scholarly journals A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models

2021 ◽  
Vol 37 (2) ◽  
pp. 367-394
Author(s):  
Tucker McElroy
Keyword(s):  
Moving Average ◽  
Type I ◽  
Simulation Studies ◽  
Arma Models ◽  
Asymptotic Results ◽  
Global Test ◽  
Raw Data ◽  
Polynomial Roots ◽  
Oscillatory Character ◽  
Statistical Agencies

Abstract Methodology for seasonality diagnostics is extremely important for statistical agencies, because such tools are necessary for making decisions whether to seasonally adjust a given series, and whether such an adjustment is adequate. This methodology must be statistical, in order to furnish quantification of Type I and II errors, and also to provide understanding about the requisite assumptions. We connect the concept of seasonality to a mathematical definition regarding the oscillatory character of the moving average (MA) representation coefficients, and define a new seasonality diagnostic based on autoregressive (AR) roots. The diagnostic is able to assess different forms of seasonality: dynamic versus stable, of arbitrary seasonal periods, for both raw data and seasonally adjusted data. An extension of the AR diagnostic to an MA diagnostic allows for the detection of over-adjustment. Joint asymptotic results are provided for the diagnostics as they are applied to multiple seasonal frequencies, allowing for a global test of seasonality. We illustrate the method through simulation studies and several empirical examples.

scholarly journals Posterior Odds Testing for a Unit Root with Data-Based Model Selection

1994 ◽  
Vol 10 (3-4) ◽  
pp. 774-808 ◽  
Author(s):  
Peter C.B. Phillips ◽  
Werner Ploberger
Keyword(s):  
Model Selection ◽  
Unit Root ◽  
Moving Average ◽  
Selection Criterion ◽  
Type I ◽  
Linear Regression Models ◽  
Arma Models ◽  
Posterior Odds ◽  
Empirical Application ◽  
Bayes Model

The Kalman filter is used to derive updating equations for the Bayesian data density in discrete time linear regression models with stochastic regressors. The implied “Bayes model” has time varying parameters and conditionally heterogeneous error variances. A σ-finite Bayes model measure is given and used to produce a new-model-selection criterion (PIC) and objective posterior odds tests for sharp null hypotheses like the presence of a unit root. This extends earlier work by Phillips and Ploberger [18]. Autoregressive-moving average (ARMA) models are considered, and a general test of trend-stationarity versus difference stationarity is developed in ARMA models that allow for automatic order selection of the stochastic regressors and the degree of the deterministic trend. The tests are completely consistent in that both type I and type II errors tend to zero as the sample size tends to infinity. Simulation results and an empirical application are reported. The simulations show that the PIC works very well and is generally superior to the Schwarz BIC criterion, even in stationary systems. Empirical application of our methods to the Nelson-Plosser [11] series show that three series (unemployment, industrial production, and the money stock) are level- or trend-stationary. The other eleven series are found to be stochastically nonstationary.

Smoothing Facilitates the Detection of Coupled Responses in Psychophysiological Time Series

2000 ◽  
Vol 14 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Joni Kettunen ◽  
Niklas Ravaja ◽  
Liisa Keltikangas-Järvinen
Keyword(s):  
Time Series ◽  
Type I Error ◽  
Electrodermal Activity ◽  
Moving Average ◽  
Type I ◽  
Facial Electromyography ◽  
Response Characteristics ◽  
Smoothing Methods ◽  
Response Systems ◽  
Different Response

Abstract We examined the use of smoothing to enhance the detection of response coupling from the activity of different response systems. Three different types of moving average smoothers were applied to both simulated interbeat interval (IBI) and electrodermal activity (EDA) time series and to empirical IBI, EDA, and facial electromyography time series. The results indicated that progressive smoothing increased the efficiency of the detection of response coupling but did not increase the probability of Type I error. The power of the smoothing methods depended on the response characteristics. The benefits and use of the smoothing methods to extract information from psychophysiological time series are discussed.

scholarly journals A comprehensive evaluation of methods for Mendelian randomization using realistic simulations and an analysis of 38 biomarkers for risk of type 2 diabetes

