Moment tests of independent components

We propose simple specification tests for independent component analysis and structural vector autoregressions with non-Gaussian shocks that check the normality of a single shock and the potential cross-sectional dependence among several of them. Our tests compare the integer (product) moments of the shocks in the sample with their population counterparts. Importantly, we explicitly consider the sampling variability resulting from using shocks computed with consistent parameter estimators. We study the finite sample size of our tests in several simulation exercises and discuss some bootstrap procedures. We also show that our tests have non-negligible power against a variety of empirically plausible alternatives.

A family of nonparametric unit root tests for processes driven by infinite variance innovations

This paper presents extensions to the family of nonparametric fractional variance ratio (FVR) unit root tests of Nielsen (2009. “A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic.” Econometric Theory 25: 1515–44) under heavy tailed (infinite variance) innovations. In this regard, we first develop the asymptotic theory for these FVR tests under this setup. We show that the limiting distributions of the tests are free of serial correlation nuisance parameters, but depend on the tail index of the infinite variance process. Then, we compare the finite sample size and power performance of our FVR unit root tests with the well-known parametric ADF test under the impact of the heavy tailed shocks. Simulations demonstrate that under heavy tailed innovations, the nonparametric FVR tests have desirable size and power properties.

Joint latent class model: Simulation study of model properties and application to amyotrophic lateral sclerosis disease

Background In many clinical applications, evolution of a longitudinal marker is censored by an event occurrence, and, symmetrically, event occurrence can be influenced by the longitudinal marker evolution. In such frameworks joint modeling is of high interest. The Joint Latent Class Model (JLCM) allows to stratify the population into groups (classes) of patients that are homogeneous both with respect to the evolution of a longitudinal marker and to the occurrence of an event; this model is widely employed in real-life applications. However, the finite sample-size properties of this model remain poorly explored. Methods In the present paper, a simulation study is carried out to assess the impact of the number of individuals, of the censoring rate and of the degree of class separation on the finite sample size properties of the JLCM. A real-life application from the neurology domain is also presented. This study assesses the precision of class membership prediction and the impact of covariates omission on the model parameter estimates. Results Simulation study reveals some departures from normality of the model for survival sub-model parameters. The censoring rate and the number of individuals impact the relative bias of parameters, especially when the classes are weakly distinguished. In real-data application the observed heterogeneity on individual profiles in terms of a longitudinal marker evolution and of the event occurrence remains after adjusting to clinically relevant and available covariates; Conclusion The JLCM properties have been evaluated. We have illustrated the discovery in practice and highlights the usefulness of the joint models with latent classes in this kind of data even with pre-specified factors. We made some recommendations for the use of this model and for future research.

A New Approach for Estimating Rock Discontinuity Trace Intensity Based on Rectangular Sampling Windows

Trace intensity is defined as mean total trace length of discontinuities per unit area, which is an important geometric parameter to describe fracture networks. The probability of each trace appearing in the sampling surface is different since discontinuity orientation has a scatter and is probabilistically distributed, so this factor should be taken into account in trace intensity estimation. This paper presents an approach to estimate the two-dimensional trace intensity by considering unequal appearing probability for discontinuities sampled by rectangular windows. The estimation method requires the number of discontinuities intersecting the window, the appearing probability of discontinuities with both ends observed, one end observed, and both ends censored, and the mean trace length of discontinuities intersecting the window. The new estimator is validated by using discontinuity data from an outcrop in Wenchuan area in China. Similarly, circular windows are used along with Mauldon’s equation to calculate trace intensity using discontinuity trace data of the same outcrop as a contrast. Results indicate that the proposed new method based on rectangular windows shows close accuracy and less variability than that of the method based on circular windows due to the influence of finite sample size and the variability of location of the window and has advantage in application to sampling surfaces longer in one direction than in the other such as tunnel cross sections and curved sampling surfaces such as outcrops that show some curvature.

