Stochastic Models, Statistics and Their Applications: Wroclaw, Poland, February 2015

478 Pages·2015·5.322 MB·English

by  Ansgar Steland, Ewaryst Rafajlowicz, Krzysztof Szajowski

Springer Proceedings in Mathematics & Statistics
Volume122
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Ansgar Steland (cid:2) Ewaryst Rafajłowicz (cid:2)
Krzysztof Szajowski
Editors
Stochastic Models, Statistics
and Their Applications
Wrocław, Poland, February 2015
Editors
AnsgarSteland KrzysztofSzajowski
InstituteofStatistics Inst.ofMathematicsandComputerScience
RWTHAachenUniversity WrocławUniversityofTechnology
Aachen,Germany Wrocław,Poland
EwarystRafajłowicz
Dept.ofComputerEngineering,
ControlandRobotics
WrocławUniversityofTechnology
Wrocław,Poland
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ISSN2194-1009 ISSN2194-1017(electronic)
SpringerProceedingsinMathematics&Statistics
ISBN978-3-319-13880-0 ISBN978-3-319-13881-7(eBook)
DOI10.1007/978-3-319-13881-7
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Preface
This volume presents papers collected on the occasion of the 12th Workshop on
StochasticModels,StatisticsandTheirApplications,jointlyorganizedbytheInsti-
tuteofMathematicsandComputerScienceofWrocławUniversityofTechnology,
theInstituteofComputerEngineering,ControlandRobotics,WrocławUniversity
ofTechnology,andbytheInstituteofStatisticsofRWTHAachenUniversity.This
Germanseriesofworkshopshasbeenfrequentlyheldtogetherwithresearchgroups
fromPoland,i.e.asGerman–Polishevents.Ithasbecomemoreandmoreinterna-
tionalandtakesplaceatWrocławforthesecondtime.
We would like to thank the following colleagues who accepted our invitation
to organize an invited session: Marco Burkschat (Aachen), Maik Döring (Ho-
henheim), Dietmar Ferger (Dresden), Elz˙bieta Ferenstein (Warsaw), Josef Högel
(Ulm),HajoHolzmann(Marburg),PiotrJaworski(Warsaw),UweJensen(Hohen-
heim),SvenKnoth(Hamburg),WolfgangKössler(Berlin),JacekKoronacki(War-
saw),AdamKrzyz˙ak(Montreal),EckhardLiebscher(Merseburg),RyszardMagiera
(Wrocław), Mirek Pawlak (Winnipeg), Rainer Schwabe (Magdeburg), Wolfgang
Schmid(FrankfurtOder)KrzysztofSzajowski(Wrocław),DarusUcin´ski(Zielona
Góra),ChristianWeiss(Hamburg),AleksanderWeron(Wrocław)andRafałWeron
(Wrocław).
In order to prepare a volume representing the state of the art as well as most
recent trends in activeresearch areas related to the workshop topics, we asked the
session organizers to invite their speakers and submit full papers. All submitted
papersundergonean intensiveandcriticalpeer-reviewprocess bymembersof the
programcommittee,sessionorganizersandotherrecognizedinternationalexperts,
buttheauthorsareentirelyresponsibleforthecontentandfinalformofthepapers.
Theeditorswouldliketothankthecolleagueswhojoinedusasmembersofthepro-
ceedings’programcommitteeandhelpedusinhandlingandreviewingthepapers:
Marco Burkschat (Aachen), Uwe Jensen (Hohenheim), Waltraud Kahle (Magde-
burg)andSvenKnoth(Hamburg).Wearealsoindebtedtotheexcellentandprompt
workofotherreferees.Theydidanexcellentjobandwithouttheirhelpitwouldnot
havebeenpossibletofinishthevolumetimely.
v
vi Preface
Part I presents the papers related to the invited plenary presentations held by
LaszloGyörfi(BudapestUniversityofTechnologyandEconomicsandHungarian
Academy of Sciences), Teresa Ledwina (Polish Academy of Sciences) and Marie
Huˇsková (Charles University of Prague). Part II collects articles about theory and
relatedtopics.Papersaddressingstochasticmodeling,primarilyinengineeringand
relatedareas,methodologicalaspectsandsimulationsarepresentedinPartIII.Pa-
pers devoted to new algorithms, their improvement and study, or applications are
providedinPartIV.
The authors who have contributed to this volume come from Austria, Brazil,
Canada, Croatia, Czech Republic, Finland, France, Germany, Greece, Hungary,
Italy, Japan, Netherlands, Norway, Poland, Russia, Slovak Republic, Spain and
USA.Itisourintentionandhopethatthepreparationofthearticlesforthisvolume
as well as the talks and discussions at the workshop deepen existing cooperations
