On the pade tablé and its relationship to the r and sarrays and arm a modeling

The Box-Jenkins method is a popular and important technique for modeling and forecasting of time series. Unfortunately the problem of determining the appropriate ARMA forecasting model (or indeed if an ARMA model holds) is a major drawback to the use of the Box-Jenkins methodology. Gray et al. (1978) and Woodward and Gray (1979) have proposed methods of estimating p and qin ARMA modeling based on the R and Sarrays that circumvent some of these modeling difficulties.

In this paper we generalize the R and S arrays by showing a relationship to Padé approximunts and then show that these arrays have a much wider application than in just determining model order. Particular non-ARMA models can be identified as well. This includes certain processes that consist of deterministic functions plus ARMA noise, indeed we believe that the combined R and S arrays are the best overall tool so fur developed for the identification of general 2nd order (not just stationary) time scries models.     

Volatility and GMM — Monte Carlo studies and empirical estimations

In this article we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. we use a mean reverting square-root process to simulate the dynamics of this instantaneous variance rate. The time series obtained are used to estimate the parameters of the assumed variance rate process by applying GMM. Our results are described and compared to estimates from empirical data which consist of volatility as well as daily volume data of the German stock market. One of our main findings is that estimates of the mean reverting parameter that are not significantly different from zero do not necessarily imply a rejection of the hypothesis of a mean reverting behavior of the underlying stochastic process.     

On Some New α-Modified Binomial and Poisson Distributions and Their Applications

A new class of α-modified binomial distribution has been proposed, and its distributional properties like probability generating function (pgf), moments, and their interrelations have been studied. Two new α-modified Poisson distributions and Poisson distribution have been obtained as limiting distributions. Modified binomial and Poisson distributions introduced by Berg and Jaworski (1988 Berg , S. , Jaworski , J. ( 1988 ). Modified binomial and Poisson distributions with application in random mapping theory . J. Statist. Plann. Infer. 18 : 313 – 322 . [Google Scholar]) have been seen as particular cases. Mixture distributions of α-modified binomial distributions have been derived. A new distributions called α-modified binomial distributions of type j, their moment properties, limiting distributions as α-modified Poisson distribution of type j, their different convolution properties, pgf, parameter estimators have been studied. Two more new distributions namely Doubly α-modified binomial distributions of type (i, j) and α-modified weighted generalized Poisson distributions of type (j ? 1) have also been studied. Various α-modified binomial and Poisson distributions of Berg and Mutafchiev (1990 Berg , S. , Mutafchiev , L. ( 1990 ). Random mapping with an attracting center: Lagrangian distributions and a regression function . J. Appl. Probab. 27 : 622 – 636 . [Google Scholar]) and Berg and Nowicki (1991 Berg , S. , Nowicki , K. ( 1991 ). Statistical inference for a class of modified power series distributions with applications to random mapping theory . J. Statist. Plann. Infer. 28 : 247 – 261 . [Google Scholar]) have been seen as special cases. Application of some of these proposed distributions have been identified.     

Durbin–Watson and Generalized Durbin–Watson Tests for Autocorrelations and Randomness

The Durbin–Watson (DW) test for lag 1 autocorrelation has been generalized (DWG) to test for autocorrelations at higher lags. This includes the Wallis test for lag 4 autocorrelation. These tests are also applicable to test for the important hypothesis of randomness. It is found that for small sample sizes a normal distribution or a scaled beta distribution by matching the first two moments approximates well the null distribution of the DW and DWG statistics. The approximations seem to be adequate even when the samples are from nonnormal distributions. These approximations require the first two moments of these statistics. The expressions of these moments are derived.     

Marcinkiewicz–Zygmund and ordinary strong laws for empirical distribution functions and plug-in estimators

Both Marcinkiewicz–Zygmund strong laws of large numbers (MZ-SLLNs) and ordinary strong laws of large numbers (SLLNs) for plug-in estimators of general statistical functionals are derived. It is used that if a statistical functional is ‘sufficiently regular’, then an (MZ-)SLLN for the estimator of the unknown distribution function yields an (MZ-)SLLN for the corresponding plug-in estimator. It is in particular shown that many L-, V- and risk functionals are ‘sufficiently regular’ and that known results on the strong convergence of the empirical process of α-mixing random variables can be improved. The presented approach does not only cover some known results but also provides some new strong laws for plug-in estimators of particular statistical functionals.     

The uniform local asymptotics for a Lévy process and its overshoot and undershoot

ABSTRACT

In this article, we obtain the uniform local asymptotics for a Lévy process with a heavy-tailed Lévy measure and for the overshoot and undershoot of the Lévy process. As applications, we get the uniform asymptotics of the finite-time ruin probability and the local ruin probability for the Lévy risk model with a heavy-tailed Lévy measure. By the above results, we find that in the compound Poisson model perturbed by a Brownian motion, the effect of the Brownian component on the asymptotics of the finite-time ruin probability and the local ruin probability washes out.     

No Satisfaction? But We Try,and We Try,and We Try!

