a certain pivotal structure is satised in our model, the simulation could be done by direct sampling from the conditional distribution, by a simple parameter adjustment of the original statistical model. In general it is shown by Lindqvist and Taraldsen [7, 8] that a weighted sampling scheme needs to be used. The method is in particular applied to the nonhomogeneous Poisson process, in order to develop exact goodness-of-fit tests for the null hypothesis that a set of observed failure times follow the NHPP of a specic parametric form. In addition exact confidence intervals for unknown parameters in the NHPP model are considered [6]. Different test statistics W=W(T) designed in order to reveal departure from the null model are presented [1, 10, 11]. By the method given in the following, the conditional expectation of these test statistics could be simulated in the absence of the pivotal structure mentioned above. This extends results given in [10, 11], and answers a question stated in [1]. We present a power comparison of 5 of the test statistics considered under the nullhypothesis that a set of observed failure times are from a NHPP with log linear intensity, under the alternative hypothesis of power law intensity. Finally a convergence comparison of the method presented here and an alternative approach of Gibbs sampling is given. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for matematiske fag | nb_NO |
dc.subject | ntnudaim | no_NO |
dc.subject | SIF3 fysikk og matematikk | no_NO |
dc.subject | Industriell matematikk | no_NO |
dc.title | Exact Statistical Inference in Nonhomogeneous Poisson Processes, based on Simulation | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 65 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fag | nb_NO |