Statistics and Probability Commons^™

Causal Relationship Between Stock Market Index And Exchange Rate: Evidence From Nigeria, Abdulrasheed Zubair

CBN Journal of Applied Statistics (JAS)

This paper uses Johansen’s cointegration to test for the possibility of cointegration and Granger-causality to estimate the causal relationship between stock market index and monetary indicators (exchange rate and M2) before and during the global financial crisis for Nigeria, using monthly data for the period 2001–2011. Results suggest absence of long-run relationship before and during the crisis. The Granger-causality tests show a uni-directional causality running from M2 to ASI before the crisis while during the period of the crisis there is absence of causality between the variables. This suggests that ASI show responsiveness to M2. Thus, absence of the direct …

Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund, Ibiyinka A. Fuwape, Samuel T. Ogunjo

CBN Journal of Applied Statistics (JAS)

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay time was quantified using mutual information function and the embedding dimension by the false nearest neighbours, where the values were identified to be 15 and 20 respectively. The presence of chaotic signals in the ARM data was further confirmed by the correlation dimension method which yielded a dimension of 2.2 …

Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis, Chukwuemeka O. Omekara,, Emmanuel J. Ekpenyong, Micheal P. Ekerete

CBN Journal of Applied Statistics (JAS)

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation rates in Nigeria from 2003 to 2011. The main objectives are to identify inflation cycles, fit a suitable model to the data and make forecasts of future values. To achieve these objectives, monthly all-items inflation rates for the period were obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze the data. Based on the analysis, it was found that inflation cycle within the period was fifty one (51) months, which coincides with the …

Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data, Olaoluwa Simon Yaya

CBN Journal of Applied Statistics (JAS)

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally integrated types are also considered to capture the possibility of return series having property of long range dependency. The parameter estimations are carried out on the assumptions of normality and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions respectively. Under normality assumption, Hyperbolic GARCH (HYGARCH(1,d,1)) model is selected and Integrated GARCH (IGARCH(1,1)) …

Time Series Modeling Of Nigeria External Reserves, Iheanyichukwu S. Iwueze, Eleazar C. Nwogu, Valentine U. Nlebedim

CBN Journal of Applied Statistics (JAS)

This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to December, 2008 derived from the 2008 CBN Statistical Bulletin was analyzed using ARIMA model. Results of the analyses show that (i) the data requires logarithmic transformation to stabilize the variance and make the distribution normal (ii) the appropriate model that best describes the pattern in the transformed data is the Autoregressive- …

A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System, Akaninyene U. Udom

CBN Journal of Applied Statistics (JAS)

A recurrent problem in manpower control is how to attain the desired structural configuration in an optimal way, since it is possible to reach a desired structural configuration using different control inputs. The major aim of this paper is to develop a Markov Decision Process for optimal control of a Multi-level Hierarchical Manpower System (MHMS) by promotion and interdepartmental transfers. This is examined under control by intervention and contraction cost Markov Decision Process.

Estimation And Inference For Spatial And Spatio-Temporal Mixed Effects Models, Casey M. Jelsema

Dissertations

One of the most common goals of geostatistical analysis is that of spatial prediction, in other words: filling in the blank areas of the map. There are two popular methods for accomplishing spatial prediction. Either kriging, or Bayesian hierarchical models. Both methods require the inverse of the spatial covariance matrix of the data. As the sample size, n, becomes large, both of these methods become impractical. Reduced rank spatial models (RRSM) allow prediction on massive datasets without compromising the complexity of the spatial process. This dissertation focuses on RRSMs, particularly situations where the data follow non-Gaussian distributions.

The manner in …

Factors Associated With Parental Decision Making And Childhood Vaccination, Zuwen Qiu-Shultz

UNLV Theses, Dissertations, Professional Papers, and Capstones

In order to better understand factors affecting immunization status, logistic regression was used to assess the association of various socio-demographic factors and whether parents would have their child immunized if not a state mandate. Factors included in the study were race, household income, number of children in the household, number of adults in the household, if the child had a primary provider, if the child had a health check-up in the last twelve months, and medical insurance status of the child. The combined Nevada Kindergarten Health Survey Result of 2009-2010 (Year Two) and 2010-2011 (Year Three) conducted by the Nevada …

Time-Dependent Random Effect Poisson Random Field Model For Polymorphism Within And Between Two Related Species, Shilei Zhou

