Statistical Models Commons^™

An Investigation Of Sensitivity Of An F Test In Locating Change Points In Linear Regression, Jing Sun

College of Graduate Studies: Theses & Dissertations

Change point is a statistic phenomenon, which has many direct applications in climatology, bioinformatics, finance, oceanography and medical imaging. In this thesis, we investigate the sensitivity of the F-test for detecting change points in linear regression, using a two-phase linear regression model. it offers an effective method to detect "undocumented" change points using a form of an F-test. Using simulated data, we explore its sensitivity and accuracy with respect t different parameters in the model.

Short-Term Inflation Forecasting Models For Nigeria, Sani I. Doguwa, Sarah O. Alade

CBN Journal of Applied Statistics (JAS)

Short-term inflation forecasting is an essential component of the monetary policy projections at the Central Bank of Nigeria. This paper proposes four short-term headline inflation forecasting models using the SARIMA and SARIMAX processes and compares their performance using the pseudo-out-of-sample forecasting procedure over July 2011 to September 2013. According to the results the best forecasting performance is demonstrated by the model based on the all items CPI estimated using the SARIMAX model. This model is, therefore, recommended for use in short-term forecasting of headline inflation in Nigeria. The forecasting performance up to eight months ahead, of the models based on …

An Efficient Two Sample Capture-Recapture Model With High Recaptures, Danjuma Jibasen, Yusuf J. Adams

CBN Journal of Applied Statistics (JAS)

This paper proposed an efficient two sample capture-recapture model (Ma) with high recaptures and compared it with the existing models like the model of no factor effect (Mo), behavioral response model (Mb) and the Petersen model (Ms), using simulated data. We found that the Petersen model provides a better estimate of the population size when the observations follow a hypergeometric distribution and the population is overestimated when recapture is high. It was also found that the proposed model provides a better estimator of the population size than the existing ones when the recapture is high. This model is particularly useful …

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.

Data Analysis Using Regression Modeling: Visual Display And Setup Of Simple And Complex Statistical Models, Emil N. Coman, Maria A. Coman, Eugen Iordache, Russell Barbour, Lisa Dierker

Yale Day of Data

We present visual modeling solutions for testing simple and more advanced statistical hypotheses in any research field. All models can be directly specified in analytical software like Mplus or R.

Data analysis in any substantive field can be easily accomplished by translating statistical tests in the intuitive language of regression-based path diagrams with observed and unobserved variables. All models we presented can be directly specified and estimated in analytical software.

Students can particularly benefit from being taught the simple regression modeling setup of the path analytical method, as it empowers them to apply the techniques to any data to test …

Iterative Statistical Verification Of Probabilistic Plans, Colin M. Potts

Lawrence University Honors Projects

Artificial intelligence seeks to create intelligent agents. An agent can be anything: an autopilot, a self-driving car, a robot, a person, or even an anti-virus system. While the current state-of-the-art may not achieve intelligence (a rather dubious thing to quantify) it certainly achieves a sense of autonomy. A key aspect of an autonomous system is its ability to maintain and guarantee safety—defined as avoiding some set of undesired outcomes. The piece of software responsible for this is called a planner, which is essentially an automated problem solver. An advantage computer planners have over humans is their ability to consider and …

A Bayesian Regression Tree Approach To Identify The Effect Of Nanoparticles Properties On Toxicity Profiles, Cecile Low-Kam, Haiyuan Zhang, Zhaoxia Ji, Tian Xia, Jeffrey I. Zinc, Andre Nel, Donatello Telesca

COBRA Preprint Series

We introduce a Bayesian multiple regression tree model to characterize relationships between physico-chemical properties of nanoparticles and their in-vitro toxicity over multiple doses and times of exposure. Unlike conventional models that rely on data summaries, our model solves the low sample size issue and avoids arbitrary loss of information by combining all measurements from a general exposure experiment across doses, times of exposure, and replicates. The proposed technique integrates Bayesian trees for modeling threshold effects and interactions, and penalized B-splines for dose and time-response surfaces smoothing. The resulting posterior distribution is sampled via a Markov Chain Monte Carlo algorithm. This …

Nfl Betting Market: Using Adjusted Statistics To Test Market Efficiency And Build A Betting Model, James P. Donnelly

CMC Senior Theses

The use of statistical analysis has been prevalent in the sports gambling industry for years. More recently, we have seen the emergence of "adjusted statistics", a more sophisticated way to examine each play and each result (further explanation below). And while adjusted statistics have become commonplace for professional and recreational bettors alike, little research has been done to justify their use. In this paper the effectiveness of this data is tested on the most heavily wagered sport in the world – the National Football League (NFL). The results are studied with two central questions in mind: Does the market account …

