Acta Universitatis Lodziensis. Folia Oeconomica
article
Wydawnictwo Uniwersytetu Łódzkiego,
Tadeusz Bednarski,
Filip Borowicz,
Wrocław University Institute of Economic Sciences
Pierwsza części wykładu będzie prezentacją programu statystycznego służącego odpornej
estymacji w modelu Сох’a - aplikacja opracowana na podstawie metody T. Bednarskiego
(1993). Program ten została dołączony do zestawu pakietów statystycznych
języka R, budowanego w ramach otwartego projektu.
Teoretyczna część wykładu poświęcona będzie zagadnieniu odpornej weryfikacji
istotności modelu Cox’a....
article
Wydawnictwo Uniwersytetu Łódzkiego,
Bronisław Ceranka,
Małgorzata Graczyk,
Agricultural University in Poznań Department of Mathematical and Statistical Methods
The problem of optimizing the estimation of the weights of p objects in n weighing operations using a chemical balance is considered. Conditions under which the existence of an optimum chemical balance weighing design for p objects implies the existence of an optimum chemical balance weighing design for p + 1 objects are given. We assume that variance matrix of errors is diagonal. We want all variances...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Janusz Wywiał,
Katowice University of Economics Department of Statistics
Estimation of the population average in a finite population by means
of sampling strategy dependent on the sample quantile of an auxiliary variables is considered.
The sampling design is proportionate to the determinant of the matrix dependent
on some quantiles of an auxiliary variables. The sampling scheme implementing the
sampling design is proposed. The derived inclusion probabilities are applied...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Czeslaw Domański,
Chair of Statistical Methods University of Łódź
There are many methods of construction of multivariate normality
tests. The current review of the literature proves that there are at least 60 procedures of
verification of the hypothesis about multivariate normality of variable and random distributions.
We can indicate a few factors which prove an analysis of this class’s tests
ascd on skewness and kurtosis measures. It is easy to notice that...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Artur Mikulec,
Chair of Statistical Methods University of Łódź
The paper aims at reminding the classic risk measures and presenting
the RiskGrade measure (1994). This statistic allows comparisons between the investment
risk of different financial assets and also the risk of financial investments across different
regions of the World. Some advantages and disadvantages of this measure of volatility
and also technical problems of using will be described.
After...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Eugeniusz Kwiatkowski,
Chair of Macroeconomics University of Łódź
The paper focuses on methodological aspects of labour market research
on the basis of Labour Force Survey (LFS) in Poland. The analysis shows that
methodology covers both the subject of research (the scope of research as well as aspects
of researched reality) and applied scientific methods. Scientific methods should be adjusted
to the scope of research and the aim of research. Labour Force Survey...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Wojciech Gamrot,
University of Economics Department of Statistics
In this paper an estimator of the finite population mean in the unit
nonresponse situation is proposed. It is constructed as a combination of the well-known
regression estimator derived from the linear model and a reweighting-type estimator
based on a logistic regression model. Combination weights depend on goodness of fit of
respective models. Hence, the estimator for which the corresponding...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Tomasz Jurkiewicz,
University of Gdańsk Department of Statistics
In many statistical surveys one faces the problem of insufficient
number of sample observations to make reliable inference about a given population
domain of interest (small area). One possible solution, which has been discussed in statistical
publications consists in applying estimators, which will be able to combine sample
information from the given domain with information about sample units...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Grzegorz Kończak,
University of Economics Department of Statistics
The problem of testing the hypothesis of the stability of expected
value of the ratio of random variables is considered in the article. The ratio of random
variables X and Y under assumptions of the autoregression models is analyzed. A test
which makes it possible to verify the mentioned hypothesis is proposed. The problem
being considered in the article appears in the statistical quality control...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Marek Walesiak,
Wrocław University of Economics Chair of Department of Econometrics and Computer Science
The article presents auxiliary functions of clusterSim package
(see Walesiak & Dudek (2006)) and selected functions of packages stats, cluster,
and ade4, which are applied to solving clustering problems. In addition, the examples
of the procedures for solving different clustering problems are presented. These procedures,
which are not available in statistical packages (SPSS, Statistica, SAS),...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Wiesław Wagner,
University of Information Technology and Management in Rzeszów
Karl Pearson, in 1990, proposed two numerical characteristics of the
distribution of random variables i.e. asymmetry (skewness) and kurtosis (flatness). Their
sample approximations allow to describe partially the empirical distribution, to find out
if it differs from a symmetric distribution and if it is exceedingly flat or high.