Properties and unbiased estimation of F- and D-statistics in samples containing related and inbred individuals

The Patterson F- and D-statistics are commonly-used measures for quantifying population relationships and for testing hypotheses about demographic history. These statistics make use of allele frequency information across populations to infer different aspects of population history, such as population structure and introgression events. Inclusion of related or inbred individuals can bias such statistics, which may often lead to the filtering of such individuals. Here we derive statistical properties of the F- and D-statistics, including their biases due to finite sample size or the inclusion of related or inbred individuals, their variances, and their corresponding mean squared errors. Moreover, for those statistics that are biased, we develop unbiased estimators and evaluate the variances of these new quantities. Comparisons of the new unbiased statistics to the originals demonstrates that our newly-derived statistics often have lower error across a wide population parameter space. Furthermore, we apply these unbiased estimators using several global human populations with the inclusion of related individuals to highlight their application on an empirical dataset. Finally, we implement these unbiased estimators in open-source software package funbiased for easy application by the scientific community.

Development of Novel Thermal Diffusivity Analysis by Spot Periodic Heating and Infrared Radiation Thermometer Method

A spot periodic heating method is a highly accurate, non-contact method for the evaluation of anisotropy and relative thermophysical property distribution. However, accurately evaluating thermal diffusivity is difficult due to the influence of temperature wave reflection from the whole surface of the sample. This study proposes a method to derive thermal diffusivity using a parameter table based on heat transfer equations using the concept of optimum distance between heating-point and measurement point. This method considers finite sample size, sensitivity distribution of infrared ray detector, intensity distribution of heating laser and sample thickness. In these results, the obtained thermal diffusivity of pure copper corresponded well with previous literature values. In conclusion, this method is considered highly effective in evaluating the thermal diffusivity in the horizontal direction.

FINITE-SAMPLE SIZE CONTROL OF IVX-BASED TESTS IN PREDICTIVE REGRESSIONS

In predictive regressions with variables of unknown persistence, the use of extended IV (IVX) instruments leads to asymptotically valid inference. Under highly persistent regressors, the standard normal or chi-squared limiting distributions for the usual t and Wald statistics may, however, differ markedly from the actual finite-sample distributions which exhibit in particular noncentrality. Convergence to the limiting distributions is shown to occur at a rate depending on the choice of the IVX tuning parameters and can be very slow in practice. A characterization of the leading higher-order terms of the t statistic is provided for the simple regression case, which motivates finite-sample corrections. Monte Carlo simulations confirm the usefulness of the proposed methods.

Nonasymptotic bounds for the quadratic risk of the Grenander estimator

There is an enormous literature on the so-called Grenander estimator, which is merely the nonparametric maximum likelihood estimator of a nonincreasing probability density on [0, 1] (see, for instance, Grenander (1981)), but unfortunately, there is no nonasymptotic (i.e. for arbitrary finite sample size n) explicit upper bound for the quadratic risk of the Grenander estimator readily applicable in practice by statisticians. In this paper, we establish, for the first time, a simple explicit upper bound 2n−1/2 for the latter quadratic risk. It turns out to be a straightforward consequence of an inequality valid with probability one and bounding from above the integrated squared error of the Grenander estimator by the Kolmogorov–Smirnov statistic.

On the variance parameter estimator in general linear models

In the present note we consider general linear models where the covariates may be both random and non-random, and where the only restrictions on the error terms are that they are independent and have finite fourth moments. For this class of models we analyse the variance parameter estimator. In particular we obtain finite sample size bounds for the variance of the variance parameter estimator which are independent of covariate information regardless of whether the covariates are random or not. For the case with random covariates this immediately yields bounds on the unconditional variance of the variance estimator—a situation which in general is analytically intractable. The situation with random covariates is illustrated in an example where a certain vector autoregressive model which appears naturally within the area of insurance mathematics is analysed. Further, the obtained bounds are sharp in the sense that both the lower and upper bound will converge to the same asymptotic limit when scaled with the sample size. By using the derived bounds it is simple to show convergence in mean square of the variance parameter estimator for both random and non-random covariates. Moreover, the derivation of the bounds for the above general linear model is based on a lemma which applies in greater generality. This is illustrated by applying the used techniques to a class of mixed effects models.