| 1. |
- Ahmad, M. Rauf, et al.
(författare)
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Some correlation tests for vectors of large dimension
- 2023
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 52:7, s. 2144-2160
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Tidskriftsartikel (refereegranskat)abstract
- For a random sample of n iid p-dimensional vectors, each partitioned into b sub-vectors of dimensions pi, i=1,…,b, tests for zero correlation of sub-vectors are presented when pi ≫ n and the distribution need not be normal. The test statistics are composed of U-statistics based estimators of the Frobenius norm measuring the distance between the null and alternative hypotheses. Asymptotic distributions of the tests are provided for n,pi → ∞, with their finite-sample performance demonstrated through simulations. Some related tests are discussed. A real data application is also given.
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| 2. |
- Ahmad, M. Rauf
(författare)
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Testing homogeneity of several covariance matrices and multi-sample sphericity for high-dimensional data under non-normality
- 2017
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 46:8, s. 3738-3753
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Tidskriftsartikel (refereegranskat)abstract
- A test for homogeneity of g 2 covariance matrices is presented when the dimension, p, may exceed the sample size, n(i), i = 1, ..., g, and the populations may not be normal. Under some mild assumptions on covariance matrices, the asymptotic distribution of the test is shown to be normal when n(i), p . Under the null hypothesis, the test is extended for common covariance matrix to be of a specified structure, including sphericity. Theory of U-statistics is employed in constructing the tests and deriving their limits. Simulations are used to show the accuracy of tests.
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| 3. |
- Ahmad, M. Rauf, et al.
(författare)
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Tests of Covariance Matrices for High Dimensional Multivariate Data Under Non Normality
- 2015
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 44:7, s. 1387-1398
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Tidskriftsartikel (refereegranskat)abstract
- Ahmad et al. (in press) presented test statistics for sphericity and identity of the covariance matrix of a multivariate normal distribution when the dimension, p, exceeds the sample size, n. In this note, we show that their statistics are robust to normality assumption, when normality is replaced with certain mild assumptions on the traces of the covariance matrix. Under such assumptions, the test statistics are shown to follow the same asymptotic normal distribution as under normality for large p, also whenp >> n. The asymptotic normality is proved using the theory of U-statistics, and is based on very general conditions, particularly avoiding any relationship between n and p.
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| 4. |
- Akram, Muhammad N., et al.
(författare)
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A new biased estimator for the gamma regression model : Some applications in medical sciences
- 2023
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 52:11, s. 3612-3632
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Tidskriftsartikel (refereegranskat)abstract
- The Gamma Regression Model (GRM) has a variety of applications in medical sciences and other disciplines. The results of the GRM may be misleading in the presence of multicollinearity. In this article, a new biased estimator called James-Stein estimator is proposed to reduce the impact of correlated regressors for the GRM. The mean squared error (MSE) properties of the proposed estimator are derived and compared with the existing estimators. We conducted a simulation study and employed the MSE and bias evaluation criterion to judge the proposed estimator’s performance. Finally, two medical dataset are considered to show the benefit of the proposed estimator over existing estimators.
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| 5. |
- Alam, Md Moudud, 1976-
(författare)
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Likelihood Prediction for Generalized Linear Mixed Models under Covariate Uncertainty
- 2014
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:2, s. 219-234
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Tidskriftsartikel (refereegranskat)abstract
- This article presents the techniques of likelihood prediction for the generalized linear mixed models. Methods of likelihood prediction are explained through a series of examples; from a classical one to more complicated ones. The examples show, in simple cases, that the likelihood prediction (LP) coincides with already known best frequentist practice such as the best linear unbiased predictor. This article outlines a way to deal with the covariate uncertainty while producing predictive inference. Using a Poisson errors-in-variable generalized linear model, it has been shown in certain cases that LP produces better results than already known methods.
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| 6. |
- Alfelt, Gustav, et al.
(författare)
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Goodness-of-fit tests for centralized Wishart processes
- 2020
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 49:20, s. 5060-5090
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we present several goodness-of-fit tests for the centralized Wishart process, a popular matrix-variate time series model used to capture the stochastic properties of realized covariance matrices. The new test procedures are based on the extended Bartlett decomposition derived from the properties of the Wishart distribution and allows to obtain sets of independently and standard normally distributed random variables under the null hypothesis. Several tests for normality and independence are then applied to these variables in order to support or to reject the underlying assumption of a centralized Wishart process. In order to investigate the influence of estimated parameters on the suggested testing procedures in the finite-sample case, a simulation study is conducted. Finally, the new test methods are applied to real data consisting of realized covariance matrices computed for the returns on six assets traded on the New York Stock Exchange.
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| 7. |
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| 8. |
- Alkhamisi, Mahdi A., et al.
(författare)
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Developing Ridge Parameters for SUR Model
- 2008
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Ingår i: Communication in Statistics, Theory and Methods. - 0361-0926 .- 1532-415X. ; 37:4, s. 544-564
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Tidskriftsartikel (populärvet., debatt m.m.)
