arXiv subjects

M. C. Jones

Publications and source records attributed to M. C. Jones.

9 recordsLinked to original sources

arXiv2026

On multiplicative bias correction in kernel density estimation

Hjort and Glad (1995) present a method for semiparametric density estimation. Relative to the ordinary kernel density estimator, this technique performs much better when a parametric vehicle distribution fits the data, and otherwise performs at broadly the same level. Jones, Linton, and Nielsen (1995) present a somewhat similar method for density estimation which has higher order bias for all sufficiently smooth densities. In this paper, we combine the two methods. We show that, theoretically, the desired properties of general higher order bias allied with even better performance for an appropriate vehicle model are achieved. Simulations suggest that the new estimator realises only a little of its theoretical potential in practice for small to moderately large sample sizes.

math.ST↗

arXiv2026

Locally parametric nonparametric density estimation

This paper develops a nonparametric density estimator with parametric overtones. Suppose $f(x,\theta)$ is some family of densities, indexed by a vector of parameters $\theta$. We define a local kernel smoothed likelihood function which for each $x$ can be used to estimate the best local parametric approximant to the true density. This leads to a new density estimator of the form $f(x,\hat\theta(x))$, thus inserting the best local parameter estimate for each new value of $x$. When the bandwidth used is large this amounts to ordinary full likelihood parametric density estimation, while for moderate and small bandwidths the method is essentially nonparametric, using only local properties of data and the model. Alternative ways more general than via the local likelihood are also described. The methods can be seen as ways of nonparametrically smoothing the parameter within a parametric class. Properties of this new semiparametric estimator are investigated. Our preferred version has approximately the same variance as the ordinary kernel method but potentially a smaller bias. The new method is seen to perform better than the traditional kernel method in a broad nonparametric vicinity of the parametric model employed, while at the same time being capable of not losing much in precision to full likelihood methods when the model is correct. Other versions of the method are equivalent to using particular higher order kernels in a semiparametric framework. The methodology we develop can be seen as the density estimation parallel to local likelihood and local weighted least squares theory in nonparametric regression.

stat.ME↗

arXiv2025

Average quantile regression: a new non-mean regression model and coherent risk measure

Regression models that go beyond the mean, alongside coherent risk measures, have been important tools in modern data analysis. This paper introduces the innovative concept of Average Quantile Regression (AQR), which is smooth at the quantile-like level, comonotonically additive, and explicitly accounts for the severity of tail losses relative to quantile regression. AQR serves as a versatile regression model capable of describing distributional information across all positions, akin to quantile regression, yet offering enhanced interpretability compared to expectiles. Numerous traditional regression models and coherent risk measures can be regarded as special cases of AQR. As a flexible non-parametric regression model, AQR demonstrates outstanding performance in analyzing high-dimensional and large datasets, particularly those generated by distributed systems, and provides a convenient framework for their statistical analysis. The corresponding estimators are rigorously derived, and their asymptotic properties are thoroughly developed. In a risk management context, the case study confirms AQR's effectiveness in risk assessment and portfolio optimization.

math.ST↗

arXiv2024

Traffic Count Data Analysis Using Mixtures of Kato--Jones Distributions

We discuss the modelling of traffic count data that show the variation of traffic volume within a day. For the modelling, we apply mixtures of Kato-Jones distributions in which each component is unimodal and affords a wide range of skewness and kurtosis. We consider two methods for parameter estimation, namely, a modified method of moments and the maximum likelihood method. These methods were seen to be useful for fitting the proposed mixtures to our data. As a result, the variation in traffic volume was classified into the morning and evening traffic whose distributions have different shapes, particularly different degrees of skewness and kurtosis.

stat.AP↗

arXiv2019

A Bivariate Power Generalized Weibull Distribution: a Flexible Parametric Model for Survival Analysis