UNLV Theses, Dissertations, Professional Papers, and Capstones

Molecular evolution is partially driven by mutation, selection, random genetic drift, or combination of the three factors. To quantify the magnitude of these genetic forces, a previously developed time-dependent fixed effect Poisson random field model provides powerful likelihood and Bayesian estimates of mutation rate, selection coefficient, and species divergence time. The assumption of the fixed effect model that selection intensity is constant within a genetic locus but varies across genes is obviously biologically unrealistic, but it serves the original purpose of making statistical inference about selection and divergence between two related species they are individually at mutation-selection-drift inequilibrium. By relaxing …

Balancing The Presentation Of Information And Options In Patient Decision Aids: An Updated Review, Purva Abhyankar, Robert J. Volk, Jennifer Blumenthal-Barby, Paulina Bravo, Angela Buchholz, Elissa Ozanne, Dale C. Vidal, Nananda Col, Peep Stalmeier

Dartmouth Scholarship

Standards for patient decision aids require that information and options be presented in a balanced manner; this requirement is based on the argument that balanced presentation is essential to foster informed decision making. If information is presented in an incomplete/non-neutral manner, it can stimulate cognitive biases that can unduly affect individuals’ knowledge, perceptions of risks and benefits, and, ultimately, preferences. However, there is little clarity about what constitutes balance, and how it can be determined and enhanced. We conducted a literature review to examine the theoretical and empirical evidence related to balancing the presentation of information and options.

Revealing The Ubiquitous Effects Of Quantum Entanglement-Toward A Notion Of God Logic, Wen-Ran Zhang, Karl E. Peace

Biostatistics: Faculty Publications

Following Spinoza-Einstein’s interpretation of God or nature, the notion “God Logic” is proposed. This notion is to serve as an elicitation for a consistent set of necessary criteria for: 1) developing the logical foundation of quantum gravity as envisaged by Einstein, 2) revealing the ubiquitous effects of quantum entanglement as suggested by Roger Penrose, and 3) programming the universe as proposed by Seth Lloyd. An evolving set of eleven criteria is proposed for the notion. The possibility of inventing such a logical system is analyzed. A supersymmetrical candidate logic of negative-positive energy dynamic equilibrium is introduced and assessed against the …

Regularization Methods For Predicting An Ordinal Response Using Longitudinal High-Dimensional Genomic Data, Jiayi Hou

Theses and Dissertations

Ordinal scales are commonly used to measure health status and disease related outcomes in hospital settings as well as in translational medical research. Notable examples include cancer staging, which is a five-category ordinal scale indicating tumor size, node involvement, and likelihood of metastasizing. Glasgow Coma Scale (GCS), which gives a reliable and objective assessment of conscious status of a patient, is an ordinal scaled measure. In addition, repeated measurements are common in clinical practice for tracking and monitoring the progression of complex diseases. Classical ordinal modeling methods based on the likelihood approach have contributed to the analysis of data in …

Review And Extension For The O’Brien Fleming Multiple Testing Procedure, Hanan Hammouri

Theses and Dissertations

O'Brien and Fleming (1979) proposed a straightforward and useful multiple testing procedure (group sequential testing procedure) for comparing two treatments in clinical trials where subject responses are dichotomous (e.g. success and failure). O'Brien and Fleming stated that their group sequential testing procedure has the same Type I error rate and power as that of a fixed one-stage chi-square test, but gives the opportunity to terminate the trial early when one treatment is clearly performing better than the other. We studied and tested the O'Brien and Fleming procedure specifically by correcting the originally proposed critical values. Furthermore, we updated the O’Brien …

Gender Differences In Byu Communications Students’ Career Attitudes, Alexis Allen, Dr. Shane Reese

Journal of Undergraduate Research

Women have made vast advancements in the workplace within the last thirty years, but gender career issues still exist today. The field of communications presents an interesting case study about discrepancies between male and female employees’ contrasting earnings and career roles. A phenomenon called the Glass Ceiling Effect exists in the public relations field, for example. Essentially, the Glass Ceiling Effect says that although there are more women practitioners in the field, male practitioners attain management positions more frequently and earn higher salaries than their female counterparts.