ABSTRACT

When Old Dominion University Libraries conducted the LibQUAL+ survey in 2015, results indicated a lack of satisfaction in effectively discovering and using our electronic resources. This article is based on a presentation from the 2017 North Carolina Serials Conference describing how Old Dominion University Libraries used data from the LibQUAL+ survey results to help our users connect more effectively with information resources, resulting in an improved user experience and an increased level of satisfaction.     

β-Skeleton depth functions and medians

We define the β-skeleton depth based on the probability that a point is contained within the β-skeleton influence region of two i.i.d. random vectors. The proposed family of depth functions satisfies the four desirable properties of statistical depth function. We also define and examine the sample β-skeleton depth functions and show that they share well-behaved asymptotic properties, including uniform consistency and asymptotic normality. Finally, we explore the β-skeleton multidimensional medians as location estimators of the center of multivariate distributions, discuss its asymptotic properties, and study its breakdown point. A Monte Carlo study compares the β-skeleton medians with the random Tukey median and the sample mean.     

Open Access and Promotion and Tenure Evaluation Plans at the University of Wisconsin–Eau Claire

Department and program evaluation plans at the University of Wisconsin–Eau Claire were examined to see if these documents provide evidence that could be used to justify supporting the publication of peer-reviewed open access articles toward tenure and promotion. In an earlier study, the authors reveal that faculty members at the University of Wisconsin–Eau Claire are more unaware of open access publishing than their counterparts at larger universities. These findings dovetail with other studies that show that faculty members are reluctant to publish in open access journals because of concerns about the quality of those journals. The existing body of scholarship suggests that tenure-line faculty fear publishing in open access journals because it could adversely impact their chances of promotion and tenure. The authors of this current study sought to determine if department and program evaluation plans could influence negative perceptions faculty have of open access journals. The implications of this study for librarians, scholarly communication professionals, tenure-line faculty, departments, and programs are addressed.     

Collective risk model: Poisson–Lindley and exponential distributions for Bayes premium and operational risk

In this paper the collective risk model with Poisson–Lindley and exponential distributions as the primary and secondary distributions, respectively, is developed in a detailed way. It is applied to determine the Bayes premium used in actuarial science and also to compute the regulatory capital in the analysis of operational risk. The results are illustrated with numerous examples and compared with other approaches proposed in the literature for these questions, with considerable differences being observed.     

Robustness and power of parametric, nonparametric, robustified and adaptive tests—The multi-sample location problem

This paper deals with a survey of different types of tests, parametric, nonparametric, robustified and adaptive ones, and with an application to the two-sided c-sample location problem. Some concepts of robustness are discussed, such as breakdown point, influence function, gross-error sensitivity and especially α- and β-robustness. A robustness study on level α in the case of heteroscedasticity and nonnormal distributions is carried out via Monte Carlo methods and also a power comparison of all the tests considered. It turns out that robustified versions of the F-test and Welch-test where the original observations are replaced by its ranks behave well over a broad class of distributions, symmetric ones with different tail weight and asymmetric ones, but, on the whole, an adaptive test is to prefer.     

Regression and ICOMP—A Simulation Study

A regression simulation study investigates the behaviour of ICOMP, AIC, and BIC under various collinearity-, sample size-, and residual variance-levels. When the variation in the design matrix is large, as the collinearity levels in the design matrix increased, the agreement percentages for all of the information criteria decreased monotonically and that ICOMP agreed with the Kullback Leibler model more often. As the residual variance increases, the agreement percentages of all of the information criteria decreases. However, as the sample size increased the agreement percentages of all information criteria increased. When the variation in the design matrix is low and the collinearity is low, as the residual variance increases, the agreement percentages for all of the information criteria decreases monotonically such that ICOMP agreed more often with Kullback Leibler model than both AIC and BIC.     

Cultural Anthropology and Open Access—Interview With Dominic Boyer,Cymene Howe,and Marcel LaFlamme

Abstract

In this installment of “Conversations,” Dominic Boyer, Cymene Howe, and Marcel LaFlamme, of the Cultural Anthropology editorial team, discuss the ins and outs of publishing a gold open access journal in the field of anthropology. Highlights of the discussion include Cultural Anthropology’s move to open access, the ethics of open access, the growth of international readership, ongoing publishing challenges in open access, and the role libraries can play with open access publishing.     

Critical values of Mandel’s h and k, the Grubbs and the Cochran test statistic

According to ISO 5725-2 (1994), measurement results obtained in an interlaboratory experiment are inspected for consistency by plotting Mandel’s h and k statistics and for outliers by application of the Grubbs test and the Cochran test. Critical values of these statistics for significance levels α=5% and α=1% and for some numbers p of laboratories and n of repeated measurements in the laboratories are supplied in ISO 5725-2 without reference to methods for their calculation. In this paper, exact formulae for the critical values of Mandel’s h and k and approximate formulae for the critical values of the Single Grubbs test, the Double Grubbs test and the Cochran test are derived.