State Level Earned Income Tax Credit’S Effects On Race And Age: An Effective Poverty Reduction Policy, Anthony J. Barone

CMC Senior Theses

In this paper, I analyze the effectiveness of state level Earned Income Tax Credit programs on improving of poverty levels. I conducted this analysis for the years 1991 through 2011 using a panel data model with fixed effects. The main independent variables of interest were the state and federal EITC rates, minimum wage, gross state product, population, and unemployment all by state. I determined increases to the state EITC rates provided only a slight decrease to both the overall white below-poverty population and the corresponding white childhood population under 18, while both the overall and the under-18 black population for …

An Analysis Of Risk Reduction Choices In Dcis Breast Cancer Patients, Lauren Soltesz

Statistics

The main focus of this paper was to evaluate possible demographic and clinical characteristics associated with a woman’s choice of breast conserving surgery (BCS), unilateral mastectomy (ULM), or bilateral risk reduction mastectomy (BRRM). The cohort consisted of patients presenting to the City of Hope National Medical Center with ductal carcinoma in situ breast cancer who elected to have cancer directed surgery (N=305). Analyses to examine associations of patient characteristics with type of surgery were conducted using a multinomial logistic regression. Results showed that older women were more likely to choose breast conserving surgery over bilateral risk reduction mastectomy than younger …

Stress-Lifetime Joint Distribution Model For Performance Degradation Failure, Quan Sun, Yanzhen Tang, Jing Feng, Paul Kvam

Department of Math & Statistics Faculty Publications

The high energy density self-healing metallized film pulse capacitor has been applied to all kinds of laser facilities for their power conditioning systems under several stress levels, such as 23kV, 30kV and 35kV, whose reliability performance and maintenance costs are affected by the reliability of capacitors. Due to the costs and time restriction, how to assess the reliability of highly reliable capacitors under a certain stress level as soon as possible becomes a challenge. Accelerated degradation test provides a way to predict its lifetime and reliability effectively. A model called stress-lifetime joint distribution model and an analysis method based on …

An Economic Alternative To The C Chart, Ryan William Black

Graduate Theses and Dissertations

Because the probability of Type I error is not evenly distributed beyond upper and lower three-sigma limits the c chart is theoretically inappropriate for a monitor of Poisson distributed phenomena. Furthermore, the normal approximation to the Poisson is of little use when c is small. These practical and theoretical concerns should motivate the computation of true error rates associated with individuals control assuming the Poisson distribution. An economic alternative to the c chart is described as a statistical model of upward shift from c0 to c1 and the two charts are compared in theory. For a range of c chart …

Comparative Analysis Of Dispersion Parameter Estimates In Loglinear Modeling: Applied To E-Commerce Sales And Customer Data, Scott Davis

Statistics

When loglinear models are applied to count data the issue of over-dispersion often arises. Moment and maximum likelihood estimation methods in accounting for over-dispersion are widely used because they allow for model checking tools such as Chi-square, F, and likelihood ratio tests. Here is a comparison between R functions that each uses one method; glm.nb uses MLE, and glm.poisson.disp uses MME. The Index of Dissimilarity and visual model selection (ECDF plots) are also incorporated. These are applied to sales data using product and customer information compiled over the last five years that was generously provided by an e-commerce company.

Significant Themes In 19th-Century Literature, Matthew L. Jockers, David Mimno

Department of English: Faculty Publications

External factors such as author gender, author nationality, and date of publication affect both the choice of literary themes in novels and the expression of those themes, but the extent of this association is difficult to quantify. In this work, we apply statistical methods to identify and extract hundreds of "topics" from a corpus of 3,346 works of 19th-century British, Irish, and American fiction. We use these topics as a measurable, data-driven proxy for literary themes. External factors may predict fluctuations in the use of themes and the individual word choices within themes. We use topics to measure the evidence …

Using The R Library Rpanel For Gui-Based Simulations In Introductory Statistics Courses, Ryan M. Allison

Statistics

As a student, I noticed that the statistical package R (http://www.r-project.org) would have several benefits of its usage in the classroom. One benefit to the package is its free and open-source nature. This would be a great benefit for instructors and students alike since it would be of no cost to use, unlike other statistical packages. Due to this, students could continue using the program after their statistical courses and into their professional careers. It would be good to expose students while they are in school to a tool that professionals use in industry. R also has powerful …

Differential Patterns Of Interaction And Gaussian Graphical Models, Masanao Yajima, Donatello Telesca, Yuan Ji, Peter Muller

COBRA Preprint Series

We propose a methodological framework to assess heterogeneous patterns of association amongst components of a random vector expressed as a Gaussian directed acyclic graph. The proposed framework is likely to be useful when primary interest focuses on potential contrasts characterizing the association structure between known subgroups of a given sample. We provide inferential frameworks as well as an efficient computational algorithm to fit such a model and illustrate its validity through a simulation. We apply the model to Reverse Phase Protein Array data on Acute Myeloid Leukemia patients to show the contrast of association structure between refractory patients and relapsed …

