Journal of the Japan Statistical Society. Japanese issue最新文献

{"title":"CONSTRUCTION AND INFERENCES OF THE EFFICIENT FRONTIER IN ELLIPTICAL MODELS","authors":"Taras Bodnar, Arjun K. Gupta","doi":"10.14490/JJSS.39.193","DOIUrl":"https://doi.org/10.14490/JJSS.39.193","url":null,"abstract":"In this paper, we construct a confidence region for the efficient frontier assuming the asset returns to be matrix elliptically contoured distributed. Our results extend the findings of Bodnar and Schmid (2009) to the non-normal distributed asset returns. In order to correct the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007), the unbiased estimator of the efficient frontier is suggested. Moreover, we derive an exact overall F -test for the efficient frontier in elliptical models.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122467424","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"PREDICTIVE CREDIBLE REGION FOR BAYESIAN DIAGNOSIS OF A HYPOTHESIS","authors":"T. Yanagimoto, Toshio Ohnishi","doi":"10.14490/JJSS.39.111","DOIUrl":"https://doi.org/10.14490/JJSS.39.111","url":null,"abstract":"AB ayesian method for diagnosing a hypothesis is proposed in terms of the optimum Bayesian predictor under the e-divergence loss. We introduce a predictive credible region as a modified version of a posterior credible region. The predictive credible region is closely related to the complement of the rejection region of the likelihood ratio test in the frequentist context. As an application we revisit the controversy regarding Lindley’s paradox, and observe satisfactory performance of the proposed credible region in contrast to the Bayes factor. Another important application concerns a method for analyzing additional evidence when a hypothesis is once rejected.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129500292","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Joint Estimation of Discretely Observed Stable Lévy Processes with Symmetric Lévy Density","authors":"Hiroki Masuda","doi":"10.14490/JJSS.39.49","DOIUrl":"https://doi.org/10.14490/JJSS.39.49","url":null,"abstract":"the unusual rate of convergence diag{√n log(1/hn), √ n, √ nh 1−1/α n }, but the Fisher information matrix is constantly singular as soon as both α and σ are unknown. This implies that the standard asymptotic behavior of the maximum likelihood estimator breaks down, and also that it is in no way obvious whether or not existing results concerning estimators of the stable law in the usual case where hn ≡ h > 0 can maintain the same asymptotic behaviors. In this note we will provide easily computable full-joint estimators of the parameters, which possess asymptotic normality with a finite and nondegenerate asymptotic covariance matrix, thereby enabling us to construct a joint confidence region of the three parameters: the rate of convergence of our estimators of θ is diag( √ n, √ n, √ nh 1−1/α n ). Especially, we clarify that a suitable sample-median type statistic γn serves as a rate-efficient estimator of the location γ, and that our procedure of estimating the remaining two parameters is not asymptotically influenced by plugging in γn, even if the convergence rate of γn is slower than the other two (namely, even if α ∈ (1, 2)). Finite-sample behaviors of our estimators are investigated through several simulation experiments.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121060325","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Bayesian Estimation of an Asymmetric Employment Adjustment Model","authors":"A. Matsumoto, Hisayuki Hara, K. Nawata","doi":"10.14490/JJSS.39.29","DOIUrl":"https://doi.org/10.14490/JJSS.39.29","url":null,"abstract":"In this paper, we analyze the dynamic labor demand structure of large Japanese firms. We propose a new dynamic model which explicitly considers the asymmetric behavior of the firms between decreasing and increasing regimes. The model modifies the ordinary partial adjustment and switching cost models. The model is a Tobit-type model; that is, the employment strategies and desired levels of labor are determined by latent variables. We estimate the model using the data augmentation algorithm, which is a Bayesian simulation method. We apply the model to the panel data constructed from financial reports of large Japanese manufacturing firms. When asymmetric adjustment costs are included in the model, we find that: i) the hiring cost does not become lower even if lay-offs and dismissals are easier, and ii) employment strategies differ among the industrial sectors even if their cost structures are similar.