Using Bayesian Kriging for spatial smoothing of trends in non-normal yield densities

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bart Niyibizi ◽  
B. Wade Brorsen ◽  
Eunchun Park
Keyword(s):  
Location Parameter ◽  
Estimation Procedure ◽  
Spatial Process ◽  
Content Type ◽  
Bayesian Kriging ◽  
Spatially Correlated ◽  
Multiple Parameters ◽  
Varying Coefficients ◽  
Gaussian Spatial Process ◽  
Stage Estimation

PurposeThe purpose of this paper is to estimate crop yield densities considering time trends in the first three moments and spatially varying coefficients.Design/methodology/approachYield density parameters are assumed to be spatially correlated, through a Gaussian spatial process. This study spatially smooth multiple parameters using Bayesian Kriging.FindingsAssuming that county yields follow skew normal distributions, the location parameter increased faster in the eastern and northwestern counties of Iowa, while the scale increased faster in southern counties and the shape parameter increased more (implying less left skewness) in southwestern counties. Over time, the mean has increased sharply, while the variance and left skewness increased modestly.Originality/valueBayesian Kriging can smooth time-varying yield distributions, handle unbalanced panel data and provide estimates when data are missing. Most past models used a two-stage estimation procedure, while our procedure estimates parameters jointly.

Speeding up estimation of the Hurst exponent by a two-stage procedure from a large to small range

2017 ◽  
Vol 34 (1) ◽  
pp. 3-17 ◽  
Author(s):  
Yen-Ching Chang
Keyword(s):  
Discrete Time ◽  
Hurst Exponent ◽  
Estimation Procedure ◽  
Computational Time ◽  
Small Range ◽  
Two Stage ◽  
Content Type ◽  
Computational Performance ◽  
The Difference ◽  
Stage Estimation

Purpose The Hurst exponent has been very important in telling the difference between fractal signals and explaining their significance. For estimators of the Hurst exponent, accuracy and efficiency are two inevitable considerations. The main purpose of this study is to raise the execution efficiency of the existing estimators, especially the fast maximum likelihood estimator (MLE), which has optimal accuracy. Design/methodology/approach A two-stage procedure combining a quicker method and a more accurate one to estimate the Hurst exponent from a large to small range will be developed. For the best possible accuracy, the data-induction method is currently ideal for the first-stage estimator and the fast MLE is the best candidate for the second-stage estimator. Findings For signals modeled as discrete-time fractional Gaussian noise, the proposed two-stage estimator can save up to 41.18 per cent the computational time of the fast MLE while remaining almost as accurate as the fast MLE, and even for signals modeled as discrete-time fractional Brownian motion, it can also save about 35.29 per cent except for smaller data sizes. Originality/value The proposed two-stage estimation procedure is a novel idea. It can be expected that other fields of parameter estimation can apply the concept of the two-stage estimation procedure to raise computational performance while remaining almost as accurate as the more accurate of two estimators.

The consequences of audit committee quality

2018 ◽  
Vol 33 (2) ◽  
pp. 192-216 ◽  
Author(s):  
Yu-Chun Lin
Keyword(s):  
Audit Committee ◽  
Estimation Procedure ◽  
Audit Fees ◽  
Economic Incentives ◽  
Audit Committees ◽  
Content Type ◽  
Big 4 ◽  
Auditor Switches ◽  
Stage Estimation

