Analysis of the performance of test statistics for detection of outliers (additive, innovative, transient, and level shift) in AR (1) processes

2016 ◽  
Vol 46 (2) ◽  
pp. 948-979 ◽  
Author(s):  
Amena Urooj ◽  
Zahid Asghar
Keyword(s):  
Level Shift ◽  
Test Statistics ◽  
Detection Of Outliers

scholarly journals Detection of Outliers in Panel Data of Intervention Effects Model Based on Variance of Remainder Disturbance

2015 ◽  
Vol 2015 ◽  
pp. 1-12
Author(s):  
Yanfang Lyu
Keyword(s):  
Panel Data ◽  
Fixed Effects ◽  
General Type ◽  
Parameter Estimates ◽  
Panel Data Models ◽  
Test Statistics ◽  
Intervention Effects ◽  
Random Effects Models ◽  
Lm Test ◽  
Detection Of Outliers

The presence of outliers can result in seriously biased parameter estimates. In order to detect outliers in panel data models, this paper presents a modeling method to assess the intervention effects based on the variance of remainder disturbance using an arbitrary strictly positive twice continuously differentiable function. This paper also provides a Lagrange Multiplier (LM) approach to detect and identify a general type of outlier. Furthermore, fixed effects models and random effects models are discussed to identify outliers and the corresponding LM test statistics are given. The LM test statistics for an individual-based model to detect outliers are given as a particular case. Finally, this paper performs an application using panel data and explains the advantages of the proposed method.

Evaluation of credit portfolio models: test statistics for density-based tests

2010 ◽  
Vol 13 (2) ◽  
pp. 3-21
Author(s):  
Kilian Plank ◽  
Roland Walter
Keyword(s):  
Test Statistics ◽  
Credit Portfolio

scholarly journals Goodness-of-Fit Tests for Bivariate Time Series of Counts

Econometrics ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 10
Author(s):  
Šárka Hudecová ◽  
Marie Hušková ◽  
Simos G. Meintanis
Keyword(s):  
Goodness Of Fit ◽  
Probability Generating Function ◽  
Parametric Bootstrap ◽  
Real Data ◽  
Data Sets ◽  
Test Statistics ◽  
Finite Sample ◽  
Generalized Poisson ◽  
Goodness Of Fit Tests ◽  
Monte Carlo Experiments

This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one being entirely nonparametric and the second one being semiparametric computed under the corresponding null hypothesis. The asymptotic distribution of the proposed tests statistics both under the null hypotheses as well as under alternatives is derived and consistency is proved. The case of testing bivariate generalized Poisson autoregression and extension of the methods to dimension higher than two are also discussed. The finite-sample performance of a parametric bootstrap version of the tests is illustrated via a series of Monte Carlo experiments. The article concludes with applications on real data sets and discussion.

scholarly journals Effects of kinship correction on inflation of genetic interaction statistics in commonly used mouse populations

2021 ◽  
Author(s):  
Anna L Tyler ◽  
Baha El Kassaby ◽  
Georgi Kolishovski ◽  
Jake Emerson ◽  
Ann E Wells ◽  
...  
Keyword(s):  
Mixed Model ◽  
Linear Mixed Model ◽  
Genetic Interaction ◽  
Recombinant Inbred Lines ◽  
Test Statistics ◽  
Test Statistic ◽  
Kinship Matrix ◽  
Main Effect ◽  
Main Effects ◽  
Interaction Test

