Kumaraswamy autoregressive moving average models for double bounded environmental data

In this paper we introduce the Kumaraswamy autoregressive moving average models (KARMA), which is a dynamic class of models for time series taking values in the double bounded interval $(a,b)$ following the Kumaraswamy distribution. The Kumaraswamy family of distribution is widely applied in many areas, especially hydrology and related fields. Classical examples are time series representing rates and proportions observed over time. In the proposed KARMA model, the median is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and a link function. We introduce the new class of models and discuss conditional maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting. In particular, we provide closed-form expressions for the conditional score vector and conditional Fisher information matrix. An application to environmental real data is presented and discussed.Comment: 25 pages, 4 tables, 4 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

An investigation into the validity of the intra-continental and intercontinental casselian hypothesis (PPP) and uncovered interest rate parity (UIP) in southern African development community (SADC) countries A long run structural modelling approach

The current high exchange rate volatility in the face of globalization, underpinned by growing trade and financial and commodity markets liberalization has attracted the resurgence of considerable interest from both financial economists and policy makers, into the validity of international parity relationships. Using multivariate cointegration framework and long run structural modelling, this paper investigates the evidence in support of two of the parity relationships that underpin either implicitly or explicitly much of international macroeconomics. The first is the purchasing power parity (PPP) hypothesis or the theorem that there exists an invariable long-run equilibrium real exchange rate. The second is the uncovered interest rate parity (UIP) theorem, a hypothesis, which implies that yields of domestic and foreign financial assets (real interest rates) can differ only by the expected change in the price of foreign exchange. These tests are conducted on 8 of the 14 SADC economies using South Africa and United States as numeraires for the post- Bretton era; for the intra-continental and the intercontinental approaches respectively. All tests generally suggest that regardless of the approach used, there is significant evidence supporting cointegration, when the PPP is tested in its simple form and when the joint PPP and UIP hypothesis is tested. Except for a few countries, results are less favourable when the simple UIP is tested. We are therefore able to conclude that the simple PPP and joint PPP and UIP variables are cointegrated or that they do move together in the long-run for most countries indicating that the propositions are valid. However, most of the estimated cointegrating vectors rejected the restrictions of symmetry and proportionality implied by the PPP and UIP theories. With the simple UIP our conclusion is that support is sample dependent as the UIP generally holds only for those countries with very strong economic ties and whose currencies are pegged one to one

Untangling hotel industry’s inefficiency: An SFA approach applied to a renowned Portuguese hotel chain

The present paper explores the technical efficiency of four hotels from Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking is established from these four hotel units located in Portugal using Stochastic Frontier Analysis. This methodology allows to discriminate between measurement error and systematic inefficiencies in the estimation process enabling to investigate the main inefficiency causes. Several suggestions concerning efficiency improvement are undertaken for each hotel studied.info:eu-repo/semantics/publishedVersio

CLADAG 2021 BOOK OF ABSTRACTS AND SHORT PAPERS

The book collects the short papers presented at the 13th Scientific Meeting of the Classification and Data Analysis Group (CLADAG) of the Italian Statistical Society (SIS). The meeting has been organized by the Department of Statistics, Computer Science and Applications of the University of Florence, under the auspices of the Italian Statistical Society and the International Federation of Classification Societies (IFCS). CLADAG is a member of the IFCS, a federation of national, regional, and linguistically-based classification societies. It is a non-profit, non-political scientific organization, whose aims are to further classification research

An Integrated Fuzzy Inference Based Monitoring, Diagnostic, and Prognostic System

