Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables

Analytical properties of regression and the variance–covariance matrix of asymmetric generalized scale mixture of multivariate Gaussian variables are presented. The analysis includes an in-depth analytical investigation of the first two conditional moments of the mixing variable. Exact computable expressions for the prediction and the conditional variance are presented for the generalized hyperbolic distribution using the inversion theorem for Fourier transforms. An application to financial log returns is demonstrated via the classical Euler approximation. The methodology is illustrated by analyzing the regression of intraday log returns for CISCO against the corresponding data from S&P 500.     

Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects

Abstract. We consider N independent stochastic processes (X _i (t), t ∈ [0,T _i ]), i=1,…, N, defined by a stochastic differential equation with drift term depending on a random variable φ _i . The distribution of the random effect φ _i depends on unknown parameters which are to be estimated from the continuous observation of the processes X_i. We give the expression of the exact likelihood. When the drift term depends linearly on the random effect φ _i and φ _i has Gaussian distribution, an explicit formula for the likelihood is obtained. We prove that the maximum likelihood estimator is consistent and asymptotically Gaussian, when T _i =T for all i and N tends to infinity. We discuss the case of discrete observations. Estimators are computed on simulated data for several models and show good performances even when the length time interval of observations is not very large.     

Multivariate Kendall's tau for change‐point detection in copulas

Statistical procedures for the detection of a change in the dependence structure of a series of multivariate observations are studied in this work. The test statistics that are proposed are $L_1$ , $L_2$ , and $L_{\infty }$ distances computed from vectors of differences of Kendall's tau; two multivariate extensions of Kendall's measure of association are used. Since the distributions of these statistics under the null hypothesis of no change depend on the unknown underlying copula of the vectors, a procedure based on the multiplier central limit theorem is used for the computation of p‐values; the method is shown to be valid both asymptotically and for moderate sample sizes. Alternative versions of the tests that take into account possible breakpoints in the marginal distributions are also investigated. Monte Carlo simulations show that the tests are powerful under many scenarios of change‐point. In addition, two estimators of the time of change are proposed and their efficiency is carefully studied. The methodologies are illustrated on simulated series from the Canadian Regional Climate Model. The Canadian Journal of Statistics 41: 65–82; 2013 © 2012 Statistical Society of Canada     

Tests for random time effects and spatial error correlation in panel regression models

We consider a panel model with spatial autocorrelation and heterogeneity across time. Various Lagrange multiplier and likelihood ratio test statistics are developed for testing time effects and spatial effects, jointly, marginally or conditionally. Limiting null distributions of the tests are derived. Size and power performances of the proposed tests are compared by a Monte-Carlo experiment.     

Statistical Certification of Software Systems

Common software release procedures based on statistical techniques try to optimize the trade-off between further testing costs and costs due to remaining errors. We propose new software release procedures where the aim is to certify with a certain confidence level that the software does not contain errors. The underlying model is a discrete time model similar to the geometric Moranda model. The decisions are based on a mix of classical and Bayesian approaches to sequential testing and do not require any assumption on the initial number of errors.     

Number of Replications Required in Control Chart Monte Carlo Simulation Studies

Monte Carlo simulations have been used extensively in studying the performance of control charts. Researchers have used various numbers of replications in their studies, but almost none of them provided justifications for the number of replications used. Currently, there are no empirically based recommendations regarding the required number of replications to ensure accurate results. This research examined six recently published studies to develop recommendations for the minimum number of replications necessary to reproduce the reported results within a specified degree of accuracy. The results of this study indicated that using 10,000 replications was unnecessarily large and a smaller number of replications could be used to reproduce the target ARLs within the 2% error bands satisfying the modified Mundfrom's criteria. In many cases, only 5,000 replications or fewer were required. In general, the number of replications required to reproduce the target ARL decreased as the shift size increased. In addition, the results of this study provide general recommendations for the required number of replications to use in future SPC simulation studies.     

Testing the Equality of the Noncentrality Parameters of Two Noncentral t-Distributions with Identical Degrees of Freedom

The problem of testing the equality of the noncentrality parameters of two noncentral t-distributions with identical degrees of freedom is considered, which arises from the comparison of two signal-to-noise ratios for simple linear regression models. A test procedure is derived that is guaranteed to maintain Type I error while having only minimal amounts of conservativeness, and comparisons are made with several other approaches to this problem based on variance stabilizing transformations. The new procedure derived in this article is shown to have good properties and will be useful for practitioners.     

Academic “Centres,” Epistemic Differences and Brain Circulation

This article investigates the factors that shape how migrant academics engage with fellow scholars within their countries of origin. We focus specifically on the mobility of Asian‐born faculty between Singapore, a fast‐developing education hub in Southeast Asia, and their “home” countries within the region. Based on qualitative interviews with 45 migrant academics, this article argues that while education hubs like Singapore increase the possibility of brain circulation within Asia, epistemic differences between migrant academics and home country counterparts make it difficult to establish long‐term collaboration for research. Singapore institutions also look to the West in determining how research work is assessed for tenure and promotion, encouraging Singapore‐based academics to focus on networking with colleagues and peers based in the US and Europe rather than those based in origin countries. Such conditions undermine the positive impact of academic mobility between Singapore and surrounding countries within the region.     

Active Ageing Index in Korea – Comparison with China and EU countries

The evidence‐based policymaking relies on the use and robustness of the available data. Many conceptual and operational difficulties restrict this process, not least in making use of evidence to identify policy priorities. The Active Ageing Index (AAI), developed originally for the 28 European Union countries, offers a strong motivation in this respect. This paper reports on the development of the AAI for Korea, a country where speed and level of population aging is among the highest in the world. Drawing on the comparative analysis of the AAI results for Korea, China, and European countries, we find that Korea's AAI (35.3) is higher than the average of the AAI for all EU countries (33.9) but lower than China (37.3). Fitting Korea into the overall ranking with the EU countries and China (ranked 7), Korea is ranked 11, just behind Germany (10). The AAI results in Korea show that the employment domain performs extremely well compared with the EU countries, but other domains, especially “Social participation” and “Independent, healthy and secure living,” are achieving less favorable outcomes. High employment among the current cohorts of older workers in Korea can be attributed largely to the constraints of low pension income status.