25,444 research outputs found
Nonparametric Bayes modeling of count processes
Data on count processes arise in a variety of applications, including
longitudinal, spatial and imaging studies measuring count responses. The
literature on statistical models for dependent count data is dominated by
models built from hierarchical Poisson components. The Poisson assumption is
not warranted in many applications, and hierarchical Poisson models make
restrictive assumptions about over-dispersion in marginal distributions. This
article proposes a class of nonparametric Bayes count process models, which are
constructed through rounding real-valued underlying processes. The proposed
class of models accommodates applications in which one observes separate
count-valued functional data for each subject under study. Theoretical results
on large support and posterior consistency are established, and computational
algorithms are developed using Markov chain Monte Carlo. The methods are
evaluated via simulation studies and illustrated through application to
longitudinal tumor counts and asthma inhaler usage
A Kolmogorov-Smirnov test for the molecular clock on Bayesian ensembles of phylogenies
Divergence date estimates are central to understand evolutionary processes
and depend, in the case of molecular phylogenies, on tests of molecular clocks.
Here we propose two non-parametric tests of strict and relaxed molecular clocks
built upon a framework that uses the empirical cumulative distribution (ECD) of
branch lengths obtained from an ensemble of Bayesian trees and well known
non-parametric (one-sample and two-sample) Kolmogorov-Smirnov (KS)
goodness-of-fit test. In the strict clock case, the method consists in using
the one-sample Kolmogorov-Smirnov (KS) test to directly test if the phylogeny
is clock-like, in other words, if it follows a Poisson law. The ECD is computed
from the discretized branch lengths and the parameter of the expected
Poisson distribution is calculated as the average branch length over the
ensemble of trees. To compensate for the auto-correlation in the ensemble of
trees and pseudo-replication we take advantage of thinning and effective sample
size, two features provided by Bayesian inference MCMC samplers. Finally, it is
observed that tree topologies with very long or very short branches lead to
Poisson mixtures and in this case we propose the use of the two-sample KS test
with samples from two continuous branch length distributions, one obtained from
an ensemble of clock-constrained trees and the other from an ensemble of
unconstrained trees. Moreover, in this second form the test can also be applied
to test for relaxed clock models. The use of a statistically equivalent
ensemble of phylogenies to obtain the branch lengths ECD, instead of one
consensus tree, yields considerable reduction of the effects of small sample
size and provides again of power.Comment: 14 pages, 9 figures, 8 tables. Minor revision, additin of a new
example and new title. Software:
https://github.com/FernandoMarcon/PKS_Test.gi
Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate
Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow informativeness is strongest at times when analyst forecasts of macro variables are highly dispersed. We study 30 year treasury futures to identify the customer flow. We further show that intermediaries appear to benefit from privately recognizing informed customer flow, as, in the cross-section, their own-account trade profitability correlates with access to customer orders, controlling for volatility, competition, and the announcement surprise. These results suggest that intermediaries learn about equilibrium riskfree rates through customer orders
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