To date the majority of the research related to the development and application of monitoring, diagnostic, and prognostic systems has been exclusive in the sense that only one of the three areas is the focus of the work. While previous research progresses each of the respective fields, the end result is a variable grab bag of techniques that address each problem independently. Also, the new field of prognostics is lacking in the sense that few methods have been proposed that produce estimates of the remaining useful life (RUL) of a device or can be realistically applied to real-world systems. This work addresses both problems by developing the nonparametric fuzzy inference system (NFIS) which is adapted for monitoring, diagnosis, and prognosis and then proposing the path classification and estimation (PACE) model that can be used to predict the RUL of a device that does or does not have a well defined failure threshold. To test and evaluate the proposed methods, they were applied to detect, diagnose, and prognose faults and failures in the hydraulic steering system of a deep oil exploration drill. The monitoring system implementing an NFIS predictor and sequential probability ratio test (SPRT) detector produced comparable detection rates to a monitoring system implementing an autoassociative kernel regression (AAKR) predictor and SPRT detector, specifically 80% vs. 85% for the NFIS and AAKR monitor respectively. It was also found that the NFIS monitor produced fewer false alarms. Next, the monitoring system outputs were used to generate symptom patterns for k-nearest neighbor (kNN) and NFIS classifiers that were trained to diagnose different fault classes. The NFIS diagnoser was shown to significantly outperform the kNN diagnoser, with overall accuracies of 96% vs. 89% respectively. Finally, the PACE implementing the NFIS was used to predict the RUL for different failure modes. The errors of the RUL estimates produced by the PACE-NFIS prognosers ranged from 1.2-11.4 hours with 95% confidence intervals (CI) from 0.67-32.02 hours, which are significantly better than the population based prognoser estimates with errors of ~45 hours and 95% CIs of ~162 hours

Undergraduate econometrics instruction: through our classes, darkly

The past half-century has seen economic research become increasingly empirical, while the nature of empirical economic research has also changed. In the 1960s and 1970s, an empirical economist's typical mission was to "explain" economic variables like wages or GDP growth. Applied econometrics has since evolved to prioritize the estimation of specific causal effects and empirical policy analysis over general models of outcome determination. Yet econometric instruction remains mostly abstract, focusing on the search for "true models" and technical concerns associated with classical regression assumptions. Questions of research design and causality still take a back seat in the classroom, in spite of having risen to the top of the modern empirical agenda. This essay traces the divergent development of econometric teaching and empirical practice, arguing for a pedagogical paradigm shift

GIS Modeling of the Prominent Geohazards in Arkansas

The State of Arkansas is prone to numerous geohazards. This thesis is a twofold study of prominent geohazards in Arkansas: the first fold includes a novel triggerless approach for mass wasting susceptibility modeling applied to the Boston Mountains in NW Arkansas, and the second fold is a GIS-based regression modeling of the extreme weather patterns at the state level. Each study fold is presented in this thesis as a separate chapter embracing a published peer-reviewed paper. In the first paper, I have used the analytical hierarchy process to assign preliminary statistical weights to the most cogent variables influencing mass wasting in the central Boston Mountains. These most significant variables are then incorporated in Fuzzy modeling of mass wasting susceptibility within the 1200 km2 study area. For comparison and accuracy assessment, a second model has been established using a conventional weighted overlay (WO) approach. Results indicate that the developed novel approach is superior, with approximately 83% accuracy, to the traditional WO approach that has a marginal success of about 28% accuracy. Road related mass wasting events recorded by the Arkansas Department of Transportation have been used to validate both models. In the second paper, I have conducted a systematically gridded analysis of severe weather events, including tornadoes, derechos, and hail, during 1955-2015. The study examines and statistically determines the most significant explanatory variables contributing to the spatial patterns of severe weather events between 1955 and 2015, consequently it identifies severity indices for the entire state. These weather-related hazards and their associated risk will always abide; therefore, the best defense is employ geospatial technologies to plan for hazard mitigation. The mass wasting model developed in this study contributes pivotal information for identifying zones of high risk along roadways in NW Arkansas, which definitely can be adapted to avoid disastrous road failures. In addition, the weather-related severity indices determined at the state level can profoundly benefit state and federal agencies focused on increasing the availability of public and private storm shelters in previously under-represented zones of high risk. This undoubtedly will save lives from unavoidable catastrophic events across the entire state