Zadanie pt. Digitalizacja i udostępnienie w Cyfrowym Repozytorium Uniwersytetu Łódzkiego kolekcji czasopism naukowych wydawanych przez Uniwersytet Łódzki nr 885/P-DUN/2014 zostało dofinansowane ze środków MNiSW w ramach działalności upowszechniającej naukę.

Multivariate Statistical Analysis Statistical Inference, Statistical Models and Applications
Edited by Czeslaw Domański and Anna Szymańska
Recenzenci: Mirosław Szreder, Janusz Wywiał


Recent Submissions

  • Applying the RiskGrade measure in the risk analysis and the efficiency of Open Pension Funds 

    Mikulec, Artur (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • Multivalued coherent risk measures 

    Trzpiot, Grażyna (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The concept of coherent risk measures with its axiomatic characterization was discussed in a finite probability spaces. The aim of this paper is to apply a multivalued random variable as a multivalued risk measures, for ...
  • Bayesian estimation of bonus malus coefficients in CR automobile liability insurance 

    Szymańska, Anna ORCID (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The basis of insurance activity is proper premium estimation. The gross premium is the net premium enlarged by a security loading and costs of insurance activity. In the paper individual net premium is calculated by means ...
  • How to reconstruct the unknown physical quantities using neural networks? 

    Wolter, Marcin (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    In this article an application of neural networks to the reconstruction of unknown physical quantities in particle physics is presented. As an example the mass reconstruction of the hypothetical Higgs boson in the typical ...
  • On detection of homogeneous segments of observations in financial time series 

    Sarnowski, Wojciech (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The aim of this article is to present financial data modelling in presence of stochastic disorders. Change-point analysis is applied. We adapt universal method of change-point detection for disorder in parameters of GARCH ...
  • Methodological aspects of labour market research based on the labour force survey in Poland 

    Kwiatkowski, Eugeniusz (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • The market as the Minority Game and the statistical physics 

    Bolonek, Katarzyna (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The simplest version of minority game is introduced. It is shown how the minority game can result from the behaviour of individuals. The stability analysis of stationary state is briefly discussed. The modification of ...
  • Application of bayesian estimation methods for small domains in the Polish Labor Force Survey 

    Kubacki, Jan (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The author presents a synthetic overview of recent efforts related to the small area estimation methods applied to the Polish Labor Force Survey (PLFS). The review concerns methodology and results obtained by Central ...
  • Multivariate distributions in financial data analysis - applications in portfolio approach 

    Jajuga, Krzysztof (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    The paper gives an attempt to systematize different problems in finance which can be solved by multivariate analysis. First of all, some theoretical remarks on multivariate distributions are given. Then, taxonomy of ...
  • A proposition of the system of weights for aggregative indexes on the example ofthe index of work efficiency 

    Białek, Jacek ORCID; Czajkowski, Andrzej (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • VaR in risk analysis on DAM and models of volatility of variance 

    Ganczarek, Alicja (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • Portfolio construction with modified Sharpe’s method 

    Czapkiewicz, Anna; Machowska, Małgorzata (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 model of risk assessment in light of Solvency II project 

    Brylikowski, Piotr (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    Zmiany zachodzące na światowym rynku ubezpieczeń spowodowały, iż przepisy w zakresie wypłacalności zakładów ubezpieczeń przestały odpowiadać nowym wyzwaniom jakie stanęły przed organami nadzoru. Projekt Solvency II ma ...
  • A merger of pension funds - a stochastic model 

    Białek, Jacek ORCID (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • Distribution of linear combination the sample mean and the sample median 

    Wagner, Wiesław (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • Visualisation of a two - way contingency table in R 

    Kasprzyk, Iwona (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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. ...
  • Bayes estimation in agricultural sample surveys in Poland 

    Bartosińska, Dorota (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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, ...
  • A proposal of a new method of choosing starting points for k-means grouping 

    Korzeniewski, Jerzy ORCID (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    When one groups set elements with the help of k-means it is crucial to choose starting points properly. If they are chosen incorrectly one may arrive at badly grouped elements. In the paper a new method of choosing ...
  • Remarks on the generalized probability of the bifuzzy event 

    Gerstenkorn, Tadeusz; Gerstenkorn, Joanna (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    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 ...
  • Combining different types of classifiers 

    Gatnar, Eugeniusz (Wydawnictwo Uniwersytetu Łódzkiego, 2008)
    Model fusion has proved to be a very successful strategy for obtaining accurate models in classification and regression. The key issue, however, is the diversity of the component classifiers because classification error ...

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