2021 ◽  
Author(s):  
Guanghao Qi ◽  
Nilanjan Chatterjee
Keyword(s):  
Type 2 Diabetes ◽  
Mendelian Randomization ◽  
Association Studies ◽  
Real Data ◽  
Causal Effects ◽  
Type I ◽  
Genome Wide Association Studies ◽  
Simulation Studies ◽  
Sample Sizes

Abstract Background Previous studies have often evaluated methods for Mendelian randomization (MR) analysis based on simulations that do not adequately reflect the data-generating mechanisms in genome-wide association studies (GWAS) and there are often discrepancies in the performance of MR methods in simulations and real data sets. Methods We use a simulation framework that generates data on full GWAS for two traits under a realistic model for effect-size distribution coherent with the heritability, co-heritability and polygenicity typically observed for complex traits. We further use recent data generated from GWAS of 38 biomarkers in the UK Biobank and performed down sampling to investigate trends in estimates of causal effects of these biomarkers on the risk of type 2 diabetes (T2D). Results Simulation studies show that weighted mode and MRMix are the only two methods that maintain the correct type I error rate in a diverse set of scenarios. Between the two methods, MRMix tends to be more powerful for larger GWAS whereas the opposite is true for smaller sample sizes. Among the other methods, random-effect IVW (inverse-variance weighted method), MR-Robust and MR-RAPS (robust adjust profile score) tend to perform best in maintaining a low mean-squared error when the InSIDE assumption is satisfied, but can produce large bias when InSIDE is violated. In real-data analysis, some biomarkers showed major heterogeneity in estimates of their causal effects on the risk of T2D across the different methods and estimates from many methods trended in one direction with increasing sample size with patterns similar to those observed in simulation studies. Conclusion The relative performance of different MR methods depends heavily on the sample sizes of the underlying GWAS, the proportion of valid instruments and the validity of the InSIDE assumption. Down-sampling analysis can be used in large GWAS for the possible detection of bias in the MR methods.

scholarly journals Testing for treatment effect in covariate-adaptive randomized trials with generalized linear models and omitted covariates

2021 ◽  
pp. 096228022110082
Author(s):  
Yang Li ◽  
Wei Ma ◽  
Yichen Qin ◽  
Feifang Hu
Keyword(s):  
Generalized Linear Models ◽  
Treatment Effect ◽  
Linear Models ◽  
Type I Error ◽  
Type I ◽  
Test Statistic ◽  
Asymptotic Results ◽  
Adaptive Randomization ◽  
Adjustment Method ◽  
Inflated Type

Concerns have been expressed over the validity of statistical inference under covariate-adaptive randomization despite the extensive use in clinical trials. In the literature, the inferential properties under covariate-adaptive randomization have been mainly studied for continuous responses; in particular, it is well known that the usual two-sample t-test for treatment effect is typically conservative. This phenomenon of invalid tests has also been found for generalized linear models without adjusting for the covariates and are sometimes more worrisome due to inflated Type I error. The purpose of this study is to examine the unadjusted test for treatment effect under generalized linear models and covariate-adaptive randomization. For a large class of covariate-adaptive randomization methods, we obtain the asymptotic distribution of the test statistic under the null hypothesis and derive the conditions under which the test is conservative, valid, or anti-conservative. Several commonly used generalized linear models, such as logistic regression and Poisson regression, are discussed in detail. An adjustment method is also proposed to achieve a valid size based on the asymptotic results. Numerical studies confirm the theoretical findings and demonstrate the effectiveness of the proposed adjustment method.

scholarly journals REMAXINT: a two-mode clustering-based method for statistical inference on two-way interaction

2021 ◽  
Author(s):  
Zaheer Ahmed ◽  
Alberto Cassese ◽  
Gerard van Breukelen ◽  
Jan Schepers
Keyword(s):  
Null Hypothesis ◽  
Type I Error ◽  
Type I ◽  
The Novel ◽  
Simulation Studies ◽  
Test Statistic ◽  
Clustering Model ◽  
Novel Method ◽  
Main Effects ◽  
Empirical Case Studies

