Search results for "Econometric"

Bivariate Distributed Lag Models for the analysis of temperature-by-pollutant interaction effect on mortality.

2007

This paper introduces Bivariate Distributed Lags Models (BDLMs) to investigate synergic effect of temperature and airborne particles on mortality. These models seem particulary attractive since they allow to model interactions between such environmental variables accounting for possible delayed effects. A B-spline framework is used to approximate the coefficient surface of the temperature-by-pollutant interaction and possible alternatives are also discussed. A case study of mortality time-series data in Palermo, Italy, is presented to illustrate the model. Copyright © 2007 John Wiley & Sons, Ltd.

Exploring regression structure with graphics

1993

We investigate the extent to which it may be possible to carry out a regression analysis using graphics alone, an idea that we refer to asgraphical regression. The limitations of this idea are explored. It is shown that graphical regression is theoretically possible with essentially no constraints on the conditional distribution of the response given the predictors, but with some conditions on marginal distribution of the predictors. Dimension reduction subspaces and added variable plots play a central role in the development. The possibility of useful methodology is explored through two examples.

Ancestral processes in population genetics-the coalescent.

2000

A special stochastic process, called the coalescent, is of fundamental interest in population genetics. For a large class of population models this process is the appropriate tool to analyse the ancestral structure of a sample of n individuals or genes, if the total number of individuals in the population is sufficiently large. A corresponding convergence theorem was first proved by Kingman in 1982 for the Wright-Fisher model and the Moran model. Generalizations to a large class of exchangeable population models and to models with overlying mutation processes followed shortly later. One speaks of the "robustness of the coalescent, as this process appears in many models as the total populati…

Statistical inference as a decision problem: the choice of sample size

1997

The adaptive nature of liquidity taking in limit order books

2014

In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…

Bayesian hierarchical models in manufacturing bulk service queues

2006

In this paper, Queueing Theory and Bayesian statistical tools are used to analyze the congestion of various manufacturing bulk service queues with the same characteristics that are working independently of one another and in equilibrium. Hierarchical models are discussed in order to develop the whole inferential process for the parameters governing the system. Markov Chain Monte Carlo methods and numerical inversion of transforms are addressed to compute the posterior predictive distributions of the usual measures of performance in practice.

Performance of adaptive sample size adjustment with respect to stopping criteria and time of interim analysis

2006

The benefit of adjusting the sample size in clinical trials on the basis of treatment effects observed in interim analysis has been the subject of several recent papers. Different conclusions were drawn about the usefulness of this approach for gaining power or saving sample size, because of differences in trial design and setting. We examined the benefit of sample size adjustment in relation to trial design parameters such as 'time of interim analysis' and 'choice of stopping criteria'. We compared the adaptive weighted inverse normal method with classical group sequential methods for the most common and for optimal stopping criteria in early, half-time and late interim analyses. We found …

Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector

2004

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.

Inferential tools in penalized logistic regression for small and sparse data: A comparative study.

2016

This paper focuses on inferential tools in the logistic regression model fitted by the Firth penalized likelihood. In this context, the Likelihood Ratio statistic is often reported to be the preferred choice as compared to the ‘traditional’ Wald statistic. In this work, we consider and discuss a wider range of test statistics, including the robust Wald, the Score, and the recently proposed Gradient statistic. We compare all these asymptotically equivalent statistics in terms of interval estimation and hypothesis testing via simulation experiments and analyses of two real datasets. We find out that the Likelihood Ratio statistic does not appear the best inferential device in the Firth penal…

The 1970 US Draft Lottery Revisited: A Spatial Analysis

2004

Summary We revise the result of the 1970 selective service draft lottery in the USA following an open question that was suggested by Fienberg in a paper published in Science in 1971. The result of the drawings can be viewed as a particular spatial pattern which can be analysed by using general spatial tools adapted to our context. Approaches for assessing the complete spatial randomness for this spatial process on a finite support are proposed. More specifically, these approaches involve the number of events in a square window and a k(r)-based function used to analyse stationary spatial point processes.