A New Bivariate Random Coefficient INAR(1) Model with Applications

Excess zeros is a common phenomenon in time series of counts, but it is not well studied in asymmetrically structured bivariate cases. To fill this gap, we first considered a new first-order, bivariate, random coefficient, integer-valued autoregressive model with a bivariate innovation, which follows the asymmetric Hermite distuibution with five parameters. An attractive advantage of the new model is that the dependence between series is achieved by innovative parts and the cross-dependence of the series. In addition, the time series of counts are modeled with excess zeros, low counts and low over-dispersion. Next, we established the stationarity and ergodicity of the new model and found its stochastic properties. We discuss the conditional maximum likelihood (CML) estimate and its asymptotic property. We assessed finite sample performances of estimators through a simulation study. Finally, we demonstrate the superiority of the proposed model by analyzing an artificial dataset and a real dataset.

The conditional approach to evaluating detection performance

In many applied single-point Yes/No signal-detection studies, the main interest is to evaluate the observer’s sensitivity, based on the observed rates of hits and false alarms. For example, Kostopoulou, Nurek, Cantarella et al. (2019, Medical Decision Making, 39, 21–31) presented general practitioners (GPs) with clinical vignettes of patients showing various cancer-related symptoms, and asked them to decide if urgent referral was required; the standard discrimination index d′ was calculated for each GP. An alternative conditional approach to statistical inference emphasizes explicitly the conditional nature of the inferences drawn, and argues on the basis of the response marginal (the number of “yes” responses) that was actually observed. It is closely related to, for example, Fisher’s exact test or the Rasch model in item response theory which have long been valuable and prominent in psychology. The conditional framework applied to single-point Yes/No detection studies is based on the noncentral hypergeometric sampling distribution and permits, for samples of any size, exact inference because it eliminates nuisance (i.e., bias) parameters by conditioning. We describe in detail how the conditional approach leads to conditional maximum likelihood sample estimates of sensitivity, and to exact confidence intervals for the underlying (log) odds ratio. We relate the conditional approach to classical (logistic) detection models also leading to analyses of the odds ratio, compare its statistical power to that of the unconditional approach, and conclude by discussing some of its pros and cons.

A refined measure of conditional maximum drawdown

Risks associated to maximum drawdown have been recently formalized as the tail mean of the maximum drawdown distribution, called Conditional Expected Drawdown (CED). In fact, the special case of average maximum drawdown is widely used in the fund management industry also in association to performance management. It lacks relevant information on worst case scenarios over a fixed horizon. Formulating a refined version of CED, we are able to add this piece of information to the risk measurement of drawdown, and then get a risk measure for processes that preserves all the good properties of CED but following more prudential regulatory and management assessments, also in term of marginal risk contribution attributed to factors. As a special application, we consider the conditioning information given by the all time minimum of cumulative returns.

Item Parameter Estimation in Multistage Designs: A Comparison of Different Estimation Approaches for the Rasch Model

There is some debate in the psychometric literature about item parameter estimation in multistage designs. It is occasionally argued that the conditional maximum likelihood (CML) method is superior to the marginal maximum likelihood method (MML) because no assumptions have to be made about the trait distribution. However, CML estimation in its original formulation leads to biased item parameter estimates. Zwitser and Maris (2015, Psychometrika) proposed a modified conditional maximum likelihood estimation method for multistage designs that provides practically unbiased item parameter estimates. In this article, the differences between different estimation approaches for multistage designs were investigated in a simulation study. Four different estimation conditions (CML, CML estimation with the consideration of the respective MST design, MML with the assumption of a normal distribution, and MML with log-linear smoothing) were examined using a simulation study, considering different multistage designs, number of items, sample size, and trait distributions. The results showed that in the case of the substantial violation of the normal distribution, the CML method seemed to be preferable to MML estimation employing a misspecified normal trait distribution, especially if the number of items and sample size increased. However, MML estimation using log-linear smoothing lea to results that were very similar to the CML method with the consideration of the respective MST design.

A New First-Order Integer-Valued Autoregressive Model with Bell Innovations

A Poisson distribution is commonly used as the innovation distribution for integer-valued autoregressive models, but its mean is equal to its variance, which limits flexibility, so a flexible, one-parameter, infinitely divisible Bell distribution may be a good alternative. In addition, for a parameter with a small value, the Bell distribution approaches the Poisson distribution. In this paper, we introduce a new first-order, non-negative, integer-valued autoregressive model with Bell innovations based on the binomial thinning operator. Compared with other models, the new model is not only simple but also particularly suitable for time series of counts exhibiting overdispersion. Some properties of the model are established here, such as the mean, variance, joint distribution functions, and multi-step-ahead conditional measures. Conditional least squares, Yule–Walker, and conditional maximum likelihood are used for estimating the parameters. Some simulation results are presented to access these estimates’ performances. Real data examples are provided.

A MIXED BILINEAR INAR(1) MODEL

The paper introduces a new autoregressive model of order one for time seriesof counts. The model is comprised of a linear as well as bilinear autoregressive component. These two components are governed by random coefficients. The autoregression is achieved by using the negative binomial thinning operator. The method of moments and the conditional maximum likelihood method are discussed for the parameter estimation. The practicality of the model is presented on a real data set.

On robust estimation of negative binomial INARCH models

We discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust estimators, some of them being computationally fast modifications of methods of moments, and some rather efficient modifications of conditional maximum likelihood. These estimators are compared to related recent proposals using simulations. The usefulness of the proposed methods is illustrated by a real data example.

Conditional Maximum Likelihood Estimation in Probability-Branched Multistage Designs

This article describes the conditional maximum likelihood-based item parameter estimation in probabilistic multistage designs. In probabilistic multistage designs, the routing is not solely based on a raw score j and a cut score c as well as a rule for routing into a module such as j < c or j ≤ c but is based on a probability p(j) for each raw score j. It can be shown that the use of a conventional conditional maximum likelihood parameter estimate in multistage designs leads to severely biased item parameter estimates. Zwitser and Maris (2013) were able to show that with deterministic routing, the integration of the design into the item parameter estimation leads to unbiased estimates. This article extends this approach to probabilistic routing and, at the same time, represents a generalization. In a simulation study, it is shown that the item parameter estimation in probabilistic designs leads to unbiased item parameter estimates.