andpartnershipsandstimulatenewcollaborations.
We acknowledge the support of M.Sc. Annabel Prause who has helped us in
organizing the sessions and communicating with the session organizers. Dr. Mo-
hammed Abujarad and M.Sc. Evgenii Sovetkin handled the page proofs. Stefanie
Truong carefully prepared the list of contributors and Hassan Satvat helped to set
upandmaintaintheworkshop’swebsite.Lastbutnotleast,wewouldliketothank
Springerforpublishingthisvolume.Especially,wethankMs.AliceBlanckforher
valuablecooperationandsupportandMr.FrankHolzwarthforhistechnicalassis-
tance.
Aachen,Germany AnsgarSteland
Wrocław,Poland KrzysztofSzajowski
EwarystRafajłowicz
November2014
Organization
Committees
ProgramCommittee:
AnsgarSteland SvenKnoth
MarcoBurkschat EwarystRafajłowicz
UweJensen KrzysztofSzajowski
WaltraudKahle
OrganizingCommittee:
KrzysztofSzajowski EwarystRafajłowicz
MohammedAbujarad EwaSkubalska-Rafajłowicz
PrauseAnnabel AnsgarSteland
vii
Contents
PartI PlenaryPapers
1 LargeDeviationsofχ2 DivergenceErrorsonPartitions . . . . . . 3
LászlóGyörfi
2 DetectionofChangesinINARModels . . . . . . . . . . . . . . . . 11
ŠárkaHudecová,MarieHušková,andSimosMeintanis
3 VisualizingAssociationStructureinBivariateCopulasUsingNew
DependenceFunction . . . . . . . . . . . . . . . . . . . . . . . . . 19
TeresaLedwina
PartII TheoryandRelatedTopics
4 Smoothed Nonparametric Derivative Estimation Based
onWeightedDifferenceSequences . . . . . . . . . . . . . . . . . . 31
KrisDeBrabanterandYuLiu
5 ModelSelectionUsingCramér–vonMisesDistance . . . . . . . . . 39
HongChen,MaikDöring,andUweJensen
6 RateofConvergenceofaChangePointEstimatorinaMisspecified
RegressionModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
MaikDöring
7 AnExactFormulafortheAverageRunLengthtoFalseAlarm
oftheGeneralizedShiryaev–RobertsProcedureforChange-Point
DetectionunderExponentialObservations . . . . . . . . . . . . . . 57
WenyuDu,GrigorySokolov,andAlekseyS.Polunchenko
8 Adaptive Density Estimation from Data ContainingBounded
MeasurementErrors . . . . . . . . . . . . . . . . . . . . . . . . . . 67
TinaFelber,MichaelKohler,andAdamKrzyz˙ak
ix
x Contents
9 PoissonModelwithThreeBinaryPredictors:WhenareSaturated
DesignsOptimal? . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
UlrikeGraßhoff,HeinzHolling,andRainerSchwabe
10 Computing D-Optimal Experimental Designs for Estimating
TreatmentContrastsUnderthePresenceofaNuisanceTimeTrend 83
RadoslavHarmanandGuillaumeSagnol
11 Variable Inspection Plans for Continuous Populations
withUnknownShortTailDistributions . . . . . . . . . . . . . . . . 93
WolfgangKössler
12 Goodness-of-ApproximationofCopulasbyaParametricFamily . 101
EckhardLiebscher
13 Selection Consistency of Generalized Information Criterion
forSparseLogisticModel . . . . . . . . . . . . . . . . . . . . . . . 111
JanMielniczukandHubertSzymanowski
14 KernelEstimationofWiener–HammersteinSystemNonlinearity . 121
GrzegorzMzyk
15 MonitoringChangesinRCAModels . . . . . . . . . . . . . . . . . 129
ZuzanaPrášková
16 Detecting Changes in Spatial-Temporal Image Data Based
onQuadraticForms . . . . . . . . . . . . . . . . . . . . . . . . . . 139
AnnabelPrauseandAnsgarSteland
17 OptimalDesignsforSteady-StateKalmanFilters . . . . . . . . . . 149
GuillaumeSagnolandRadoslavHarman
18 OntheImpactofCorrelationontheOptimalityofProduct-Type
DesignsinSURModels. . . . . . . . . . . . . . . . . . . . . . . . . 159
MoudarSoumayaandRainerSchwabe
19 On the Time-Reversibility of Integer-Valued Autoregressive
ProcessesofGeneralOrder . . . . . . . . . . . . . . . . . . . . . . 169
SebastianSchweer
20 Change-Point Detection of the Mean Vector with Fewer
ObservationsthantheDimensionUsingInstantaneousNormal
RandomProjections . . . . . . . . . . . . . . . . . . . . . . . . . . 179
EwaSkubalska-Rafajłowicz
21 OnSomeDistributedDisorderDetection . . . . . . . . . . . . . . . 187
KrzysztofSzajowski
22 ChangepointInferenceforErdo˝s–RényiRandomGraphs . . . . . 197
ElenaYudovina,MoulinathBanerjee,andGeorgeMichailidis