AbstractWe present a novel method, REMAXINT, that captures the gist of two-way interaction in row by column (i.e., two-mode) data, with one observation per cell. REMAXINT is a probabilistic two-mode clustering model that yields two-mode partitions with maximal interaction between row and column clusters. For estimation of the parameters of REMAXINT, we maximize a conditional classification likelihood in which the random row (or column) main effects are conditioned out. For testing the null hypothesis of no interaction between row and column clusters, we propose a $$max-F$$ m a x - F test statistic and discuss its properties. We develop a Monte Carlo approach to obtain its sampling distribution under the null hypothesis. We evaluate the performance of the method through simulation studies. Specifically, for selected values of data size and (true) numbers of clusters, we obtain critical values of the $$max-F$$ m a x - F statistic, determine empirical Type I error rate of the proposed inferential procedure and study its power to reject the null hypothesis. Next, we show that the novel method is useful in a variety of applications by presenting two empirical case studies and end with some concluding remarks.

scholarly journals Assessment of the outbreak risk, mapping and infestation behavior of COVID-19: Application of the autoregressive and moving average (ARMA) and polynomial models

2020 ◽  
Author(s):  
Hamid Reza Pourghasemi ◽  
Soheila Pouyan ◽  
Zakariya Farajzadeh ◽  
Nitheshnirmal Sadhasivam ◽  
Bahram Heidari ◽  
...  
Keyword(s):  
High Risk ◽  
Moving Average ◽  
Maximum Temperature ◽  
Support Vector ◽  
Good Prediction ◽  
Fars Province ◽  
Arma Models ◽  
Degree Polynomial ◽  
The Third ◽  
The World

AbstractInfectious disease outbreaks pose a significant threat to human health worldwide. The outbreak of pandemic coronavirus disease 2019 (COVID-2019) has caused a global health emergency. Identification of regions with high risk for COVID-19 outbreak is a major priority of the governmental organizations and epidemiologists worldwide. The aims of the present study were to analyze the risk factors of coronavirus outbreak and identify areas with a high risk of human infection with virus in Fars Province, Iran. A geographic information system (GIS)-based machine learning algorithm (MLA), support vector machine (SVM), was used for the assessment of the outbreak risk of COVID-19 in Fars Province, Iran. The daily observations of infected cases was tested in the third-degree polynomial and the autoregressive and moving average (ARMA) models to examine the patterns of virus infestation in the province and in Iran. The results of disease outbreak in Iran were compared with the data for Iran and the world. Sixteen effective factors including minimum temperature of coldest month (MTCM), maximum temperature of warmest month (MTWM), precipitation in wettest month (PWM), precipitation of driest month (PDM), distance from roads, distance from mosques, distance from hospitals, distance from fuel stations, human footprint, density of cities, distance from bus stations, distance from banks, distance from bakeries, distance from attraction sites, distance from automated teller machines (ATMs), and density of villages – were selected for spatial modelling. The predictive ability of an SVM model was assessed using the receiver operator characteristic – area under the curve (ROC-AUC) validation technique. The validation outcome reveals that SVM achieved an AUC value of 0.786 (March 20), 0.799 (March 29), and 86.6 (April 10) a good prediction of change detection. The growth rate (GR) average for active cases in Fars for a period of 41 days was 1.26, whilst it was 1.13 in country and the world. The results of the third-degree polynomial and ARMA models revealed an increasing trend for GR with an evidence of turning, demonstrating extensive quarantines has been effective. The general trends of virus infestation in Iran and Fars Province were similar, although an explosive growth of the infected cases is expected in the country. The results of this study might assist better programming COVID-19 disease prevention and control and gaining sorts of predictive capability would have wide-ranging benefits.

scholarly journals Moving translational mass spectrometry imaging towards transparent and reproducible data analyses: A case study of an urothelial cancer cohort analyzed in the Galaxy framework

2021 ◽  
Author(s):  
Melanie Christine Föll ◽  
Veronika Volkmann ◽  
Kathrin Enderle-Ammour ◽  
Konrad Wilhelm ◽  
Dan Guo ◽  
...  
Keyword(s):  
Mass Spectrometry ◽  
Quality Control ◽  
Data Analysis ◽  
Mass Spectrometry Imaging ◽  
Urothelial Cancer ◽  
Type I ◽  
Raw Data ◽  
The Galaxy ◽  
Muscle Invasive ◽  
Reproducible Manner

