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Statistics and Its Interface最新文献

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Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India 特定国家宏观风险变量对黄金期货合约及其资产类别地位的影响分析:来自印度的证据
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii697
Rupel Nargunam, William W. S. Wei, N. Anuradha
{"title":"Analyses of the impact of country specific macro risk variables on gold futures contract and its position as an asset class: evidence from India","authors":"Rupel Nargunam, William W. S. Wei, N. Anuradha","doi":"10.4310/21-sii697","DOIUrl":"https://doi.org/10.4310/21-sii697","url":null,"abstract":"This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the influence of these inter-related macro economic variables on a financial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71151421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Study of automatic choice of parameters for forecasting in singular spectrum analysis 奇异谱分析中预测参数的自动选择研究
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii707
Safia Al-Marhoobi, A. Pepelyshev
{"title":"Study of automatic choice of parameters for forecasting in singular spectrum analysis","authors":"Safia Al-Marhoobi, A. Pepelyshev","doi":"10.4310/21-sii707","DOIUrl":"https://doi.org/10.4310/21-sii707","url":null,"abstract":"Singular spectrum analysis (SSA) is a popular tool for analysing and forecasting time series. The SSA forecasting algorithms have two parameters which should be chosen by the researcher or using the so-called automatic choice based on the root mean squared errors (RMSE) of retrospective forecasts. We study the sensitivity of the RMSE and inves-tigate the reliability of the automatic choice of parameters for forecasting monthly temperature and humidity recorded at three meteorological stations in Oman.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71151652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A pairwise pseudo-likelihood approach for the additive hazards model with left-truncated and interval-censored data 具有左截距和区间截距数据的加性风险模型的两两伪似然方法
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii743
Peijie Wang, Yichen Lou, Jianguo Sun
{"title":"A pairwise pseudo-likelihood approach for the additive hazards model with left-truncated and interval-censored data","authors":"Peijie Wang, Yichen Lou, Jianguo Sun","doi":"10.4310/22-sii743","DOIUrl":"https://doi.org/10.4310/22-sii743","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152553","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Confidence in the treatment decision for an individual patient: strategies for sequential assessment. 对个体患者治疗决定的信心：顺序评估策略。
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 Epub Date: 2023-04-14 DOI: 10.4310/22-sii737
Nina Orwitz, Thaddeus Tarpey, Eva Petkova
{"title":"Confidence in the treatment decision for an individual patient: strategies for sequential assessment.","authors":"Nina Orwitz, Thaddeus Tarpey, Eva Petkova","doi":"10.4310/22-sii737","DOIUrl":"10.4310/22-sii737","url":null,"abstract":"<p><p>Evolving medical technologies have motivated the development of treatment decision rules (TDRs) that incorporate complex, costly data (e.g., imaging). In clinical practice, we aim for TDRs to be valuable by reducing unnecessary testing while still identifying the best possible treatment for a patient. Regardless of how well any TDR performs in the target population, there is an associated degree of uncertainty about its optimality for a specific patient. In this paper, we aim to quantify, via a confidence measure, the uncertainty in a TDR as patient data from sequential procedures accumulate in real-time. We first propose estimating confidence using the distance of a patient's vector of covariates to a treatment decision boundary, with further distances corresponding to higher certainty. We further propose measuring confidence through the conditional probabilities of ultimately (with all possible information available) being assigned a particular treatment, given that the same treatment is assigned with the patient's currently available data or given the treatment recommendation made using only the currently available patient data. As patient data accumulate, the treatment decision is updated and confidence reassessed until a sufficiently high confidence level is achieved. We present results from simulation studies and illustrate the methods using a motivating example from a depression clinical trial. Recommendations for practical use of the measures are proposed.</p>","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10238081/pdf/nihms-1895097.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9575344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
AutoSpec: detection of narrowband frequency changes in time series AutoSpec:检测窄带频率变化的时间序列
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii703
D. Stoffer
{"title":"AutoSpec: detection of narrowband frequency changes in time series","authors":"D. Stoffer","doi":"10.4310/21-sii703","DOIUrl":"https://doi.org/10.4310/21-sii703","url":null,"abstract":"Most established techniques that search for structural breaks in time series have a difficult time identifying small changes in the process, especially when looking for narrowband frequency changes. The problem is that many of the techniques assume very smooth local spectra and tend to produce overly smooth estimates. The problem of over-smoothing tends to produce spectral estimates that miss slight frequency changes because frequencies that are close together will be lumped into one frequency. The goal of this work is to develop techniques that concentrate on detecting slight frequency changes by requiring a high degree of resolution in the frequency domain.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71151179","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing attributable effects hypotheses with an application to the Oregon Health Insurance Experiment 基于俄勒冈健康保险实验的归因效应假设检验
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii724
M. Fredrickson, Yuguo Chen
{"title":"Testing attributable effects hypotheses with an application to the Oregon Health Insurance Experiment","authors":"M. Fredrickson, Yuguo Chen","doi":"10.4310/22-sii724","DOIUrl":"https://doi.org/10.4310/22-sii724","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations 具有可能无限方差创新的自回归移动平均模型的经验似然组合检验
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii761
Xiaohui Liu, Donghui Fan, Xu Zhang, C. Liu
{"title":"Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations","authors":"Xiaohui Liu, Donghui Fan, Xu Zhang, C. Liu","doi":"10.4310/22-sii761","DOIUrl":"https://doi.org/10.4310/22-sii761","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing threshold effect in single-index models 检验单指标模型的阈值效应
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii694
Zhaoxing Gao, Zichuan Mi, S. Ling
{"title":"Testing threshold effect in single-index models","authors":"Zhaoxing Gao, Zichuan Mi, S. Ling","doi":"10.4310/21-sii694","DOIUrl":"https://doi.org/10.4310/21-sii694","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71150962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots 纯单位根非平稳向量自回归时间序列模型的最小绝对偏差估计
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii721
Yao Zheng, Jianhong Wu, W. Li, Guodong Li
{"title":"Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots","authors":"Yao Zheng, Jianhong Wu, W. Li, Guodong Li","doi":"10.4310/21-sii721","DOIUrl":"https://doi.org/10.4310/21-sii721","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On dual-asymmetry linear double AR models 关于双不对称线性双AR模型
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii691
Song-ning Tan, Qianqian Zhu
{"title":"On dual-asymmetry linear double AR models","authors":"Song-ning Tan, Qianqian Zhu","doi":"10.4310/21-sii691","DOIUrl":"https://doi.org/10.4310/21-sii691","url":null,"abstract":"This paper introduces a dual-asymmetry linear double autoregressive (DA-LDAR) model that can allow for asymmetric effects in both the conditional location and volatility components of time series data. The strict stationarity is discussed for the new model, for which a sufficient condition is established. A self-weighted exponential quasi-maximum likelihood estimator (EQMLE) is proposed for the DA-LDAR model, and a mixed portmanteau test for goodness-of-fit is constructed based on the self-weighted EQMLE. It is noteworthy that all the asymptotic properties for estimation and testing are established without any moment condition on the data process, which makes the new model and its inference tools applicable for heavy-tailed data. Since all inference tools need to estimate the unknown density function of innovations, we employ a random-weighting bootstrap method to facilitate accurate inference and show its asymptotic validity. Simulation studies provide support for theoretical results, and an empirical application to NASDAQ Composite Index illustrates the usefulness of the new model.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71150719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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