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| 9. |
- Almasri, Abdullah, 1965-
(författare)
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A New Approach for testing Periodicity
- 2011
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 40:7, s. 1196-1217
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Tidskriftsartikel (refereegranskat)abstract
- This paper describes testing for periodicity in the presence of FD processes. Wepropose two approaches for testing the periodicity based on Fisher’s test. The firstone is performed using the periodogram which has been divided into different parts.The second one is based on the discrete wavelet transform. Properties of the tests areillustrated by means of Monte Carlo simulations.
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| 10. |
- Amin, Muhammad, et al.
(författare)
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Diagnostic techniques for the inverse Gaussian regression model
- 2022
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 51:8, s. 2552-2564
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Tidskriftsartikel (refereegranskat)abstract
- In this article, we propose some diagnostic techniques for the inverse Gaussian regression model (IGRM), which are appropriate for modeling the response variable that undertakes positively skewed continuous dataset. Moreover, two new diagnostic methods are mainly proposed for the IGRM, which named as covariance ratio (CVR) and Welsch?s distance (WD). The comparison of our proposed methods of influence diagnostics with the existing approaches has been made through Monte Carlo simulation under different factors. In addition, the benefit of the proposed methods is assessed using a real application. Based on the simulation and empirical application results, we observed that the performance of the proposed method is better than the existing methods for detection of influential observations.
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| 11. |
- Andersson, Eva M., 1968
(författare)
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Hotelling's T2 Method in Multivariate On-Line Surveillance: On the Delay of an Alarm
- 2009
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 38:16 & 17, s. 2625-2633
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Tidskriftsartikel (refereegranskat)abstract
- A system for detecting changes in an on-going process is needed in many situations. On-line monitoring (surveillance) is used in early detection of disease outbreaks, of patients at risk, and of financial instability. By continually monitoring one or several indicators, we can, early, detect a change in the processes of interest. There are several suggested methods for multivariate surveillance, one of which is the Hotelling's T2. Since one aim in surveillance is quick detection of a change, it is important to use evaluation measures that reflect the timeliness of an alarm. One suggested measure is the expected delay of an alarm, in relation to the time of change (τ) in the process. Here we investigate a delay measure for the bivariate situation. Generally, the measure depends on both change times (i.e. τ1 and τ2). We show that, for a bivariate situation using the T2 method, the delay only depends on τ1 and τ2 through the distance τ1-τ2.
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| 12. |
- Andersson, Per Gösta
(författare)
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A classroom approach to the construction of Bayesian credible intervals of a Poisson mean
- 2020
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 49:22, s. 5493-5503
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Tidskriftsartikel (refereegranskat)abstract
- The Poisson distribution is here used to illustrate Bayesian inference concepts with the ultimate goal to construct credible intervals for a mean. The evaluation of the resulting intervals is in terms of mismatched priors and posteriors. The discussion is in the form of an imaginary dialog between a teacher and a student, who have met earlier, discussing and evaluating the Wald and score confidence intervals, as well as confidence intervals based on transformation and bootstrap techniques. From the perspective of the student the learning process is akin to a real research situation. The student is supposed to have studied mathematical statistics for at least two semesters.
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| 13. |
- Ankargren, Sebastian, et al.
(författare)
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On the least-squares model averaging interval estimator
- 2018
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 47:1, s. 118-132
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Tidskriftsartikel (refereegranskat)abstract
- In many applications of linear regression models, randomness due to model selection is commonly ignored in post-model selection inference. In order to account for the model selection uncertainty, least-squares frequentist model averaging has been proposed recently. We show that the confidence interval from model averaging is asymptotically equivalent to the confidence interval from the full model. The finite-sample confidence intervals based on approximations to the asymptotic distributions are also equivalent if the parameter of interest is a linear function of the regression coefficients. Furthermore, we demonstrate that this equivalence also holds for prediction intervals constructed in the same fashion.
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| 14. |
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| 15. |
- Arnroth, Lukas, et al.
(författare)
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A robustness evaluation of Bayesian tests for longitudinal data
- 2022
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 51:24, s. 8754-8775
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Tidskriftsartikel (refereegranskat)abstract
- Linear mixed models are standard models to analyze repeated measures or longitudinal data under the assumption of normality for random components in the model. Although the mixed models are often used in both frequentist and Bayesian inference, their evaluation from robustness perspective has not received as much attention in Bayesian inference as in frequentist. The aim of this study is to evaluate Bayesian tests in mixed models for their robustness to normality. We use a general class of exponential power distributions, EPD, and particularly focus on testing fixed effects in longitudinal models. The EPD class contains both light and heavy tailed distributions, with normality as a special case. Further, we consider a new paradigm of Bayesian testing decision theory where the hypotheses are formulated as a mixture model, with subsequent testing based on the posterior distribution of the mixture weights. It is shown that the EPD class provides a flexible alternative to normality assumption, particularly in the presence of outliers. Real data applications are also demonstrated.
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| 16. |
- Baxevani, Anastassia, et al.