Purpose This study aims to examine the consequences when audit committees have different economic incentives (i.e. incentive-based compensation) to switch auditors. Design/methodology/approach The author focuses on companies experiencing an auditor switching event (client-initiated dismissals) and uses Heckman’s (1997) two-stage estimation procedure to control endogenous bias. Audit committee quality is measured by the level of incentive-based compensation. Accrual quality and abnormal audit fees are examined over the periods of auditor switches. Findings Using 1,087 US companies between 2006 and 2014, the author found that audit committees’ incentive-based compensation is negatively (positively) associated with accruals quality (abnormal audit fees) only when companies switch from Big 4 to non-Big 4 auditors or switch within non-Big 4 auditors. For companies that switch from non-Big 4 to Big 4 auditors, she found no evidence. Research limitations/implications This study provides a detailed discussion of the consequences of audit committee quality. The findings also contribute to the literature by concluding that economic incentives are associated with ineffective oversight, particularly after auditor switches. Practical implications Sarbanes–Oxley Act and its associated regulations significantly expanded the oversight role of audit committees. However, regulators bypassed restrictions on audit committee compensation. Accordingly, the author suggests that regulators focus on the issue of economic incentives to improve audit committee quality. Originality/value Minimal research has been conducted on the role of audit committees when companies switch to a new external auditor. The author shows that when companies switch auditors, incentive-based compensation significantly affects the monitoring quality of audit committees.

Volatility, trading volume and open interest in futures markets

2016 ◽  
Vol 12 (5) ◽  
pp. 629-653 ◽  
Author(s):  
Christos Floros ◽  
Enrique Salvador
Keyword(s):  
Interest Rates ◽  
Trading Volume ◽  
Futures Markets ◽  
Empirical Relation ◽  
Impulse Response Functions ◽  
Open Interest ◽  
Content Type ◽  
Daily Data ◽  
Relevant Role ◽  
Stage Estimation

Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in the behaviour of futures prices. Design/methodology/approach The sample includes daily data covering the period 1996-2014 from 36 international futures markets (including currencies, commodities, stock indices, interest rates and bonds). The authors employ a two-stage estimation methodology: first, the authors employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open interest. To quantify the percentage of volatility that is caused by liquidity variables, the authors also regress the estimated volatilities on the measures of open interest and trading volume. Findings The authors find that: market depth has an effect on the volatility of futures markets but the direction of this effect depends on the type of contract, and there is evidence of a positive contemporaneous relationship between trading volume and futures volatility for all futures contracts. Impulse-response functions also show that trading volume has a more relevant role in explaining market volatility than open interest. Practical implications These results are recommended to financial managers and analysts dealing with futures markets. Originality/value To the best of the authors’ knowledge, no study has yet considered a complete database of futures markets to investigate the empirical relation between price changes (volatility), trading volume and open interest in futures markets.

scholarly journals Architectural marketing capabilities of exporting ventures

2019 ◽  
Vol 36 (6) ◽  
pp. 1026-1041 ◽  
Author(s):  
Vasilis Theoharakis ◽  
Yannis Angelis ◽  
Georgios Batsakis
Keyword(s):  
Financial Performance ◽  
Market Orientation ◽  
Export Performance ◽  
Likelihood Estimation ◽  
Estimation Procedure ◽  
Marketing Capabilities ◽  
Content Type ◽  
Foreign Distributor ◽  
The Impact

Purpose The importance of architectural marketing capabilities (i.e. marketing planning and implementation) in exporting ventures has been recognised. However, extant literature has not taken into account the explicit roles and required synergy between the exporter and their foreign distributor in delivering these capabilities. Drawing from the resource-based theory, the purpose of this paper is to examine the complementarity of distributor implementation capability and market orientation with exporter planning capability. Design/methodology/approach The study was carried out using a survey. Data were collected from 147 Greek exporters who replied to our questionnaire and the hypotheses were tested using the full information maximum likelihood estimation procedure. Findings The results support the hypotheses about the importance of exporter planning capability on financial performance and the complementary role of distributor market orientation. Further, the authors find that the distributor’s implementation capability partially mediates the impact of the exporter’s planning capability on financial performance. Originality/value This study contributes to a better understanding about the complementarity of exporter and distributor capabilities. It demonstrates the crucial role of the distributor in the deployment of architectural capabilities for the export venture: the distributor’s market orientation and implementation capability have the final say in achieving higher levels of export performance.