The measures of shape for distributions with known first four central...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Anna Czapkiewicz,
Małgorzata Machowska,
AGH University of Science and Technology Faculty of Management
In the paper we consider a modification of Sharpe’s method used in
classical portfolio analysis for optimal portfolio building.
The key idea of the paper is the modification of the classical approach by
application of the errors-in-variable model. We assume that both independent (market
portfolio return) as well as dependent (given asset’s return) variables are randomly
distributed values related...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Wiesław Wagner,
University of Information Technology and Management in Rzeszów
In the work there is examined the estimator of linear combination of
arithmetic mean and median from a random sample of a random variable in the symmetrical
distribution. The coefficients of combinations are determined according to the criterion
of minimization of variances. Properties of the estimator are expressed by its density
function and the given result from simulation research for the...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Alicja Ganczarek,
The Karol Adamiecki University of Economics Department of Statistics
The aim of this paper is to describe and measure risk on the Day
Ahead Marked (DAM) of the Polish Power Exchange. In this paper downside risk measures
such as Vcilue-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are presented.
These measures were estimated on the basis of the Generalized Autoregressive Conditional
Heteroscedasticity (GARCH). They are applied to time series of the logarithmic...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Dorota Bartosińska,
University of Maria Curie Skłodowska in Lublin Chair of Statistics and Econometrics
Direct estimators used in sample surveys usually provide parameters’
estimates for country and regions. They do not provide estimates for smaller crosssections
(age, gender etc.) or smaller geographical areas (subregions, counties, towns
and communes). One of the possibilities to obtain such estimates is Bayes approach. It is
based on known information beyond the sample. There were considered...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Jacek Białek,
Chair of Statistical Methods University of Łódź
In Polish law there exists a definition of the average rate of return of
a group of pension funds which, as it was proved by Gajek and Kaluszka (2000), does
not satisfy some economic postulates. These authors proposed another definition of the
average rate of return. In this paper we consider the problem of a merger of pension
funds taking into consideration both measures. We will show that relations...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Tadeusz Gerstenkorn,
Joanna Gerstenkorn,
University of Łódź
The presentation is a continuation of a paper at MSA’04 (T. Gerstenkorn,
J. Gerstenkorn (2007)). In 1978 Ph. Smets proposed the so-called g-probability of
a fuzzy event as a generalization of the L. Zadeh’s probability of 1968. In 1980
S. Heilpem also discusscd g-probability and analysed its properties. In 1992 Ph. Smets
discussed once again the same his own problem and demonstrated its axiomatic...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Jacek Białek,
Andrzej Czajkowski,
Chair of Statistical Methods University of Łódź
In this paper we propose a construction of the aggregative index of
work efficiency. The proposed system of weights is based on theoretical considerations
over the situation in which the number of observations - coming from some of the considered
enterprises - is insufficient. In the first part of this paper we consider a group of
N - enterprises and two periods of their activity. We propose a...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Iwona Kasprzyk,
The Karol Adamiecki University of Economics Department of Statistics
The contingency table is one of the most popular ways of presenting
categorical data. We can make a visualisation of data contained in the two - way contingency
table using the vcd and graphics packages in the R sofware. The main aim of this
Paper is to show the use of various types of plots: the fourfold display, the mosaic display,
the sieve diagram and the association plot. In addition to that,...
article
Wydawnictwo Uniwersytetu Łódzkiego,
Jan Kalina,
Charles University Jaroslav Hájck Center for Theoretical and Applied Statistics
In the area of image analysis of templates, we have proposed and implemented
a method for locating landmarks in 2D-images of faces. It uses the weighted
correlation coefficient as a similarity measure between the template and the image. The
weights are selected in the optimal way to improve the discrimination of parts of the
image which correspond to the template from those which do not. The method...
