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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":"1 1","pages":""},"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
Fine-tuned sensitivity analysis for non-ignorable missing data mechanism in linear regression models 线性回归模型中不可忽略缺失数据机制的微调灵敏度分析
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii748
Rong Zhu, P. Yin, J. Shi
{"title":"Fine-tuned sensitivity analysis for non-ignorable missing data mechanism in linear regression models","authors":"Rong Zhu, P. Yin, J. Shi","doi":"10.4310/22-sii748","DOIUrl":"https://doi.org/10.4310/22-sii748","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152717","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
Multivariate frailty models using survey weights with applications to twins infant mortality in Ethiopia 使用调查权重的多变量脆弱性模型与埃塞俄比亚双胞胎婴儿死亡率的应用
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii738
Yehenew G. Kifle, D. Chen, Mesfin Haileyesus
{"title":"Multivariate frailty models using survey weights with applications to twins infant mortality in Ethiopia","authors":"Yehenew G. Kifle, D. Chen, Mesfin Haileyesus","doi":"10.4310/22-sii738","DOIUrl":"https://doi.org/10.4310/22-sii738","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152782","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: 1
Generalized Gaussian time series model for increments of EEG data 脑电数据增量的广义高斯时间序列模型
4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/sii.2023.v16.n1.a2
Nikolai N. Leonenko, Zeljka Salinger, Alla Sikorskii, Nenad Suvak, Michael Boivin
{"title":"Generalized Gaussian time series model for increments of EEG data","authors":"Nikolai N. Leonenko, Zeljka Salinger, Alla Sikorskii, Nenad Suvak, Michael Boivin","doi":"10.4310/sii.2023.v16.n1.a2","DOIUrl":"https://doi.org/10.4310/sii.2023.v16.n1.a2","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134955522","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: 1
The elliptical Ornstein–Uhlenbeck process 椭圆Ornstein-Uhlenbeck过程
4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/sii.2023.v16.n1.a11
Adam Sykulski, Sofia Charlotta Olhede, Hanna Sykulska-Lawrence
{"title":"The elliptical Ornstein–Uhlenbeck process","authors":"Adam Sykulski, Sofia Charlotta Olhede, Hanna Sykulska-Lawrence","doi":"10.4310/sii.2023.v16.n1.a11","DOIUrl":"https://doi.org/10.4310/sii.2023.v16.n1.a11","url":null,"abstract":"We introduce the elliptical Ornstein-Uhlenbeck (OU) process, which is a generalisation of the well-known univariate OU process to bivariate time series. This process maps out elliptical stochastic oscillations over time in the complex plane, which are observed in many applications of coupled bivariate time series. The appeal of the model is that elliptical oscillations are generated using one simple first order SDE, whereas alternative models require more complicated vectorised or higher order SDE representations. The second useful feature is that parameter estimation can be performed robustly in the frequency domain using only the modelled and observed power spectral density, without having to model and compute cross spectra of individual time series components. We determine properties of the model including the conditions for stationarity, and the geometrical structure of the elliptical oscillations. We demonstrate the utility of the model by measuring periodic and elliptical properties of Earth's polar motion.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135784459","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
Robust conditional spectral analysis of replicated time series 复制时间序列的鲁棒条件谱分析
4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/sii.2023.v16.n1.a7
Zeda Li
{"title":"Robust conditional spectral analysis of replicated time series","authors":"Zeda Li","doi":"10.4310/sii.2023.v16.n1.a7","DOIUrl":"https://doi.org/10.4310/sii.2023.v16.n1.a7","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134955523","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: 1
Quantile recurrent forecasting in singular spectrum analysis for stock price monitoring 股票价格监测奇异谱分析的分位数循环预测
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/21-sii720
Atikur R. Khan, Hossein Hassani
{"title":"Quantile recurrent forecasting in singular spectrum analysis for stock price monitoring","authors":"Atikur R. Khan, Hossein Hassani","doi":"10.4310/21-sii720","DOIUrl":"https://doi.org/10.4310/21-sii720","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152097","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 default Bayesian multiple comparison of two binomial proportions 两个二项式比例的默认贝叶斯倍数比较
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii740
E. Gecili, S. Sivaganesan
{"title":"A default Bayesian multiple comparison of two binomial proportions","authors":"E. Gecili, S. Sivaganesan","doi":"10.4310/22-sii740","DOIUrl":"https://doi.org/10.4310/22-sii740","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152975","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
Modeling water table depth using singular spectrum analysis 利用奇异谱分析模拟地下水位深度
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii734
R. Mahmoudvand, M. Barati, A. Seif, Sahar Ranjbaran, Paulo Canas Rodrigues
{"title":"Modeling water table depth using singular spectrum analysis","authors":"R. Mahmoudvand, M. Barati, A. Seif, Sahar Ranjbaran, Paulo Canas Rodrigues","doi":"10.4310/22-sii734","DOIUrl":"https://doi.org/10.4310/22-sii734","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152765","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 semi-supervised density peaks clustering algorithm 一种半监督密度峰聚类算法
IF 0.8 4区 数学
Statistics and Its Interface Pub Date : 2023-01-01 DOI: 10.4310/22-sii725
Yuanyuan Wang, Bingyi Jing
{"title":"A semi-supervised density peaks clustering algorithm","authors":"Yuanyuan Wang, Bingyi Jing","doi":"10.4310/22-sii725","DOIUrl":"https://doi.org/10.4310/22-sii725","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152071","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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