The Physiological Effects Of Music On Children In Health Clinics And Orphanages In Beira, Mozambique And Bapatla, India, Jordan Joseph Ash, Dr. Shane Reece

Journal of Undergraduate Research

Music therapy seeks to take advantage of specific sounds and rhythms that promote physical, mental, social, emotional, and spiritual well-being. While the physiological benefits of music have long been recognized, there have been few attempts to quantify the results and document their application. This paper seeks to provide numerical evidence of the effects of music on destitute children in third-world settings.

Response Adaptive Design Using Auxiliary And Primary Outcomes, Shuxian Sinks

Theses and Dissertations

Response adaptive designs intend to allocate more patients to better treatments without undermining the validity and the integrity of the trial. The immediacy of the primary response (e.g. deaths, remission) determines the efficiency of the response adaptive design, which often requires outcomes to be quickly or immediately observed. This presents difficulties for survival studies, which may require long durations to observe the primary endpoint. Therefore, we introduce auxiliary endpoints to assist the adaptation with the primary endpoint, where an auxiliary endpoint is generally defined as any measurement that is positively associated with the primary endpoint. Our proposed design (referred to …

Characterizing Expected Benefits Of Biomarkers In Treatment Selection, Ying Huang, Eric Laber, Holly Janes

UW Biostatistics Working Paper Series

Biomarkers associated with the treatment response heterogeneity hold potential for treatment selection. In practice, the decision regarding whether to adopt a treatment selection marker depends on the effect of treatment selection on the rate of targeted disease as well as additional cost associated with the treatment. We propose an expected benefit measure that incorporates both aspects to quantify a biomarker's treatment selection capacity. This measure extends an existing decision-theoretic framework, to account for the fact that optimal treatment absent marker information varies with the cost of treatment. In addition, we establish upper and lower bounds for the performance of a …

A General Instrumental Variable Framework For Regression Analysis With Outcome Missing Not At Random, Eric J. Tchetgen Tchetgen, Kathleen Wirth

Harvard University Biostatistics Working Paper Series

No abstract provided.

Alternative Identification And Inference For The Effect Of Treatment On The Treated With An Instrumental Variable, Eric J. Tchetgen Tchetgen, Stijn Vansteelandt

Harvard University Biostatistics Working Paper Series

No abstract provided.

Identification And Estimation Of Survivor Average Causal Effects, Eric J. Tchetgen Tchetgen

Harvard University Biostatistics Working Paper Series

No abstract provided.

Practical Guidelines For The Comprehensive Analysis Of Chip-Seq Data, Timonthy Bailey, Pawel Krajewski, Istvan Ladunga, Celine Lefebvre, Qunhua Li, Tao Liu, Pedro Madrigal, Cenny Taslim, Jie Zhang

Department of Statistics: Faculty Publications

Mapping the chromosomal locations of transcription factors, nucleosomes, histone modifications, chromatin remodeling enzymes, chaperones, and polymerases is one of the key tasks of modern biology, as evidenced by the Encyclopedia of DNA Elements (ENCODE) Project. To this end, chromatin immunoprecipitation followed by high-throughput sequencing (ChIP-seq) is the standard methodology. Mapping such protein-DNA interactions in vivo using ChIP-seq presents multiple challenges not only in sample preparation and sequencing but also for computational analysis. Here, we present step-by-step guidelines for the computational analysis of ChIP-seq data. We address all the major steps in the analysis of ChIP-seq data: sequencing depth selection, quality …

On The Causal Interpretation Of Race In Regressions Adjusting For Confounding And Mediating Variables, Tyler J. Vanderweele, Whitney Robinson

Harvard University Biostatistics Working Paper Series

We consider different possible interpretations of the “effect of race” when regressions are run with race as an exposure variable, controlling also for various confounding and mediating variables. When adjustment is made for socioeconomic status early in a person's life, we discuss under what contexts the regression coefficients for race can be interpreted as corresponding to the extent to which a racial disparity would remain if various socioeconomic distributions early in life across racial groups could be equalized. When adjustment is also made for adult socioeconomic status, we note how the overall disparity can be decomposed into the portion that …

A Unification Of Mediation And Interaction, Tyler J. Vanderweele

Harvard University Biostatistics Working Paper Series

We show that the overall effect of an exposure on an outcome, in the presence of a mediator with which the exposure may interact, can be decomposed into four components: (i) the effect of the exposure in the absence of the mediator, (ii) the interactive effect when the mediator is left to what is would be in the absence of exposure, (iii) a mediated interaction and (iv) a pure mediated effect. These four components respectively correspond to the portion of the effect that is due to neither mediation nor interaction, to just interaction (but not mediation), to both mediation and …