(författare)
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Random spectral measure for non Gaussian moving averages
- 2018
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 47:2, s. 448-462
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Tidskriftsartikel (refereegranskat)abstract
- We study the distribution of phases and amplitudes for the spectral representation of weighted moving averages of a general noise measure. The simple independent structure, known for the Gaussian case, and involving Rayleigh amplitude and uniform phase distributions, is lost for the non Gaussian noise case. We show that the amplitude/phase distributions exhibit a rich and more complex structure depending not just on the covariance of the process but specifically on the form of the kernel and the noise distribution. We present a theoretical tool for studying these distributions that follows from a proof of the spectral theorem that yields an explicit expression for the spectral measure. The main interest is in noise measures based on second-order Lévy motions since such measures are easily available through independent sampling. We approximate the spectral stochastic measure by independent noise increments which allows us to obtain amplitude/phase distributions that is of fundamental interest for analyzing processes in the frequency domain. For the purpose of approximating the moving average process through sums of trigonometric functions, we assess the mean square error of discretization of the spectral representation. For a specified accuracy, the approximation is explicitly given. We illustrate the method for the moving averages driven by the Laplace motion.
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| 17. |
- Bielecki, Tomasz R., et al.
(författare)
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A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
- 2014
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 43:7, s. 1362-1389
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Tidskriftsartikel (refereegranskat)abstract
- In Bielecki et al. (2014a), the authors introduced a Markov copula model of portfolio credit risk where pricing and hedging can be done in a sound theoretical and practical way. Further theoretical backgrounds and practical details are developed in Bielecki et al. (2014b,c) where numerical illustrations assumed deterministic intensities and constant recoveries. In the present paper, we show how to incorporate stochastic default intensities and random recoveries in the bottom-up modeling framework of Bielecki et al. (2014a) while preserving numerical tractability. These two features are of primary importance for applications like CVA computations on credit derivatives (Assefa et al., 2011; Bielecki et al., 2012), as CVA is sensitive to the stochastic nature of credit spreads and random recoveries allow to achieve satisfactory calibration even for “badly behaved” data sets. This article is thus a complement to Bielecki et al. (2014a), Bielecki et al. (2014b) and Bielecki et al. (2014c).
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| 18. |
- Björnham, Oscar, et al.
(författare)
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Absolutely continuous copulas with prescribed support constructed by differential equations, with an application in toxicology
- 2022
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Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 51:19, s. 6601-6625
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Tidskriftsartikel (refereegranskat)abstract
- A new method for constructing absolutely continuous two-dimensional copulas by differential equations is presented. The copulas are symmetric with respect to reflection in the opposite diagonal. The support of the copula density may be prescribed to arbitrary opposite symmetric hypographs of invertible functions, containing the diagonal. The method is applied to toxicological probit modeling, where new compatibility conditions for the probit parameters are derived.
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| 19. |
- Bodnar, Rostyslav, et al.
(författare)
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Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
- 2016
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 45:12, s. 3421-3440
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Tidskriftsartikel (refereegranskat)abstract
- In this article we suggest a new multivariate autoregressive process for modeling time-dependent extreme value distributed observations. The idea behind the approach is to transform the original observations to latent variables that are univariate normally distributed. Then the vector autoregressive DCC model is fitted to the multivariate latent process. The distributional properties of the suggested model are extensively studied. The process parameters are estimated by applying a two-stage estimation procedure. We derive a prediction interval for future values of the suggested process. The results are applied in an empirically study by modeling the behavior of extreme daily stock prices.
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| 20. |
- Broström, Göran, 1942-
(författare)
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A modification of Fisher's omnibus test
- 1998
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 27, s. 2663-2674
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Tidskriftsartikel (refereegranskat)
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| 21. |
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| 22. |
- Bruce, Daniel
(författare)
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Some properties for a simplified Cox binary model
- 2008
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 37:16, s. 2606-2616
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Tidskriftsartikel (refereegranskat)abstract
- This article proposes a simplification of the model for dependent binary variables presented in Cox and Snell (1989). The new model referred to as the simplified Cox model is developed for identically distributed and dependent binary variables. Properties of the model are presented, including expressions for the log-likelihood function and the Fisher information. Under mutual independence, a general expression for the restrictions of the parameters are derived. The simplified Cox model is illustrated using a data set from a clinical trial.
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| 23. |
- Brännäs, Kurt, et al.
(författare)
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Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
- 2004
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Ingår i: Communications in Statistics - Theory and Methods. - 0361-0926 .- 1532-415X. ; 33:11, s. 2745-2758
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Tidskriftsartikel (refereegranskat)abstract
- This paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data models, some well-known estimators are adapted, and a generalized method of moments (GMM) estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.
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| 24. |
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| 25. |
- Brännäs, Kurt, et al.
(författare)
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Testing linearity against nonlinear moving average models
- 1998
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Ingår i: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 27:8, s. 2025-2035
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Tidskriftsartikel (refereegranskat)abstract
- Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test against an additive smooth transition moving average model. The latter model is introduced in the paper. The small sample performance of the proposed tests are evaluated in a Monte Carlo study and compared to Wald and likelihood ratio statistics. The size properties of the Lagrange multiplier test are better than those of other tests.
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