Labour supply behaviour of married women in Toronto

2016 ◽  
Vol 43 (3) ◽  
pp. 418-431 ◽  
Author(s):  
Wasanthi Thenuwara ◽  
Bryan Morgan
Keyword(s):  
Labour Supply ◽  
Labour Force ◽  
Estimation Procedure ◽  
Married Women ◽  
Least Square ◽  
Step Method ◽  
Content Type ◽  
Supply Elasticity ◽  
Using Data ◽  
The Unemployed

Purpose – The purpose of this paper is to investigate the connection between labour supply and the wages of married women of different ages in Toronto using data from the 2010 Labour Force Survey of Canada. Design/methodology/approach – The authors employ three econometric techniques, ordinary least square, 2 stage least square and the Heckman two-step method to estimate the supply elasticities. The first two focus on the wage rate and hours conditional on the subjects being employed whereas the third method controls for sample selectivity bias by including the unemployed. Bootstrap test statistics are produced when the normality assumption for the error terms is found to be violated. Findings – The aggregate labour supply elasticity for married women in Toronto is estimated to be 0.053 which similar to value found for Canada for a whole in a previous study even though Toronto is much more diverse culturally than average. The labour supply elasticities for 25-34 year old and 35-44 year old married are estimated to be 0.108 and 0.079, respectively. The supply elasticity for married women aged 45-59 is not significantly different from 0. Originality/value – The paper shows that younger married women in Toronto are more responsive to an increase in wages than older women. The estimation procedure and the testing of the significance of coefficients are more rigorous than previous studies.

scholarly journals A Bead-Based Flow Cytometric Assay for MonitoringYersinia pestisExposure in Wildlife

2018 ◽  
Vol 56 (7) ◽  
Author(s):  
Jeffrey C. Chandler ◽  
Laurie A. Baeten ◽  
Doreen L. Griffin ◽  
Thomas Gidlewski ◽  
Thomas J. DeLiberto ◽  
...  
Keyword(s):  
Analytical Sensitivity ◽  
Flow Cytometric Assay ◽  
Passive Hemagglutination ◽  
Content Type ◽  
Spatially Correlated ◽  
Flow Cytometric ◽  
Standard Tool ◽  
Specific Igg ◽  
Species Specific

ABSTRACTYersinia pestisis the causative agent of plague and is considered a category A priority pathogen due to its potential for high transmissibility and the significant morbidity and mortality it causes in humans.Y. pestisis endemic to the western United States and much of the world, necessitating programs to monitor for this pathogen on the landscape. Elevated human risk of plague infection has been spatially correlated with spikes in seropositive wildlife numbers, particularly rodent-eating carnivores, which are frequently in contact with the enzootic hosts and the associated arthropod vectors ofY. pestis. In this study, we describe a semiautomated bead-based flow cytometric assay developed for plague monitoring in wildlife called the F1 Luminex plague assay (F1-LPA). Based upon Luminex/Bio-Plex technology, the F1-LPA targets serological responses to the F1 capsular antigen ofY. pestisand was optimized to analyze antibodies eluted from wildlife blood samples preserved on Nobuto filter paper strips. In comparative evaluations with passive hemagglutination, the gold standard tool for wildlife plague serodiagnosis, the F1-LPA demonstrated as much as 64× improvement in analytical sensitivity for F1-specific IgG detection and allowed for unambiguous classification of IgG status. The functionality of the F1-LPA was demonstrated for coyotes and other canids, which are the primary sentinels in wildlife plague monitoring, as well as felids and raccoons. Additionally, assay formats that do not require species-specific immunological reagents, which are not routinely available for several wildlife species used in plague monitoring, were determined to be functional in the F1-LPA.