Joint Estimation Of Multiple Graphical Models From High Dimensional Time Series, Huitong Qiu, Fang Han, Han Liu, Brian Caffo

Johns Hopkins University, Dept. of Biostatistics Working Papers

In this manuscript the problem of jointly estimating multiple graphical models in high dimensions is considered. It is assumed that the data are collected from n subjects, each of which consists of m non-independent observations. The graphical models of subjects vary, but are assumed to change smoothly corresponding to a measure of the closeness between subjects. A kernel based method for jointly estimating all graphical models is proposed. Theoretically, under a double asymptotic framework, where both (m,n) and the dimension d can increase, the explicit rate of convergence in parameter estimation is provided, thus characterizing the strength one can borrow …

A Monte Carlo Comparison Of Robust Manova Test Statistics, Holmes Finch, Brian French

Journal of Modern Applied Statistical Methods

Multivariate Analysis of Variance (MANOVA) is a popular statistical tool in the social sciences, allowing for the comparison of mean vectors across groups. MANOVA rests on three primary assumptions regarding the population: (a) multivariate normality, (b) equality of group population covariance matrices and (c) independence of errors. When these assumptions are violated, MANOVA does not perform well with respect to Type I error and power. There are several alternative test statistics that can be considered including robust statistics and the use of the structural equation modeling (SEM) framework. This simulation study focused on comparing the performance of the P test …

On Some Properties Of A Heterogeneous Transfer Function Involving Symmetric Saturated Linear (Satlins) With Hyperbolic Tangent (Tanh) Transfer Functions, Christopher Godwin Udomboso

Journal of Modern Applied Statistical Methods

For transfer functions to map the input layer of the statistical neural network model to the output layer perfectly, they must lie within bounds that characterize probability distributions. The heterogeneous transfer function, SATLINS_TANH, is established as a Probability Distribution Function (p.d.f), and its mean and variance are shown.

Distribution Of The Ratio Of Normal And Rice Random Variables, Nayereh B. Khoolenjani, Kavoos Khorshidian

Journal of Modern Applied Statistical Methods

The ratio of independent random variables arises in many applied problems. The distribution of the ratio |X/Y| is studied when X and Y are independent Normal and Rice random variables, respectively. Ratios of such random variables have extensive applications in the analysis of noises in communication systems. The exact forms of probability density function (PDF), cumulative distribution function (CDF) and the existing moments are derived in terms of several special functions. As a special case, the PDF and CDF of the ratio of independent standard Normal and Rayleigh random variables have been obtained. Tabulations of associated percentage points …

Front Matter, Jmasm Editors

Journal of Modern Applied Statistical Methods

No abstract provided.

Preliminary Testing For Normality: Is This A Good Practice?, H. J. Keselman, Abdul R. Othman, Rand R. Wilcox

Journal of Modern Applied Statistical Methods

Normality is a distributional requirement of classical test statistics. In order for the test statistic to provide valid results leading to sound and reliable conclusions this requirement must be satisfied. In the not too distant past, it was claimed that violations of normality would not likely jeopardize scientific findings (See Hsu & Feldt, 1969; Lunney, 1970). Recent revelations suggest otherwise (See e.g., Micceri, 1989; Keselman, Huberty, Lix et al., 1998; Erceg-Hurn, Wilcox, & Keselman, 2013; Wilcox and Keselman, 2003; Wilcox, 2012a, b). Unfortunately the data obtained in psychological investigations rarely, if ever, meet the requirement of normally distributed data (Micceri, …

Intrinsically Ties Adjusted Non-Parametric Method For The Analysis Of Two Sampled Data, G. U. Ebuh, I. C. A Oyeka

Journal of Modern Applied Statistical Methods

A non-parametric method for the analysis of two sample data is proposed that intrinsically and structurally adjusts the test statistic for the possible presence of tied observations between the sampled populations, thereby obviating the need to require the populations to be continuous. The populations may be measurements on as low as the ordinal scale, and need not be homogeneous. In cases where the null hypotheses are rejected, the test statistic enables the determination of which of the sampled populations is likely to be responsible for the rejection (a determination which the Wilcoxon Mann Whitney test cannot handle). The proposed method …