Journal of Probability and Statistics最新文献

{"title":"Modeling of the COVID-19 Cases in Gulf Cooperation Council (GCC) countries using ARIMA and MA-ARIMA models.","authors":"Rahamtalla Yagoub, Hussein Eledum","doi":"10.1101/2021.05.27.21257916","DOIUrl":"https://doi.org/10.1101/2021.05.27.21257916","url":null,"abstract":"Coronavirus disease 2019 (COVID-19) is still a great pandemic presently spreading all around the world. In Gulf Cooperation Council (GCC) countries, there were 1015269 COVID-19 confirmed cases, 969424 recovery cases, and 9328 deaths as of 30th Nov. 2020. This paper, therefore, subjected the daily reported COVID-19 cases of these three variables to some statistical models including classical ARIMA, kth SMA-ARIMA, kth WMA-ARIMA, and kth EWMA-ARIMA to study the trend and to provide the long-term forecasting of the confirmed, recovery, and death cases of the novel COVID-19 pandemic in the GCC countries. The data analyzed in this study covered the period starting from the first case of coronavirus reported in each GCC country to Nov 30, 2020. To compute the best parameter estimates, each model was fitted for 90% of the available data in each country, which is called the in-sample forecast or training data, and the remaining 10% was used for the out-of-sample forecast or testing model. The AIC was applied to the training data as a criterion method to select the best model. Furthermore, the statistical measure RMSE was utilized for testing data, and the model with the minimum AIC and minimum RMSE was selected. The main finding, in general, is that the two models WMA-ARIMA and EWMA-ARIMA, besides the cubic linear regression model have given better results for in-sample and out-of-sample forecasts than the classical ARIMA models in fitting the confirmed and recovery cases while the death cases haven't specific models.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"1 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2021-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41847286","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":"Evaluation of Four Multiple Imputation Methods for Handling Missing Binary Outcome Data in the Presence of an Interaction between a Dummy and a Continuous Variable","authors":"Sara Javadi, A. Bahrampour, M. M. Saber, B. Garrusi, M. Baneshi","doi":"10.1155/2021/6668822","DOIUrl":"https://doi.org/10.1155/2021/6668822","url":null,"abstract":"Multiple imputation by chained equations (MICE) is the most common method for imputing missing data. In the MICE algorithm, imputation can be performed using a variety of parametric and nonparametric methods. The default setting in the implementation of MICE is for imputation models to include variables as linear terms only with no interactions, but omission of interaction terms may lead to biased results. It is investigated, using simulated and real datasets, whether recursive partitioning creates appropriate variability between imputations and unbiased parameter estimates with appropriate confidence intervals. We compared four multiple imputation (MI) methods on a real and a simulated dataset. MI methods included using predictive mean matching with an interaction term in the imputation model in MICE (MICE-interaction), classification and regression tree (CART) for specifying the imputation model in MICE (MICE-CART), the implementation of random forest (RF) in MICE (MICE-RF), and MICE-Stratified method. We first selected secondary data and devised an experimental design that consisted of 40 scenarios (2 × 5 × 4), which differed by the rate of simulated missing data (10%, 20%, 30%, 40%, and 50%), the missing mechanism (MAR and MCAR), and imputation method (MICE-Interaction, MICE-CART, MICE-RF, and MICE-Stratified). First, we randomly drew 700 observations with replacement 300 times, and then the missing data were created. The evaluation was based on raw bias (RB) as well as five other measurements that were averaged over the repetitions. Next, in a simulation study, we generated data 1000 times with a sample size of 700. Then, we created missing data for each dataset once. For all scenarios, the same criteria were used as for real data to evaluate the performance of methods in the simulation study. It is concluded that, when there is an interaction effect between a dummy and a continuous predictor, substantial gains are possible by using recursive partitioning for imputation compared to parametric methods, and also, the MICE-Interaction method is always more efficient and convenient to preserve interaction effects than the other methods.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"2021 1","pages":"1-14"},"PeriodicalIF":1.1,"publicationDate":"2021-05-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42925512","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 Mixture of Regular Vines for Multiple Dependencies","authors":"F. Alanazi","doi":"10.1155/2021/5559518","DOIUrl":"https://doi.org/10.1155/2021/5559518","url":null,"abstract":"To uncover complex hidden dependency structures among variables, researchers have used a mixture of vine copula constructions. To date, these have been limited to a subclass of regular vine models, the so-called drawable vine, fitting only one type of bivariate copula for all variable pairs. However, the variation of complex hidden correlations from one pair of variables to another is more likely to be present in many real datasets. Single-type bivariate copulas are unable to deal with such a problem. In addition, the regular vine copula model is much more capable and flexible than its subclasses. Hence, to fully uncover and describe complex hidden dependency structures among variables and provide even further flexibility to the mixture of regular vine models, a mixture of regular vine models, with a mixed choice of bivariate copulas, is proposed in this paper. The model was applied to simulated and real data to illustrate its performance. The proposed model shows significant performance over the mixture of R-vine densities with a single copula family fitted to all pairs.