State regulation versus co-management: evidence from the Cochin Estuarine Fisheries in India

2005 ◽  
Vol 10 (1) ◽  
pp. 97-117 ◽  
Author(s):  
JEENA T. SRINIVASAN
Keyword(s):  
Property Rights ◽  
Critical Mass ◽  
Estimation Procedure ◽  
State Regulation ◽  
The State ◽  
Logit Analysis ◽  
User Characteristics ◽  
Alternative Analysis ◽  
Resource Characteristics ◽  
Stage Estimation

This paper examines the property rights of the Cochin estuarine fisheries in India, which in spite of having well-defined access and conservation rules imposed by the state, have failed to ensure proper resource management. Considering the resource characteristics and the causes for state's failure, co-management, which requires a redefinition of management functions by state as well as users, has been proposed as an alternative. Analysis of user characteristics, using the two-stage estimation procedure, throws policy signals that under co-management the state can strengthen the licensing system to restrict access to fishing and to impart awareness regarding conservation rules. The logit analysis on users' role indicates that, although certain types of heterogeneities contribute towards the critical mass needed for a collective action, the distributional implications may lead at least some to oppose co-management. This implies that, even if users initially get to agree to co-operate and share any rents from conservation, significant prisoner's dilemma will soon occur returning the resource to its current state, and co-management will have to still grapple with lack of well-defined property rights.

Challenges of insuring weather risk in agriculture

2014 ◽  
Vol 74 (2) ◽  
pp. 188-199 ◽  
Author(s):  
Martin Odening ◽  
Zhiwei Shen
Keyword(s):  
Expert Knowledge ◽  
Insurance Companies ◽  
Weather Data ◽  
Test Procedures ◽  
Content Type ◽  
Spatially Correlated ◽  
Weather Risk ◽  
Loss Distributions ◽  
Weather Risks ◽  
Weather Insurance

Purpose – The purpose of this paper is to review some challenges of insuring weather risk in agriculture and to discuss potential remedies for these problems. Design/methodology/approach – The paper is developed as a narrative on weather insurance based largely on existing literature. Findings – Weather risks show characteristics that often violate classical requirements for insurability. First, some weather risks, particularly slowly emerging weather perils like drought, are spatially correlated and cause systemic risks. Second, climatic change may increase the volatility of weather variables and lead to non-stationary loss distributions, which causes difficulties in actuarial ratemaking. Third, limited availability of yield and weather data hinders the estimation of reliable loss distributions. Practical implications – Some of the approaches discussed in this review, such as time diversification, local test procedures and the augmentation of observational data by expert knowledge, can be useful for crop insurance companies to improve their risk management and product design. Originality/value – This study provides background and development information regarding weather insurance and also presents statistical tools and actuarial methods that support the assessment of weather risks as well as the design of weather and yield insurance products.

An EWMA control chart based on the Wilcoxon rank-sum statistic using repetitive sampling

2018 ◽  
Vol 35 (3) ◽  
pp. 711-728 ◽  
Author(s):  
Jean-Claude Malela-Majika ◽  
Olatunde Adebayo Adeoti ◽  
Eeva Rapoo
Keyword(s):  
Control Chart ◽  
Average Run Length ◽  
Moving Average ◽  
Location Parameter ◽  
Process Mean ◽  
Content Type ◽  
Underlying Process ◽  
Run Length ◽  
Design And Implementation ◽  
Ewma Control Chart

Purpose The purpose of this paper is to develop an exponentially weighted moving average (EWMA) control chart based on the Wilcoxon rank-sum (WRS) statistic using repetitive sampling to improve the sensitivity of the EWMA control chart to process mean shifts regardless of the prior knowledge of the underlying process distribution. Design/methodology/approach The proposed chart is developed without any distributional assumption of the underlying quality process for monitoring the location parameter. The authors developed formulae as well as algorithms to facilitate the design and implementation of the proposed chart. The performance of the proposed chart is investigated in terms of the average run-length, standard deviation of the run-length (RL), average sample size and percentiles of the RL distribution. Numerical examples are given as illustration of the design and implementation of the proposed chart. Findings The proposed control chart presents very attractive RL properties and outperforms the existing nonparametric EWMA control chart based on the WRS in the detection of the mean process shifts in many situations. However, the performance of the proposed chart relatively deteriorates for small phase I sample sizes. Originality/value This study develops a new control chart for monitoring the process mean using a two-sample test regardless of the nature of the underlying process distribution. The proposed control chart does not require any assumption on the type (or nature) of the process distribution. It requires a small number of subgroups in order to reach stability in the phase II performance.

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