Wavelet Estimation of a Density in a GARCH-type Model

We consider the GARCH-type model: S = σ² Z, where σ² and Z are independent random variables. The density of σ² is unknown whereas the one of Z is known. We want to estimate the density of σ² from n observations of S under some dependence assumption (the exponentially strongly mixing dependence). Adopting the wavelet methodology, we construct a nonadaptive estimator based on projections and an adaptive estimator based on the hard thresholding rule. Taking the mean integrated squared error over Besov balls, we prove that the adaptive one attains a sharp rate of convergence.     

Asymptotic Properties of QML Estimators for VARMA Models with Time‐dependent Coefficients

This paper is about vector autoregressive‐moving average models with time‐dependent coefficients to represent non‐stationary time series. Contrary to other papers in the univariate case, the coefficients depend on time but not on the series' length n. Under appropriate assumptions, it is shown that a Gaussian quasi‐maximum likelihood estimator is almost surely consistent and asymptotically normal. The theoretical results are illustrated by means of two examples of bivariate processes. It is shown that the assumptions underlying the theoretical results apply. In the second example, the innovations are marginally heteroscedastic with a correlation ranging from ?0.8 to 0.8. In the two examples, the asymptotic information matrix is obtained in the Gaussian case. Finally, the finite‐sample behaviour is checked via a Monte Carlo simulation study for n from 25 to 400. The results confirm the validity of the asymptotic properties even for short series and the asymptotic information matrix deduced from the theory.     

Aging and well-being in French older adults regularly practicing physical activity: a self-determination perspective

The purpose of this study was to identify the motivational profiles of physically active older adults and to achieve a better understanding of their perceived motives to explain their regular physical activity behavior in relation to self-determination theory (SDT). To address these aims, this study used quantitative and qualitative approaches. Older adults (n = 92; M = 74.95, SD = 4.6) completed the French version of the Sport Motivational Scale. A cluster analysis showed two motivational profiles with differential motivational patterns. The first was named the high combined profile, with high scores on intrinsic motivation and introjected regulation and low levels of external regulation. The second profile was the low to moderate motivational profile, with low scores on intrinsic motivation and moderate scores on introjected regulation. The qualitative study's results demonstrate the usefulness of SDT in explaining the relationship between these motivational profiles and the intertwining of the three basic psychological needs.     

Beyond support in two-stage variable selection

Numerous variable selection methods rely on a two-stage procedure, where a sparsity-inducing penalty is used in the first stage to predict the support, which is then conveyed to the second stage for estimation or inference purposes. In this framework, the first stage screens variables to find a set of possibly relevant variables and the second stage operates on this set of candidate variables, to improve estimation accuracy or to assess the uncertainty associated to the selection of variables. We advocate that more information can be conveyed from the first stage to the second one: we use the magnitude of the coefficients estimated in the first stage to define an adaptive penalty that is applied at the second stage. We give the example of an inference procedure that highly benefits from the proposed transfer of information. The procedure is precisely analyzed in a simple setting, and our large-scale experiments empirically demonstrate that actual benefits can be expected in much more general situations, with sensitivity gains ranging from 50 to 100 % compared to state-of-the-art.     

The Valuation of Non-Monetary Consumption in Household Surveys

Many social indicators are based on household consumption information. The valuation of non-monetary operations is crucial for the analysis of consumption surveys in developing countries because of the importance of own-consumption and transfers in kind. What are the price statistics used in the valuation of consumption indicators? How is the available price information exploited to produce consumption indicators? How can the different steps of the valuation process be analysed? We explore these questions by presenting the valuation method for the consumption used in rural Rwanda for the 1983 consumption survey, and by proposing a general model of valuation algorithm. This is useful not only for improving such algorithms, but also for assessing the impact of the valuation process on economic analyses.     

On the estimation of female births missing due to prenatal sex selection

This research note is prompted by a paper by Kashyap (Is prenatal sex selection associated with lower female child mortality? Population Studies 73(1): 57–78). Kashyap’s paper, which provides 40 original estimates of missing female births, relies on an alternative definition of missing female births, leading to estimates of about half the magnitude of other estimates. There appears, therefore, a real need to take stock of the concept of missing female births widely used by statisticians around the world for assessing the demographic consequences of prenatal sex selection. This research note starts with a brief review of the history of the concept and the difference between Amartya Sen’s original method and the alternative method found elsewhere to compute missing female births. We then put forward three different arguments (deterministic and probabilistic approaches, and consistency analysis) in support of the original computation procedure based on the number of observed male births and the expected sex ratio at birth.     

Peakedness‐Based Staffing for Call Center Outsourcing

This study considers the staffing problem of a vendor call center in a co‐sourcing setting. The aim is to take short‐term variability and correlations in time for call arrivals at such a vendor call center into account. To do so, peakedness is proposed as a useful measure of the burstiness in the arrival stream. The study empirically demonstrates the presence of bursty arrivals at a call center and proposes an approach to the measurement of the peakedness of the arrival stream making use of standard call center data. The problematic nature of bursty arrivals in the context of call center co‐sourcing is demonstrated along with an asymptotic result establishing that the problem persists in large call centers. The study then analyzes two peakedness‐based staffing methods: one which is a well known extension of the square root staffing rule and another which makes use of the Hayward approximation principles. Both approaches are simple and enable the vendor to improve its staffing procedure with good accuracy.     

Minimum d-blockers and d-transversals in graphs

We consider a set V of elements and an optimization problem on V: the search for a maximum (or minimum) cardinality subset of V verifying a given property ℘. A d-transversal is a subset of V which intersects any optimum solution in at least d elements while a d-blocker is a subset of V whose removal deteriorates the value of an optimum solution by at least d. We present some general characteristics of these problems, we review some situations which have been studied (matchings, s–t paths and s–t cuts in graphs) and we study d-transversals and d-blockers of stable sets or vertex covers in bipartite and in split graphs.     

Validation of surrogate end points in multiple randomized clinical trials with failure time end points

Before a surrogate end point can replace a final (true) end point in the evaluation of an experimental treatment, it must be formally 'validated'. The validation will typically require large numbers of observations. It is therefore useful to consider situations in which data are available from several randomized experiments. For two normally distributed end points Buyse and co-workers suggested a new definition of validity in terms of the quality of both trial level and individual level associations between the surrogate and true end points. This paper extends this approach to the important case of two failure time end points, using bivariate survival modelling. The method is illustrated by using two actual sets of data from cancer clinical trials.