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"2021 1","pages":"1-15"},"PeriodicalIF":1.1,"publicationDate":"2021-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48555017","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":"Two-Stage Joint Model for Multivariate Longitudinal and Multistate Processes, with Application to Renal Transplantation Data","authors":"Behnaz Alafchi, H. Mahjub, Leili Tapak, G. Roshanaei, M. Amirzargar","doi":"10.1155/2021/6641602","DOIUrl":"https://doi.org/10.1155/2021/6641602","url":null,"abstract":"In longitudinal studies, clinicians usually collect longitudinal biomarkers’ measurements over time until an event such as recovery, disease relapse, or death occurs. Joint modeling approaches are increasingly used to study the association between one longitudinal and one survival outcome. However, in practice, a patient may experience multiple disease progression events successively. So instead of modeling of a single event, progression of the disease as a multistate process should be modeled. On the other hand, in such studies, multivariate longitudinal outcomes may be collected and their association with the survival process is of interest. In the present study, we applied a joint model of various longitudinal biomarkers and transitions between different health statuses in patients who underwent renal transplantation. The full joint likelihood approaches are faced with the complexities in computation of the likelihood. So, here, we have proposed two-stage modeling of multivariate longitudinal outcomes and multistate conditions to avoid these complexities. The proposed model showed reliable results compared to the joint model in case of joint modeling of univariate longitudinal biomarker and the multistate process.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"2021 1","pages":"1-10"},"PeriodicalIF":1.1,"publicationDate":"2021-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43163233","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":"Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement","authors":"Martin M. Kithinji, P. Mwita, Ananda O. Kube","doi":"10.1155/2021/6697120","DOIUrl":"https://doi.org/10.1155/2021/6697120","url":null,"abstract":"In this paper, we propose an extreme conditional quantile estimator. Derivation of the estimator is based on extreme quantile autoregression. A noncrossing restriction is added during estimation to avert possible quantile crossing. Consistency of the estimator is derived, and simulation results to support its validity are also presented. Using Average Root Mean Squared Error (ARMSE), we compare the performance of our estimator with the performances of two existing extreme conditional quantile estimators. Backtest results of the one-day-ahead conditional Value at Risk forecasts are also given.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":" ","pages":"1-10"},"PeriodicalIF":1.1,"publicationDate":"2021-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43176608","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":"Hidden Geometry of Bidirectional Grid-Constrained Stochastic Processes","authors":"A. Taranto, Shahjahan Khan","doi":"10.1155/2021/9944543","DOIUrl":"https://doi.org/10.1155/2021/9944543","url":null,"abstract":"Bidirectional Grid Constrained (BGC) stochastic processes (BGCSPs) are constrained Ito diffusions with the property that the further they drift away from the origin, the more the resistance to movement in that direction they undergo. The underlying characteristics of the BGC parameter are investigated by examining its geometric properties. The most appropriate convex form for , that is, the parabolic cylinder is identified after extensive simulation of various possible forms. The formula for the resulting hidden reflective barrier(s) is determined by comparing it with the simpler Ornstein–Uhlenbeck process (OUP). Applications of BGCSP arise when a series of semipermeable barriers are present, such as regulating interest rates and chemical reactions under concentration gradients, which gives rise to two hidden reflective barriers.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"2021 1","pages":"1-13"},"PeriodicalIF":1.1,"publicationDate":"2021-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43197867","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":"An Empirical Likelihood Ratio-Based Omnibus Test for Normality with an Adjustment for Symmetric Alternatives","authors":"C. Marange, Yongsong Qin","doi":"10.1155/2021/6661985","DOIUrl":"https://doi.org/10.1155/2021/6661985","url":null,"abstract":"An omnibus test for normality with an adjustment for symmetric alternatives is developed using the empirical likelihood ratio technique. We first transform the raw data via a jackknife transformation technique by deleting one observation at a time. The probability integral transformation was then applied on the transformed data, and under the null hypothesis, the transformed data have a limiting uniform distribution, reducing testing for normality to testing for uniformity. Employing the empirical likelihood technique, we show that the test statistic has a chi-square limiting distribution. We also demonstrated that, under the established symmetric settings, the CUSUM-type and Shiryaev–Roberts test statistics gave comparable properties and power. The proposed test has good control of type I error. Monte Carlo simulations revealed that the proposed test outperformed studied classical existing tests under symmetric short-tailed alternatives. Findings from a real data study further revealed the robustness and applicability of the proposed test in practice.