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125200479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"OBSERVATION SUBAREA DECISION AND POPULATION DENSITY ESTIMATION BY SPACE SCALE-INVARIANCE","authors":"H. Kishino","doi":"10.14490/JJSS.39.77","DOIUrl":"https://doi.org/10.14490/JJSS.39.77","url":null,"abstract":"In this paper, we consider the estimation problem of the population density of organisms in an area. We formulate this biometric problem as a variant of the sequential estimation problem of the intensity of the Poisson process and propose a method for simultaneously optimizing both the decision of an observation subarea and the estimation. By request from the application side, we define the equivariance of a procedure composed of a decision rule of an observation subarea and an estimator of population density under the scale transformations of an observation area, and then construct a scale-equivariant procedure. As a result of using the invariance principle, we utilize the framework of statistical decision theory, not the conventional framework of sequential estimation using asymptotic methods, and discuss the admissibility and minimaxity of our proposed procedure.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125249154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Design and Inference for Discriminating Between Two Competing Linear Regression Models","authors":"Subir Ghosh, J. López–Fidalgo, Rupam Pal","doi":"10.14490/JJSS.39.15","DOIUrl":"https://doi.org/10.14490/JJSS.39.15","url":null,"abstract":"The problem of discriminating between two competing simple linear regression models MI and MII is discussed in this paper. The model MI is nested within the model MII with a common linear term being present in both models with respect to an explanatory variable and an additional quadratic term with respect to the same explanatory variable being present in MII. The first criterion function for discrimination between MI and MII is in terms of minimizing the variance of the least squares estimated coefficient of the quadratic term. A lower bound is obtained for this variance. Two designs are presented satisfying this lower bound in two experimental regions. New criterion functions of discriminating between MI and MII are given based on maximizing the difference between the fitted values of n observations under MI and MII and maximizing the difference between the predicted values under MI and MII. Several results are obtained for demonstrating the performances of these designs under two new criterion functions. We also present five general classes of designs and demonstrate their sharp relative performances with respect to our criterion functions. Some results for discriminating between two competing general linear models MIII and MIV are also given.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131018222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A POSITIVE DETECTING ALGORITHM FOR DNA LIBRARY SCREENING BASED ON CCCP","authors":"Hiroaki Uehara, Masakazu Jimbo","doi":"10.14490/JJSS.39.89","DOIUrl":"https://doi.org/10.14490/JJSS.39.89","url":null,"abstract":"We describe an algorithm for extracting as much information as possible from pooling experiments for library screening based on the concave-convex procedure (CCCP). Called the CCCP pool result decoder (CCPD), it is a positive clone de- tecting algorithm. Its performance is compared, by simulation, with the Bayesian network pool result decoder (BNPD) proposed by Uehara and Jimbo and the Markov chain pool result decoder (MCPD) proposed by Knill et al. in 1996. To find a few positives among a large number of items, one can use group testing. In group testing, multiple items are assayed in groups. If a group has a negative outcome, all items contained in it are negative. This can reduce the total number of tests. On the other hand, if a group is positive, we know that the group contains at least one positive item. By designing many kinds of groups and by testing each of them, we obtain the results for all groups. After knowing the group results, we may be able to estimate which items are likely to be positive. For each of such items, we apply individual tests to determine whether it is positive or negative. Group testing has been used in medical, chemical, and electrical testing; drug screening; pollution control; multiaccess channel communication; and recently in gene assays like clone library screening, protein-protein interaction tests, and other subjects. See for example Du and Hwang (1999), Schliep and Rahmann (2006), Thierry-Mieg (2006), Klau et al. (2007), Thierry-Mieg and Bailly (2008). In this paper we restrict ourselves to group testing for DNA library screening to give a concrete image of testing and to consider a specialized problem in clone library screening. However, the algorithm given in this paper can be applied to any other fields of group testing. In DNA library screening experiments there are a large number of clones, which are short strings of nucleotides A, T, G and C. Through the use of high-quality gene libraries, the study of gene functions has been developed into a very important research field. The gene libraries are obtained from extensive testing and screening of DNA clones. For each