Analysis Of Discrete Choice Probit Models With Structured Correlation Matrices, Bhaskara Ravi

Mathematics & Statistics Theses & Dissertations

Discrete choice models are very popular in Economics and the conditional logit model is the most widely used model to analyze consumer choice behavior, which was introduced in a seminal paper by McFadden (1974). This model is based on the assumption that the unobserved factors, which determine the consumer choices, are independent and follow a Gumbel distribution, widely known as the Independence of irrelevant Alternatives (IIA) assumption. Alternate models that relax IIA assumption are the Generalized Extreme Value (GEV) models, which allow dependency between unobserved factors. However, GEV models do not incorporate all dependency patterns, other choice behaviors such as …

Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi

CBN Journal of Applied Statistics (JAS)

This study analyzed the trends and pattern of institutional credit supply to agriculture during pre- and post-financial reforms along with their determinants. It then compared the effects of reform policies on access to institutional credits in Nigerian agricultural sector before and after the reforms (1978 - 1985; and 1986 -2009). Relying mainly on time series data from CBN and NBS, it used ordinary least squares method (linear, semi-log and double log) to model the determinants of banking sector lending to the agricultural sector during the review period. The models were subjected to several econometric tests before accepting one. Chow test …

Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba

CBN Journal of Applied Statistics (JAS)

On global scale, central banks’ holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of few countries. Ten major holders of foreign reserves are mostly from Asia. Oil exporting countries in Africa and the Middle East are not left out in this trend. Nigeria’s foreign reserves rose from US$5.5 billion in 1999 to US$62.40 billion in July 2008, making Nigeria the twenty-fourth largest reserves holder in the world. This pace of …

Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan

CBN Journal of Applied Statistics (JAS)

This study investigates the effect of exchange rate movements on real output growth in Nigeria. Based on quarterly series for the period 1986 to 2010, the paper examines the possible direct and indirect relationship between exchange rates and GDP growth. The relationship is derived in two ways using a simultaneous equations model within a fully specified (but small) macroeconomic model. A Generalised Method of Moments (GMM) technique was explored. The estimation results suggest that there is no evidence of a strong direct relationship between changes in exchange rate and output growth. Rather, Nigeria’s economic growth has been directly affected by …

Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda

CBN Journal of Applied Statistics (JAS)

The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates all through different time horizons. On this basis, this study examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis-a-vis the United State dollar using monthly time series data from 1986 to 2008. The standard Purchasing Power Parity (PPP) model was used to analyze the long-run consistency of …

Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari

CBN Journal of Applied Statistics (JAS)

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of the impact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI …

Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola

CBN Journal of Applied Statistics (JAS)

The paper examines the relationship between banking sector credit and economic growth in Nigeria over the period 1970-2008. The causal links between the pairs of variables of interest were established using Granger causality test while a Two-Stage Least Squares (TSLS) estimation technique was used for the regression models. The results of Granger causality test show evidence of unidirectional causal relationship from GDP to private sector credit (PSC) and from industrial production index (IND) to GDP. Estimated regression models indicate that private sector credit impacts positively on economic growth over the period of coverage in this study. However, lending (interest) rate …

Depicting Estimates Using The Intercept In Meta-Regression Models: The Moving Constant Technique, Blair T. Johnson Dr., Tania B. Huedo-Medina Dr.

CHIP Documents

In any scientific discipline, the ability to portray research patterns graphically often aids greatly in interpreting a phenomenon. In part to depict phenomena, the statistics and capabilities of meta-analytic models have grown increasingly sophisticated. Accordingly, this article details how to move the constant in weighted meta-analysis regression models (viz. “meta-regression”) to illuminate the patterns in such models across a range of complexities. Although it is commonly ignored in practice, the constant (or intercept) in such models can be indispensible when it is not relegated to its usual static role. The moving constant technique makes possible estimates and confidence intervals at …

A Stochastic Model For Wind Turbine Power Quality Using A Levy Index Analysis Of Wind Velocity Data, Jonathan Blackledge, Eugene Coyle, Derek Kearney

Conference papers

The power quality of a wind turbine is determined by many factors but time-dependent variation in the wind velocity are arguably the most important. After a brief review of the statistics of typical wind speed data, a non- Gaussian model for the wind velocity is introduced that is based on a Levy distribution. It is shown how this distribution can be used to derive a stochastic fractional diusion equation for the wind velocity as a function of time whose solution is characterised by the Levy index. A Levy index numerical analysis is then performed on wind velocity data for both …