Abstract It is well understood that variation in relatedness among individuals, or kinship, can lead to false genetic associations. Multiple methods have been developed to adjust for kinship while maintaining power to detect true associations. However, relatively unstudied, are the effects of kinship on genetic interaction test statistics. Here we performed a survey of kinship effects on studies of six commonly used mouse populations. We measured inflation of main effect test statistics, genetic interaction test statistics, and interaction test statistics reparametrized by the Combined Analysis of Pleiotropy and Epistasis (CAPE). We also performed linear mixed model (LMM) kinship corrections using two types of kinship matrix: an overall kinship matrix calculated from the full set of genotyped markers, and a reduced kinship matrix, which left out markers on the chromosome(s) being tested. We found that test statistic inflation varied across populations and was driven largely by linkage disequilibrium. In contrast, there was no observable inflation in the genetic interaction test statistics. CAPE statistics were inflated at a level in between that of the main effects and the interaction effects. The overall kinship matrix overcorrected the inflation of main effect statistics relative to the reduced kinship matrix. The two types of kinship matrices had similar effects on the interaction statistics and CAPE statistics, although the overall kinship matrix trended toward a more severe correction. In conclusion, we recommend using a LMM kinship correction for both main effects and genetic interactions and further recommend that the kinship matrix be calculated from a reduced set of markers in which the chromosomes being tested are omitted from the calculation. This is particularly important in populations with substantial population structure, such as recombinant inbred lines in which genomic replicates are used.

Multiple structural breaks in cointegrating regressions: a model selection approach

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Alexander Schmidt ◽  
Karsten Schweikert
Keyword(s):  
Structural Breaks ◽  
Penalized Regression ◽  
Adaptive Lasso ◽  
Test Statistics ◽  
New Approach ◽  
Multiple Structural Breaks ◽  
Long Run ◽  
Model Selection Approach ◽  
Regression Techniques ◽  
Lasso Estimator

Abstract In this paper, we propose a new approach to model structural change in cointegrating regressions using penalized regression techniques. First, we consider a setting with known breakpoint candidates and show that a modified adaptive lasso estimator can consistently estimate structural breaks in the intercept and slope coefficient of a cointegrating regression. Second, we extend our approach to a diverging number of breakpoint candidates and provide simulation evidence that timing and magnitude of structural breaks are consistently estimated. Third, we use the adaptive lasso estimation to design new tests for cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the effects of structural breaks on the long-run PPP relationship.

Smoothed Quantiles for χ 2 Type Test Statistics with Applications

2021 ◽  
pp. 1-30
Author(s):  
Ke-Hai Yuan ◽  
Brenna Gomer ◽  
Katerina M. Marcoulides
Keyword(s):  
Test Statistics ◽  
Type Test

scholarly journals Assessing the Response of Snow Avalanche Runout Altitudes to Climate Fluctuations Using Hierarchical Modeling: Application to 61 Winters of Data in France

2010 ◽  
Vol 23 (12) ◽  
pp. 3157-3180 ◽  
Author(s):  
N. Eckert ◽  
H. Baya ◽  
M. Deschatres
Keyword(s):  
Climate Change ◽  
Large Scale ◽  
Hierarchical Modeling ◽  
Control Measures ◽  
Level Shift ◽  
Snow Avalanches ◽  
Winter Climate ◽  
Climate Fluctuations ◽  
High Magnitude ◽  
Proposed Model

Abstract Snow avalanches are natural hazards strongly controlled by the mountain winter climate, but their recent response to climate change has thus far been poorly documented. In this paper, hierarchical modeling is used to obtain robust indexes of the annual fluctuations of runout altitudes. The proposed model includes a possible level shift, and distinguishes common large-scale signals in both mean- and high-magnitude events from the interannual variability. Application to the data available in France over the last 61 winters shows that the mean runout altitude is not different now than it was 60 yr ago, but that snow avalanches have been retreating since 1977. This trend is of particular note for high-magnitude events, which have seen their probability rates halved, a crucial result in terms of hazard assessment. Avalanche control measures, observation errors, and model limitations are insufficient explanations for these trends. On the other hand, strong similarities in the pattern of behavior of the proposed runout indexes and several climate datasets are shown, as well as a consistent evolution of the preferred flow regime. The proposed runout indexes may therefore be usable as indicators of climate change at high altitudes.

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