Table 2 Simulation results (30% censored; Scenario 2–Scenario 4)
α | α 0 | α 1 | α 2 | |||
|---|---|---|---|---|---|---|
Method | Bias | 100xRE | Bias | 100xRE | Bias | 100xRE |
Scenario 2: MVN, Unstructured covariance | Â | |||||
OMNI | 0.0017 | – | -0.0006 | – | -0.0013 | – |
CC-DL/2 | 0.0527 | 16.527 | -0.5413 | 7.541 | 0.1161 | 28.516 |
MI 1 | 0.1809 | 8.011 | -0.3166 | 11.718 | 0.0028 | 18.080 |
MI 2 | 0.0183 | 42.410 | -0.0014 | 21.517 | -0.0035 | 52.201 |
MI-CQR | 0.0433 | 63.613 | -0.0050 | 36.069 | -0.0089 | 69.551 |
MI-wCQR 1 | 0.0319 | 71.852 | -0.0099 | 42.007 | -0.0031 | 78.523 |
MI-wCQR 2 | 0.0204 | 71.104 | -0.0299 | 40.525 | 0.0031 | 77.691 |
MI-wCQR 3 | 0.0172 | 63.936 | -0.0168 | 37.197 | 0.0030 | 70.009 |
Scenario 3: MVE, Exchangeable covariance | Â | |||||
OMNI | 0.0028 | – | 0.0000 | – | -0.0014 | – |
CC-DL/2 | 0.2094 | 12.616 | -0.4212 | 7.660 | 0.0057 | 22.869 |
MI 1 | 0.4430 | 3.682 | -0.6098 | 3.640 | -0.0981 | 10.591 |
MI 2 | 0.0423 | 32.878 | 0.0008 | 11.074 | -0.0088 | 44.840 |
MI-CQR | 0.0667 | 58.224 | -0.0183 | 36.201 | -0.0128 | 71.372 |
MI-wCQR 1 | 0.0501 | 62.644 | -0.0163 | 41.087 | -0.0055 | 77.240 |
MI-wCQR 2 | 0.0379 | 62.214 | -0.0256 | 40.690 | 0.0000 | 77.128 |
MI-wCQR 3 | 0.0273 | 59.215 | -0.0041 | 37.352 | 0.0018 | 71.902 |
Scenario 4: MVE, Heteroscedastic covariance | Â | |||||
OMNI | 0.0028 | – | 0.0000 | – | -0.0014 | – |
CC-DL/2 | 0.1739 | 14.389 | -0.4081 | 8.210 | 0.0171 | 23.356 |
MI 1 | 0.1892 | 3.537 | -0.3084 | 1.531 | 0.0002 | 10.432 |
MI 2 | 0.0410 | 32.650 | 0.0011 | 11.025 | -0.0083 | 44.126 |
MI-CQR | 0.0649 | 58.870 | -0.0141 | 36.739 | -0.0125 | 71.618 |
MI-wCQR 1 | 0.0492 | 63.492 | -0.0121 | 41.733 | -0.0054 | 78.362 |
MI-wCQR 2 | 0.0340 | 63.222 | -0.0223 | 40.015 | 0.0009 | 78.325 |
MI-wCQR 3 | 0.0273 | 59.195 | -0.0041 | 37.005 | 0.0018 | 71.929 |