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The Cramér-von-Mises distance is applied to the distribution of the excess over a confidence level. Asymptotics of related statistics are investigated, and it is seen that the obtained limit distributions differ from the classical ones. For that reason, quantiles of the new limit distributions are given and new bootstrap techniques for approximation purposes are introduced and justified. The results motivate new one-sample goodness-of-fit tests for the distribution of the excess over a confidence level and a new confidence interval for the related fitting error. Simulation studies investigate size and power of the tests as well as coverage probabilities of the confidence interval in the finite sample case. A practice-oriented application of the Cramér-von-Mises tests is the determination of an appropriate confidence level for the fitting approach. The adoption of the idea to the well-known problem of threshold detection in the context of peaks over threshold modelling is sketched and illustrated by data examples.
We consider time-dependent portfolios and discuss the allocation of changes in the risk of a portfolio to changes in the portfolio’s components. For this purpose we adopt established allocation principles. We also use our approach to obtain forecasts for changes in the risk of the portfolio’s components. To put the approach into practice we present an implementation based on the output of a simulation. Allocation is illustrated with an example portfolio in the context of Solvency II. The quality of the forecasts is investigated with an empirical study.
On the applicability of several tests to models with not identically distributed random effects
(2023)
We consider Kolmogorov–Smirnov and Cramér–von-Mises type tests for testing central symmetry, exchangeability, and independence. In the standard case, the tests are intended for the application to independent and identically distributed data with unknown distribution. The tests are available for multivariate data and bootstrap procedures are suitable to obtain critical values. We discuss the applicability of the tests to random effects models, where the random effects are independent but not necessarily identically distributed and with possibly unknown distributions. Theoretical results show the adequacy of the tests in this situation. The quality of the tests in models with random effects is investigated by simulations. Empirical results obtained confirm the theoretical findings. A real data example illustrates the application.
The Rothman–Woodroofe symmetry test statistic is revisited on the basis of independent but not necessarily identically distributed random variables. The distribution-freeness if the underlying distributions are all symmetric and continuous is obtained. The results are applied for testing symmetry in a meta-analysis random effects model. The consistency of the procedure is discussed in this situation as well. A comparison with an alternative proposal from the literature is conducted via simulations. Real data are analyzed to demonstrate how the new approach works in practice.
In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.
We discuss the testing problem of homogeneity of the marginal distributions of a continuous bivariate distribution based on a paired sample with possibly missing components (missing completely at random). Applying the well-known two-sample Crámer–von-Mises distance to the remaining data, we determine the limiting null distribution of our test statistic in this situation. It is seen that a new resampling approach is appropriate for the approximation of the unknown null distribution. We prove that the resulting test asymptotically reaches the significance level and is consistent. Properties of the test under local alternatives are pointed out as well. Simulations investigate the quality of the approximation and the power of the new approach in the finite sample case. As an illustration we apply the test to real data sets.
Suppose we have k samples X₁,₁,…,X₁,ₙ₁,…,Xₖ,₁,…,Xₖ,ₙₖ with different sample sizes ₙ₁,…,ₙₖ and unknown underlying distribution functions F₁,…,Fₖ as observations plus k families of distribution functions {G₁(⋅,ϑ);ϑ∈Θ},…,{Gₖ(⋅,ϑ);ϑ∈Θ}, each indexed by elements ϑ from the same parameter set Θ, we consider the new goodness-of-fit problem whether or not (F₁,…,Fₖ) belongs to the parametric family {(G₁(⋅,ϑ),…,Gₖ(⋅,ϑ));ϑ∈Θ}. New test statistics are presented and a parametric bootstrap procedure for the approximation of the unknown null distributions is discussed. Under regularity assumptions, it is proved that the approximation works asymptotically, and the limiting distributions of the test statistics in the null hypothesis case are determined. Simulation studies investigate the quality of the new approach for small and moderate sample sizes. Applications to real-data sets illustrate how the idea can be used for verifying model assumptions.
The established Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic is investigated for partly not identically distributed data. Surprisingly, it turns out that the statistic has the well-known distribution-free limiting null distribution of the classical criterion under standard regularity conditions. An application is testing goodness-of-fit for the regression function in a non parametric random effects meta-regression model, where the consistency is obtained as well. Simulations investigate size and power of the approach for small and moderate sample sizes. A real data example based on clinical trials illustrates how the test can be used in applications.
Two single-incision mini-slings used for treating urinary incontinence in women are compared with respect to the stresses they produce in their surrounding tissue. In an earlier paper we experimentally observed that these implants produce considerably different stress distributions in a muscle tissue equivalent. Here we perform 2D finite element analyses to compare the shear stresses and normal stresses in the tissue equivalent for the two meshes and to investigate their failure behavior. The results clearly show that the Gynecare TVT fails for increasing loads in a zipper-like manner because it gradually debonds from the surrounding tissue. Contrary to that, the tissue at the ends of the DynaMesh-SIS direct may rupture but only at higher loads. The simulation results are in good agreement with the experimental observations thus the computational model helps to interpret the experimental results and provides a tool for qualitative evaluation of mesh implants.
We present an electromechanically coupled computational model for the investigation of a thin cardiac tissue construct consisting of human-induced pluripotent stem cell-derived atrial, ventricular and sinoatrial cardiomyocytes. The mechanical and electrophysiological parts of the finite element model, as well as their coupling are explained in detail. The model is implemented in the open source finite element code Code_Aster and is employed for the simulation of a thin circular membrane deflected by a monolayer of autonomously beating, circular, thin cardiac tissue. Two cardio-active drugs, S-Bay K8644 and veratridine, are applied in experiments and simulations and are investigated with respect to their chronotropic effects on the tissue. These results demonstrate the potential of coupled micro- and macroscopic electromechanical models of cardiac tissue to be adapted to experimental results at the cellular level. Further model improvements are discussed taking into account experimentally measurable quantities that can easily be extracted from the obtained experimental results. The goal is to estimate the potential to adapt the presented model to sample specific cell cultures.
Malaria infection remains a significant risk for much of the population of tropical and subtropical areas, particularly in developing countries. Therefore, it is of high importance to develop sensitive, accurate and inexpensive malaria diagnosis tests. Here, we present a novel aptamer-based electrochemical biosensor (aptasensor) for malaria detection by impedance spectroscopy, through the specific recognition between a highly discriminatory DNA aptamer and its target Plasmodium falciparum lactate dehydrogenase (PfLDH). Interestingly, due to the isoelectric point (pI) of PfLDH, the aptasensor response showed an adjustable detection range based on the different protein net-charge at variable pH environments. The specific aptamer recognition allows sensitive protein detection with an expanded detection range and a low detection limit, as well as a high specificity for PfLDH compared to analogous proteins. The specific feasibility of the aptasensor is further demonstrated by detection of the target PfLDH in human serum. Furthermore, the aptasensor can be easily regenerated and thus applied for multiple usages. The robustness, sensitivity, and reusability of the presented aptasensor make it a promising candidate for point-of-care diagnostic systems.