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":" ","pages":""},"PeriodicalIF":1.1,"publicationDate":"2021-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48712492","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":"Forecasting the COVID-19 Diffusion in Italy and the Related Occupancy of Intensive Care Units","authors":"L. Fenga","doi":"10.1155/2021/5982784","DOIUrl":"https://doi.org/10.1155/2021/5982784","url":null,"abstract":"This paper provides a model-based method for the forecast of the total number of currently COVID-19 positive individuals and of the occupancy of the available intensive care units in Italy. The predictions obtained—for a time horizon of 10 days starting from March 29th—will be provided at a national as well as at a more disaggregated level, following a criterion based on the magnitude of the phenomenon. While those regions hit the most by the pandemic have been kept separated, those less affected regions have been aggregated into homogeneous macroareas. Results show that—within the forecast period considered (March 29th–April 7th)—all of the Italian regions will show a decreasing number of COVID-19 positive people. The same will be observed for the number of people who will need to be hospitalized in an intensive care unit. These estimates are valid under constancy of the government’s current containment policies. In this scenario, northern regions will remain the most affected ones, whereas no significant outbreaks are foreseen in the southern regions.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":" ","pages":""},"PeriodicalIF":1.1,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46637000","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 Chain Ratio Exponential-Type Compromised Imputation for Mean Estimation: Case Study on Ozone Pollution in Saraburi, Thailand","authors":"Kanisa Chodjuntug, Nuanpan Lawson","doi":"10.1155/2020/8864412","DOIUrl":"https://doi.org/10.1155/2020/8864412","url":null,"abstract":"Due to its impact on health and quality of life, Thailand’s ozone pollution has become a major concern among public health investigators. Saraburi Province is one of the areas with high air pollution levels in Thailand as it is an important industrialized area in the country. Unfortunately, the August 2018 Pollution Control Department (PCD) report contained some missing values of the ozone concentrations in Saraburi Province. Missing data can significantly affect the data analysis process. We need to deal with missing data in a proper way before analysis using standard statistical techniques. In the presence of missing data, we focus on estimating ozone mean using an improved compromised imputation method that utilizes chain ratio exponential technique. Expressions for bias and mean square error (MSE) of an estimator obtained from the proposed imputation method are derived by Taylor series method. Theoretical finding is studied to compare the performance of the proposed estimator with existing estimators on the basis of MSE’s estimators. In this case study, the results in terms of the percent relative efficiencies indicate that the proposed estimator is the best under certain conditions, and it is then applied to the ozone mean estimation for Saraburi Province in August 2018.","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":"2020 1","pages":"1-6"},"PeriodicalIF":1.1,"publicationDate":"2020-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1155/2020/8864412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42770113","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":"Inference for the Difference of Two Independent KS Sharpe Ratios under Lognormal Returns","authors":"J. Qi, M. Rekkas, A. Wong","doi":"10.1155/2020/6751574","DOIUrl":"https://doi.org/10.1155/2020/6751574","url":null,"abstract":"<jats:p>A higher-order likelihood-based asymptotic method to obtain inference for the difference between two KS Sharpe ratios when gross returns of an investment are assumed to be lognormally distributed is proposed. Theoretically, our proposed method has <jats:inline-formula>\u0000 <math xmlns=\"http://www.w3.org/1998/Math/MathML\" id=\"M1\">\u0000 <mi>O</mi>\u0000 <mfenced open=\"(\" close=\")\" separators=\"|\">\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mrow>\u0000 <mrow>\u0000 <mo>−</mo>\u0000 <mn>3</mn>\u0000 </mrow>\u0000 <mo>/</mo>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 </mfenced>\u0000 </math>\u0000 </jats:inline-formula> distributional accuracy, whereas conventional methods for inference have <jats:inline-formula>\u0000 <math xmlns=\"http://www.w3.org/1998/Math/MathML\" id=\"M2\">\u0000 <mi>O</mi>\u0000 <mfenced open=\"(\" close=\")\" separators=\"|\">\u0000 <mrow>\u0000 <msup>\u0000 <mrow>\u0000 <mi>n</mi>\u0000 </mrow>\u0000 <mrow>\u0000 <mrow>\u0000 <mrow>\u0000 <mo>−</mo>\u0000 <mn>1</mn>\u0000 </mrow>\u0000 <mo>/</mo>\u0000 <mn>2</mn>\u0000 </mrow>\u0000 </mrow>\u0000 </msup>\u0000 </mrow>\u0000 </mfenced>\u0000 </math>\u0000 </jats:inline-formula> distributional accuracy. Using an example, we show how discordant confidence interval results can be depending on the methodology used. We are able to demonstrate the accuracy of our proposed method through simulation studies.</jats:p>","PeriodicalId":44760,"journal":{"name":"Journal of Probability and Statistics","volume":" ","pages":""},"PeriodicalIF":1.1,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1155/2020/6751574","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45735295","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}