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Articles 1 - 11 of 11

Full-Text Articles in Statistical Models

Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn May 2018

Inversion Copulas From Nonlinear State Space Models With An Application To Inflation Forecasting, Michael S. Smith, Worapree Ole Maneesoonthorn

Michael Stanley Smith

We propose the construction of copulas through the inversion of nonlinear state space models. These copulas allow for new time series models that have the same serial dependence structure as a state space model, but with an arbitrary marginal distribution, and flexible density forecasts. We examine the time series properties of the copulas, outline serial dependence measures, and estimate the models using likelihood-based methods. Copulas constructed from three example state space models are considered: a stochastic volatility model with an unobserved component, a Markov switching autoregression, and a Gaussian linear unobserved component model. We show that all three inversion copulas …

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Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith Nov 2017

Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith

Michael Stanley Smith

We propose a new variational Bayes estimator for high-dimensional copulas with discrete, or a combination of discrete and continuous, margins. The method is based on a variational approximation to a tractable augmented posterior, and is faster than previous likelihood-based approaches. We use it to estimate drawable vine copulas for univariate and multivariate Markov ordinal and mixed time series. These have dimension $rT$, where $T$ is the number of observations and $r$ is the number of series, and are difficult to estimate using previous methods. 
The vine pair-copulas are carefully selected to allow for heteroskedasticity, which is a feature of most ordinal …

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Implementing Propensity Score Matching With Network Data: The Effect Of Gatt On Bilateral Trade, Luca De Benedictis, Bruno Arpino, Alessandra Mattei Mar 2017

Implementing Propensity Score Matching With Network Data: The Effect Of Gatt On Bilateral Trade, Luca De Benedictis, Bruno Arpino, Alessandra Mattei

Luca De Benedictis

Motivated by the evaluation of the causal effect of the General Agreement on Tariffs and Trade on bilateral international trade flows, we investigate the role of network structure in propensity score matching under the assumption of strong ignorability. We study the sensitivity of causal inference with respect to the presence of characteristics of the network in the set of confounders conditional on which strong ignorability is assumed to hold. We find that estimates of the average causal effect are highly sensitive to the presence of node-level network statistics in the set of confounders. Therefore, we argue that estimates may suffer …

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Shining A Light On A University Special Collection With Data Visualization, Lisa Deluca, Katie M. Wissel Mar 2017

Shining A Light On A University Special Collection With Data Visualization, Lisa Deluca, Katie M. Wissel

Kathryn Wissel, MBA, MI

The Valente Collection is a 29,000 volume special collection that bridges Italian and Italian American history, literature, religion and art. It is a unique asset for the library and the university. One concept for promoting this collection and offering insight into the holdings is visualization. This goal of this poster is to help academic librarians assess which tools are most appropriate to create visualizations of current collections. Examples of different visualization types are explained including Excel Power Map. Tableau and Datawrapper.

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An Outlier Robust Block Bootstrap For Small Area Estimation, Payam Mokhtarian, Ray Chambers Mar 2014

An Outlier Robust Block Bootstrap For Small Area Estimation, Payam Mokhtarian, Ray Chambers

Payam Mokhtarian

Small area inference based on mixed models, i.e. models that contain both fixed and random effects, are the industry standard for this field, allowing between area heterogeneity to be represented by random area effects. Use of the linear mixed model is ubiquitous in this context, with maximum likelihood, or its close relative, REML, the standard method for estimating the parameters of this model. These parameter estimates, and in particular the resulting predicted values of the random area effects, are then used to construct empirical best linear unbiased predictors (EBLUPs) of the unknown small area means. It is now well known …

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A General Framework For Infrastructure System Reliability Modelling And Analysis, Payam Mokhtarian, Mohammad-Reza Namazi-Rad, Tin Kin Ho, Mahmoud Efatmaneshnik Mar 2014

A General Framework For Infrastructure System Reliability Modelling And Analysis, Payam Mokhtarian, Mohammad-Reza Namazi-Rad, Tin Kin Ho, Mahmoud Efatmaneshnik

Payam Mokhtarian

An infrastructure system is inherently complex, with layers of both explicitly defined and hidden or subtle interfaces with other infrastructure systems and human users. High availability is desired, which implies stringent requirements on reliability and safety. Reliability analysis typically starts at component or sub-system level and aggregates through the system functional hierarchy. Because of the system complexity, incorporating occurrences of all possible interactions and scenarios is not always practical and failure data is often limited. Moreover, there are unobserved events among the sub-systems distributing either randomly or with temporal trend. To facilitate reliability analysis amid the complex environment and uncertain …

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From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher Dec 2013

From Amazon To Apple: Modeling Online Retail Sales, Purchase Incidence And Visit Behavior, Anastasios Panagiotelis, Michael S. Smith, Peter Danaher

Michael Stanley Smith

In this study we propose a multivariate stochastic model for website visit duration, page views, purchase incidence and the sale amount for online retailers. The model is constructed by composition from carefully selected distributions, and involves copula components. It allows for the strong nonlinear relationships between the sales and visit variables to be explored in detail, and can be used to construct sales predictions. The model is readily estimated using maximum likelihood, making it an attractive choice in practice given the large sample sizes that are commonplace in online retail studies. We examine a number of top-ranked U.S. online retailers, …

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Bicycle Commuting In Melbourne During The 2000s Energy Crisis: A Semiparametric Analysis Of Intraday Volumes, Michael S. Smith, Goeran Kauermann Dec 2010

Bicycle Commuting In Melbourne During The 2000s Energy Crisis: A Semiparametric Analysis Of Intraday Volumes, Michael S. Smith, Goeran Kauermann

Michael Stanley Smith

Cycling is attracting renewed attention as a mode of transport in western urban environments, yet the determinants of usage are poorly understood. In this paper we investigate some of these using intraday bicycle volumes collected via induction loops located at ten bike paths in the city of Melbourne, Australia, between December 2005 and June 2008. The data are hourly counts at each location, with temporal and spatial disaggregation allowing for the impact of meteorology to be measured accurately for the first time. Moreover, during this period petrol prices varied dramatically and the data also provide a unique opportunity to assess …

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Men In Black: The Impact Of New Contracts On Football Referees’ Performances, Babatunde Buraimo, Alex Bryson, Rob Simmons Oct 2010

Men In Black: The Impact Of New Contracts On Football Referees’ Performances, Babatunde Buraimo, Alex Bryson, Rob Simmons

Dr Babatunde Buraimo

No abstract provided.

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The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell May 2010

The 1905 Einstein Equation In A General Mathematical Analysis Model Of Quasars, Byron E. Bell

Byron E. Bell

The 1905 wave equation of Albert Einstein is a model that can be used in many areas, such as physics, applied mathematics, statistics, quantum chaos and financial mathematics, etc. I will give a proof from the equation of A. Einstein’s paper “Zur Elektrodynamik bewegter Körper” it will be done by removing the variable time (t) and the constant (c) the speed of light from the above equation and look at the factors that affect the model in a real analysis framework. Testing the model with SDSS-DR5 Quasar Catalog (Schneider +, 2007). Keywords: direction cosine, apparent magnitudes of optical light; ultraviolet …

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Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi Dec 2004

Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi

Claudio Lupi

This paper is motivated by a very practical question: are there significant geographical differences in the accessibility to the credit market on the part of Italian households? The investigation is carried using robust probit model. Estimation is carried out in a Bayesian framework. The results are somewhat surprising, showing that the area where households are more likely to be credit constrained is not the South, as could be easily imagined, but rather the highly developed and industrialized North-West.

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