Background: Mass spectrometry imaging (MSI) derives spatial molecular distribution maps directly from clinical tissue specimens. This allows for spatial characterization of molecular compositions of different tissue types and tumor subtypes, which bears great potential for assisting pathologists with diagnostic decisions or personalized treatments. Unfortunately, progress in translational MSI is often hindered by insufficient quality control and lack of reproducible data analysis. Raw data and analysis scripts are rarely publicly shared. Here, we demonstrate the application of the Galaxy MSI tool set for the reproducible analysis of an urothelial carcinoma dataset. Methods: Tryptic peptides were imaged in a cohort of 39 formalin-fixed, paraffin-embedded human urothelial cancer tissue cores with a MALDI-TOF/TOF device. The complete data analysis was performed in a fully transparent and reproducible manner on the European Galaxy Server. Annotations of tumor and stroma were performed by a pathologist and transferred to the MSI data to allow for supervised classifications of tumor vs. stroma tissue areas as well as for muscle-infiltrating and non-muscle invasive urothelial carcinomas. For putative peptide identifications, m/z features were matched to the MSiMass list. Results: Rigorous quality control in combination with careful pre-processing enabled reduction of m/z shifts and intensity batch effects. High classification accuracy was found for both, tumor vs. stroma and muscle-infiltrating vs. non-muscle invasive tumors. Some of the most discriminative m/z features for each condition could be assigned a putative identity: Stromal tissue was characterized by collagen type I peptides and tumor tissue by histone and heat shock protein beta-1 peptides. Intermediate filaments such as cytokeratins and vimentin were discriminative between the tumors with different muscle-infiltration status. To make the study fully reproducible and to advocate the criteria of FAIR (findability, accessibility, interoperability, and reusability) research data, we share the raw data, spectra annotations as well as all Galaxy histories and workflows. Data are available via ProteomeXchange with identifier PXD026459 and Galaxy results via https://github.com/foellmelanie/Bladder_MSI_Manuscript_Galaxy_links. Conclusion: Here, we show that translational MSI data analysis in a fully transparent and reproducible manner is possible and we would like to encourage the community to join our efforts.

Autoregressive Moving Average (ARMA) Models of Neuromuscular System

1982 ◽  
Vol 15 (4) ◽  
pp. 1205-1210
Author(s):  
G.C. Agarwal ◽  
S.M. Goodarzi ◽  
W.D. O'Neill ◽  
G.L. Cottlieb
Keyword(s):  
Moving Average ◽  
Autoregressive Moving Average ◽  
Neuromuscular System ◽  
Arma Models

A global test for competing risks survival analysis

2020 ◽  
Vol 29 (12) ◽  
pp. 3666-3683
Author(s):  
Dominic Edelmann ◽  
Maral Saadati ◽  
Hein Putter ◽  
Jelle Goeman
Keyword(s):  
Survival Analysis ◽  
Likelihood Ratio ◽  
Likelihood Ratio Test ◽  
Competing Risks ◽  
Cox Model ◽  
Wald Test ◽  
Ratio Test ◽  
Type I ◽  
Multistate Models ◽  
Global Test

Standard tests for the Cox model, such as the likelihood ratio test or the Wald test, do not perform well in situations, where the number of covariates is substantially higher than the number of observed events. This issue is perpetuated in competing risks settings, where the number of observed occurrences for each event type is usually rather small. Yet, appropriate testing methodology for competing risks survival analysis with few events per variable is missing. In this article, we show how to extend the global test for survival by Goeman et al. to competing risks and multistate models[Per journal style, abstracts should not have reference citations. Therefore, can you kindly delete this reference citation.]. Conducting detailed simulation studies, we show that both for type I error control and for power, the novel test outperforms the likelihood ratio test and the Wald test based on the cause-specific hazards model in settings where the number of events is small compared to the number of covariates. The benefit of the global tests for competing risks survival analysis and multistate models is further demonstrated in real data examples of cancer patients from the European Society for Blood and Marrow Transplantation.

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