clone,","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129887731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"ON THE EFFICIENCIES OF SECOND ORDER RESPONSE SURFACE DESIGNS FOR THE ESTIMATION OF RESPONSES AND SLOPES USING SYMMETRICAL UNEQUAL BLOCK ARRANGEMENTS WITH TWO UNEQUAL BLOCK SIZES","authors":"B. Victorbabu, V. Vasundharadevi","doi":"10.14490/JJSS.39.1","DOIUrl":"https://doi.org/10.14490/JJSS.39.1","url":null,"abstract":"In this paper, the efficiencies of various second order response surface designs, like second order rotatable designs (SORD), second order slope rotatable designs (SOSRD), SORDs with an equi-spaced doses design, and SOSRDs with an equispaced doses design using symmetrical unequal block arrangements (SUBA) with two unequal block sizes, are studied for the estimation of responses and slopes at different points (central, axial, cube corner points) on second order response surface designs. The study is done because in some cases a SORD, and SOSRD constructed by using a SUBA with two unequal block sizes have fewer design points compared to those constructed by other methods.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126488919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"DONSKER'S THEOREM FOR DISCRETIZED DATA","authors":"Y. Nishiyama","doi":"10.14490/JJSS.38.505","DOIUrl":"https://doi.org/10.14490/JJSS.38.505","url":null,"abstract":"Inspired by Doob’s suggestion in 1949, Donsker (1952) proved the Kolmogorov-Smirnov theorem in an elegant way via the functional central limit theorem (the invariance principle). In that theorem, the underlying distribution is assumed to be a continuous distribution. On the other hand, real data in practice is always given in a discretized (rounded) form. In this paper, we establish an invariance principle for discretized data in the fashion of the modern empirical process theory to obtain a (right) Kolmogorov-Smirnov test for discretized data. To illustrate our problem let us begin with the most basic example. We denote by F0 the uniform distribution on [0, 1]. Let {X1, . . . , Xn} be an independent sequence of [0, 1]-valued random variables with the common law F0. Set δn = 0.01. Suppose that we can actually observe the data {X i } which is discretized (rounded) up to δn: X1 = 0.67774205 X 1 = 0.68 X2 = 0.81124449 X 2 = 0.81 · · · Xn = 0.61694806 X n = 0.62. We denote by F̂n and F̂ n the empirical distribution functions of {X1, . . . , Xn} and {X 1 , . . . , X n}, respectively. Then, the Kolmogorov-Smirnov statistic Dn = sup t∈[0,1] n|F̂n(t) − F0(t)| converges in distribution to supu∈[0,1] |B◦(u)|, where u ❀ B◦(u) is a standard Brownian bridge. On the other hand, as we will show below, if δn = o(n −1/2), the test statistic D n = sup t∈[0,1] n|F̂ n(t) − F0(t)|","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121154561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Efficiency of the Asymptotic Expansion of the Distribution of the Canonical Vector under Nonnormality","authors":"Tomoya Yamada","doi":"10.14490/JJSS.38.451","DOIUrl":"https://doi.org/10.14490/JJSS.38.451","url":null,"abstract":"In canonical correlation analysis, canonical vectors are used in the interpretation of the canonical variables. We are interested in the asymptotic representation of the expectation, the variance and the distribution of the canonical vector. In this study, we derive the asymptotic distribution of the canonical vector under nonnormality. To obtain the asymptotic expansion of the canonical vector, we use a perturbation method. In addition, as an example, we show the asymptotic distribution with an elliptical population. In multivariate statistical analysis, the distributions of latent roots and latent vectors of certain symmetric matrices constructed from the sample covariance matrix are important in some cases and have been studied by many authors. These studies can be used as the basis for the canonical correlation analysis, which is an approach that characterizes the correlation structure between two sets of variables. Considering the distribution of the canonical correlation with the assumption of the multivariate normal population, asymptotic expansions of the distributions were studied by Sugiura (1976), Fujikoshi (1977, 1978), Muirhead (1978) and others. The distributions of a function of latent roots of the sample covariance matrix in nonnormal populations were studied by Fujikoshi (1980), Muirhead and Waternaux (1980), Fang and Krishinaiah (1982), Siotani et al. (1985), Seo et al. (1994) and others. The distribution of the canonical vector was studied by Eaton and Tyler (1994), Boik (1998), Anderson (1999), Taskinen et al. (2006) and others. This paper deals with the asymptotic expansion of the canonical vector under nonnormality. Let us denote x =( x � 1, x � 2) � as p + q dimensional variables with mean µ and","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116727431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}