1,200 research outputs found
Bounded Influence Approaches to Constrained Mixed Vector Autoregressive Models
The proliferation of many clinical studies obtaining multiple biophysical signals from several individuals repeatedly in time is increasingly recognized, a recognition generating growth in statistical models that analyze cross-sectional time series data. In general, these statistical models try to answer two questions: (i) intra-individual dynamics of the response and its relation to some covariates; and, (ii) how this dynamics can be aggregated consistently in a group. In response to the first question, we propose a covariate-adjusted constrained Vector Autoregressive model, a technique similar to the STARMAX model (Stoffer, JASA 81, 762-772), to describe serial dependence of observations. In this way, the number of parameters to be estimated is kept minimal while offering flexibility for the model to explore higher order dependence. In response to (ii), we use mixed effects analysis that accommodates modelling of heterogeneity among cross-sections arising from covariate effects that vary from one cross-section to another. Although estimation of the model can proceed using standard maximum likelihood techniques, we believed it is advantageous to use bounded influence procedures in the modelling (such as choosing constraints) and parameter estimation so that the effects of outliers can be controlled. In particular, we use M-estimation with a redescending bounding function because its influence function is always bounded. Furthermore, assuming consistency, this influence function is useful to obtain the limiting distribution of the estimates. However, this distribution may not necessarily yield accurate inference in the presence of contamination as the actual asymptotic distribution might have wider tails. This led us to investigate bootstrap approximation techniques. A sampling scheme based on IID innovations is modified to accommodate the cross-sectional structure of the data. Then the M-estimation is applied to each bootstrap sample naively to obtain the asymptotic distribution of the estimates.We apply these strategies to the extracted BOLD activation from several regions of the brain from a group of individuals to describe joint dynamic behavior between these locations. We used simulated data with both innovation and additive outliers to test whether the estimation procedure is accurate despite contamination
Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices
Modeling correlation (and covariance) matrices can be challenging due to the
positive-definiteness constraint and potential high-dimensionality. Our
approach is to decompose the covariance matrix into the correlation and
variance matrices and propose a novel Bayesian framework based on modeling the
correlations as products of unit vectors. By specifying a wide range of
distributions on a sphere (e.g. the squared-Dirichlet distribution), the
proposed approach induces flexible prior distributions for covariance matrices
(that go beyond the commonly used inverse-Wishart prior). For modeling
real-life spatio-temporal processes with complex dependence structures, we
extend our method to dynamic cases and introduce unit-vector Gaussian process
priors in order to capture the evolution of correlation among components of a
multivariate time series. To handle the intractability of the resulting
posterior, we introduce the adaptive -Spherical Hamiltonian Monte
Carlo. We demonstrate the validity and flexibility of our proposed framework in
a simulation study of periodic processes and an analysis of rat's local field
potential activity in a complex sequence memory task.Comment: 49 pages, 15 figure
Recent advances in directional statistics
Mainstream statistical methodology is generally applicable to data observed
in Euclidean space. There are, however, numerous contexts of considerable
scientific interest in which the natural supports for the data under
consideration are Riemannian manifolds like the unit circle, torus, sphere and
their extensions. Typically, such data can be represented using one or more
directions, and directional statistics is the branch of statistics that deals
with their analysis. In this paper we provide a review of the many recent
developments in the field since the publication of Mardia and Jupp (1999),
still the most comprehensive text on directional statistics. Many of those
developments have been stimulated by interesting applications in fields as
diverse as astronomy, medicine, genetics, neurology, aeronautics, acoustics,
image analysis, text mining, environmetrics, and machine learning. We begin by
considering developments for the exploratory analysis of directional data
before progressing to distributional models, general approaches to inference,
hypothesis testing, regression, nonparametric curve estimation, methods for
dimension reduction, classification and clustering, and the modelling of time
series, spatial and spatio-temporal data. An overview of currently available
software for analysing directional data is also provided, and potential future
developments discussed.Comment: 61 page
A Copula Approach to Modeling Extreme Values of Exchange Rates
In this thesis we consider a general approach to modeling dependence in extreme values of exchange rates by using copulas. As specific examples the following pairs of currencies are analyzed: Swedish krona to U.S. dollar (SEK/USD), Swedish krona to Euro (SEK/EUR), Swedish krona to British pound (SEK/GBP), Swedish krona to Japanese Yen (SEK/JPY), Swedish krona to Danish krone (SEK/DKK) and Swedish krona to Norwegian krone (SEK/NOK). The daily log-return series are first modeled individually using ARMA-GARCH models. In some cases, when it is statistically significant, we also use three month Stockholm Interbank Offered Rate (STIBOR) as a covariate in our models. After the models have been fitted to the datasets the residuals are considered for further analysis. We fit several bivariate copula models to the residual series and use different measures of goodness-of fit to choose one between competing models. We demonstrate the flexibility of the approach by repeating our analysis both for the original residuals as well as the monthly and quarterly extreme values of the series. Keywords. GARCH, EGARCH, copula, extreme values, exchange rates, modellin
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