Detecting Directionality in Time Series

Abstract

Directionality can be seen in many stationary time series from various disciplines, but it is overlooked when fitting linear models with Gaussian errors. Moreover, we cannot rely on distinguishing directionality by comparing a plot of a time series in time order with a plot in reverse time order. In general, a statistical measure is required to detect and quantify directionality. There are several quite different qualitative forms of directionality, and we distinguish: rapid rises followed by slow recessions; rapid increases and rapid decreases from the mean followed by slow recovery toward the mean; directionality above or below some threshold; and intermittent directionality. The first objective is to develop a suite of statistical measures that will detect directionality and help classify its nature. The second objective is to demonstrate the potential benefits of detecting directionality. We consider applications from business, environmental science, finance, and medicine. Time series data are collected from many processes, both natural and anthropogenic, by a wide range of organizations, and directionality can easily be monitored as part of routine analysis. We suggest that doing so may provide new insights to the processes.     

Analysis of nonlinear state space model with dependent measurement noises

This paper presents a nonlinear state space model with considering a first-order autoregressive model for measurement noises. A recursive method using Taylor series based approximations for filtering, prediction and smoothing problem of hidden states from the noisy observations is designed. Also, an expectation-maximization algorithm for calculating the maximum likelihood estimators of parameters is presented. The closed form solutions are obtained for estimating of the hidden states and the unknown parameters. Finally, the performance of the designed methods are verified in a simulation study.     

“Double-dose” English as a strategy for improving adolescent literacy: Total effect and mediated effect through classroom peer ability change

“Double-dose” coursework has become an increasingly popular strategy to assist low-performing students succeed in academic coursework. Chicago implemented a “double-dose” English policy in 2003. This policy not only provided additional instructional time to struggling readers, but also intensified skill-based sorting in English classes. I use policy-induced variation to infer the policy effect on students’ reading achievement and the effect mediated by classroom peer ability change. Results show very weak, but positive effects of taking double-dose English for students with average skills. However, potential benefits of doubled instructional time are likely to be offset by negative effects of declines in classroom peer ability. Students with very weak skills experienced minimal change in classroom peer ability, and two-period coursework is likely to benefit these students.     

Student budgets and widening participation: Comparative experiences of finance in low and higher income undergraduates at a northern red brick university

Drawing on a thematic analysis of longitudinal qualitative data (n_total = 118), this article takes a “whole student lifecycle” approach to examine how lower and higher income students at an English northern red brick university variously attempted to manage their individual budgets. It explores how students reconcile their income—in the form of loans, grants, and bursaries—with the cost of living. Four arenas of interest are described: planning, budgeting, and managing “the student loan”; disruptions to financial planning; the role of familial support; and strategies of augmenting the budget. In detailing the micro‐level constraints on the individual budgets of lower and higher income undergraduates, the article highlights the importance of non‐repayable grants and bursaries in helping to sustain meaningful participation in higher tariff, more selective, higher education institutions. It also supports an emerging body of literature that suggests that the continuing amendments to the system of funding higher education in England are unlikely to address inequality of access, participation, and outcome.     

Modeling Finite‐Time Failure Probabilities in Risk Analysis Applications

In this article, we introduce a framework for analyzing the risk of systems failure based on estimating the failure probability. The latter is defined as the probability that a certain risk process, characterizing the operations of a system, reaches a possibly time‐dependent critical risk level within a finite‐time interval. Under general assumptions, we define two dually connected models for the risk process and derive explicit expressions for the failure probability and also the joint probability of the time of the occurrence of failure and the excess of the risk process over the risk level. We illustrate how these probabilistic models and results can be successfully applied in several important areas of risk analysis, among which are systems reliability, inventory management, flood control via dam management, infectious disease spread, and financial insolvency. Numerical illustrations are also presented.     

论郭沫若《凤凰涅槃》的修订及其释义

《凤凰涅槃》作为收入诗集《女神》的一首白话新诗，它鲜明地表现了五四时代的不乏困惑的理想主义、革新精神和自我精神，同时也极好的融合中国古典的传统和西洋现代主义精神。郭沫若对该诗持续的修改表明了时代思潮的更替、诗人思想情感的变幻，以及诗歌形式的完善。“凤凰涅槃”是郭沫若创造的一个跨文化(诗意)新词。     

Reconceptualizing the generation in a digital(izing) modernity: digital media,social networking sites,and the flattening of generations

As digitalization binds society to an apparently perpetual acceleration, questions about the nature of time and speed have gained new urgency in the social sciences. Yet, theorizations of these issues have neglected their implications for social life and generations. Linking these lacunae, this article articulates how digital media and social networking sites (SNS) shape social life through cultural transformations in the generation. This article rationalizes predominant patterns of SNS user behaviors in the context of social theoretical and philosophical frameworks informed by Mannheim, Simmel, Adorno, Benjamin, Arendt, social presence, action, and acceleration theories to offer a relational reconceptualization of the generation as a set of social relations and processes for visualizing changing conceptions of time and speed in a digital (izing) modernity. This article introduces the concept of general and local generationing processes to articulate the processual nature of the generation and to assert that trends in SNS use and content production are underwritten by grammatical logics that collectively “flatten” separate traditional generations to form a cross-demographic and cross-temporal digital generation.     

Confidence intervals for extreme Pareto-type quantiles

In this paper, we revisit the construction of confidence intervals for extreme quantiles of Pareto-type distributions. A novel asymptotic pivotal quantity is proposed for these quantile estimators, which leads to new asymptotic confidence intervals that exhibit more accurate coverage probability. This pivotal quantity also allows for the construction of a saddle-point approximation, from which a second set of new confidence intervals follows. The small-sample properties and utility of these confidence intervals are studied using simulations and a case study from insurance.     

Test of parameter changes in a class of observation-driven models for count time series

Abstract

This paper investigates the parameter-change tests for a class of observation-driven models for count time series. We propose two cumulative sum (CUSUM) test procedures for detection of changes in model parameters. Under regularity conditions, the asymptotic null distributions of the test statistics are established. In addition, the integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) processes with conditional negative binomial distributions are investigated. The developed techniques are examined through simulation studies and also are illustrated using an empirical example.     

Cox regression of clustered event times with covariates missing not at random

Motivated by a recent tuberculosis (TB) study, this paper is concerned with covariates missing not at random (MNAR) and models the potential intracluster correlation by a frailty. We consider the regression analysis of right‐censored event times from clustered subjects under a Cox proportional hazards frailty model and present the semiparametric maximum likelihood estimator (SPMLE) of the model parameters. An easy‐to‐implement pseudo‐SPMLE is then proposed to accommodate more realistic situations using readily available supplementary information on the missing covariates. Algorithms are provided to compute the estimators and their consistent variance estimators. We demonstrate that both the SPMLE and the pseudo‐SPMLE are consistent and asymptotically normal by the arguments based on the theory of modern empirical processes. The proposed approach is examined numerically via simulation and illustrated with an analysis of the motivating TB study data.