We are concerned with the flexible parametric analysis of bivariate survival data. Elsewhere, we have extolled the virtues of the "power generalized Weibull" (PGW) distribution as an attractive vehicle for univariate parametric survival analysis: it is a tractable, parsimonious, model which interpretably allows for a wide variety of hazard shapes and, when adapted (to give an adapted PGW, or APGW, distribution), covers a wide variety of important special/limiting cases. Here, we additionally observe a frailty relationship between a PGW distribution with one value of the parameter which controls distributional choice within the family and a PGW distribution with a smaller value of the same parameter. We exploit this frailty relationship to propose a bivariate shared frailty model with PGW marginal distributions: these marginals turn out to be linked by the so-called BB9 or "power variance function" copula. This particular choice of copula is, therefore, a natural one in the current context. We then adapt the bivariate PGW distribution, in turn, to accommodate APGW marginals. We provide a number of theoretical properties of the bivariate PGW and APGW models and show the potential of the latter for practical work via an illustrative example involving a well-known retinopathy dataset, for which the analysis proves to be straightforward to implement and informative in its outcomes. The novelty in this article is in the appropriate combination of specific ingredients into a coherent and successful whole.

stat.ME↗

arXiv2019

A Flexible Parametric Modelling Framework for Survival Analysis

We introduce a general, flexible, parametric survival modelling framework which encompasses key shapes of hazard function (constant, increasing, decreasing, up-then-down, down-then-up), various common survival distributions (log-logistic, Burr type XII, Weibull, Gompertz), and includes defective distributions (i.e., cure models). This generality is achieved using four basic distributional parameters: two scale-type parameters and two shape parameters. Generalising to covariate dependence, the scale-type regression components correspond to accelerated failure time (AFT) and proportional hazards (PH) models. Therefore, this general formulation unifies the most popular survival models which allows us to consider the practical value of possible modelling choices for survival data. Furthermore, in line with our proposed flexible baseline distribution, we advocate the use of multi-parameter regression in which more than one distributional parameter depends on covariates - rather than the usual convention of having a single covariate-dependent (scale) parameter. While many choices are available, we suggest introducing covariates through just one or other of the two scale parameters, which covers AFT and PH models, in combination with a `power' shape parameter, which allows for more complex non-AFT/non-PH effects, while the other shape parameter remains covariate-independent, and handles automatic selection of the baseline distribution. We explore inferential issues in simulations, both with and without a covariate, with particular focus on evidence concerning the need, or otherwise, to include both AFT and PH parameters. We illustrate the efficacy of our modelling framework by investigating differences between treatment groups using data from a lung cancer study and a melanoma study. Censoring is accommodated throughout.

stat.ME↗

arXiv2013

An extended family of circular distributions related to wrapped Cauchy distributions via Brownian motion

We introduce a four-parameter extended family of distributions related to the wrapped Cauchy distribution on the circle. The proposed family can be derived by altering the settings of a problem in Brownian motion which generates the wrapped Cauchy. The densities of this family have a closed form and can be symmetric or asymmetric depending on the choice of the parameters. Trigonometric moments are available, and they are shown to have a simple form. Further tractable properties of the model are obtained, many by utilizing the trigonometric moments. Other topics related to the model, including alternative derivations and Möbius transformation, are considered. Discussion of the symmetric submodels is given. Finally, generalization to a family of distributions on the sphere is briefly made.

math.ST↗

arXiv2010

The Cauchy-Schlomilch transformation

The Cauchy-Schlömilch transformation states that for a function $f$ and $a, \, b > 0$, the integral of $f(x^{2})$ and $af((ax-bx^{-1})^{2}$ over the interval $[0, \infty)$ are the same. This elementary result is used to evaluate many non-elementary definite integrals, most of which cannot be obtained by symbolic packages. Applications to probability distributions is also given.

math.CA↗

arXiv2008

Distributions that are both log-symmetric and R-symmetric

Two concepts of symmetry for the distributions of positive random variables $Y$ are log-symmetry (symmetry of the distribution of $\log Y$) and R-symmetry [7]. In this paper, we characterise the distributions that have both properties, which we call doubly symmetric. It turns out that doubly symmetric distributions constitute a subset of those distributions that are moment-equivalent to the lognormal distribution. They include the lognormal, some members of the Berg/Askey class of distributions, and a number of others for which we give an explicit construction (based on work of A.J. Pakes) and note some properties; Stieltjes classes, however, are not doubly symmetric.

math.ST↗