Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions

Abstract

The multivariate elliptically contoured distributions provide a viable framework for modeling time-series data. It includes the multivariate normal, power exponential, t, and Cauchy distributions as special cases. For multivariate elliptically contoured autoregressive models, we derive the exact likelihood equations for the model parameters. They are closely related to the Yule-Walker equations and involve simple function of the data. The maximum likelihood estimators are obtained by alternately solving two linear systems and illustrated using the simulation data.     

Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

Testing the fractionally integrated order of seasonal and nonseasonal unit roots is quite important for the economic and financial time series modeling. In this article, the widely used Robinson's (1994 Robinson , P. M. ( 1994 ). Efficient tests of nonstationary hypotheses . J. Am. Stat. Assoc. 89 ( 428 ): 1420 – 1437 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]) test is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare the performances of this test using several sample sizes.     

Paired-Samples Tests of Equivalence

Equivalence tests are used when the objective is to find that two or more groups are nearly equivalent on some outcome, such that any difference is inconsequential. Equivalence tests are available for several research designs, however, paired-samples equivalence tests that are accessible and relevant to the research performed by psychologists have been understudied. This study evaluated parametric and nonparametric two one-sided paired-samples equivalence tests and a standardized paired-samples equivalence test developed by Wellek (2003 Wellek , S. (2003). Testing Statistical Hypotheses of Equivalence . New York : Chapman & Hall/CRC. [Google Scholar]). The two one-sided procedures had better Type I error control and greater power than Wellek's test, with the nonparametric procedure having increased power with non normal distributions.     

Methods for Testing Population Signal-to-Noise Ratio

This article considered several test statistics for testing the population signal-to-noise ratio based on parametric, nonparametric, and modified methods. To compare the performance of the proposed test statistics, a simulation study has been conducted under both symmetric and skewed distributions. The performance of the test statistics is compared based on the empirical size and power of the test. It is evident for large sample that some of our proposed test statistics are performing better in the sense of high power and have been recommended for the researchers.     

Asymptotic Results for Spatial ARMA Models

Causal quadrantal-type spatial ARMA(p, q) models with independent and identically distributed innovations are considered. In order to select the orders (p, q) of these models and estimate their autoregressive parameters, estimators of the autoregressive coefficients, derived from the extended Yule–Walker equations are defined. Consistency and asymptotic normality are obtained for these estimators. Then, spatial ARMA model identification is considered and simulation study is given.     

Statistical Computing Software Reviews

This department includes the two sections New Developments in Statistical Computing and Statistical Computing Software Reviews; suitable contents for each of these sections is described under the respective section heading. Articles submitted for the department, outside the two sections, should not be highly technical and should be relevant to the teaching or practice of statistical computing.

This section is similar in organization to a Book Review section in other journals; however, software of interest to statisticians is the subject of review here. Emphasis is on software for microcomputers. Programs that operate only in larger mainframe computers will seldom receive review. Normally, producers of programs make a copy of their product available to the Section Editor, who then selects one or more persons to test the product and prepare a review.

Producers of computer software who wish to have their product reviewed are invited to contact the Section Editor, Professor Kenneth Berk, Department of Mathematics, 313 Stevenson Hall, Illinois State University, Normal, IL 61761.

Findings and opinions expressed in every review are solely those of the author. They should not be construed as reflecting endorsement of the product, or opinions held, by the American Statistical Association, nor is any warranty implied about any product reviewed.

SYSTAT Leland Wilkinson. Available from Systat, Inc., 603 Main St., Evanston, IL 60202. $495 (multiple copy and site fees available). Reviewed by Mark I. Scherwish

AIDA, Version 9/82 David A. Lingwood, Available from Action-Research Northwest, 11442 Marine View Drive, S.W., Seattle, WA 98146. $235. Reviewed by Walter Liggett

MSUSTAT, MS/PC-DOS and CP/M-80 Version 2.20 Richard E. Lund. Available from Research and Development, Inc., Montana State University, Bozeman, MT 59717–0002. $187.50 (university and multiple-copy discounts available). Reviewed by Mervyn G. Marasinghe     

CO2气体冷却器性能测试实验台设计

为了对CO2气体冷却器进行系统全面的性能分析,根据CO2制冷剂在亚临界区和超临界区的换热特性,以第二制冷剂量热器法和水冷气体冷却法为理论基础,结合企业实际测试需求研制了能够全面测试CO2气体冷却器性能的实验台。其可测试的换热量范围是1.6~32.0 kW,测量精度高。实际选用了一个气体冷却器做验证,结果显示2种测量方法的偏差小于4%,满足企业验收标准。此实验台的设计可为相关性能测试实验台的研究提供借鉴。     

分题选择完型填空与集库式完型填空的对比实验

完型填空是一种被许多大规模考试所广泛采用的题型,但对于这种题型的研究在国内却很少。本文在对完型填空进行综合概述的基础上,对两种操作性很强的完型填空形式,即分题选择完型填空与集库式完型填空,作了对比研究,结果表明前者与词汇语法测试的相关较高,而后者与阅读理解测试的相关很高,从而证明集库式完型填空是一种具有较高效率的阅读理解测试方式。     

The relationship between neighborhood racial concentration and verbal ability: An investigation using the institutional resources model

Relatively few studies examine the relationship between racial residential segregation and educational or cognitive outcomes. Using data from the National Longitudinal Study of Adolescent Health and the institutional resources model of neighborhood effects, I investigate one account of how macrostructural arrangements between race, neighborhood segregation, and school quality interact to produce inequalities in test scores. Consistent with the institutional resources model, results suggest that school quality varies across neighborhoods based, in part, on their degree of racial concentration. Indeed, school quality and other school characteristics mediate the relationship between racial concentration and verbal skills, particularly among black males. These findings have implications not only for inequalities in cognitive skills among blacks across residential space, but also between blacks and whites given high levels of residential segregation in the United States. In sum, findings illustrate yet another way in which residential segregation contributes to, and not merely reflects, racial inequalities.     

Causal inference with observational data: A tutorial on propensity score analysis

When treatment cannot be manipulated, propensity score analysis provides a useful way to making causal claims under the assumption of no unobserved confounders. However, it is still rarely utilised in leadership and applied psychology research. The purpose of this paper is threefold. First, it explains and discusses the application and key assumptions of the method with a particular focus on propensity score weighting. This approach is readily implementable since a weighted regression is available in most statistical software. Moreover, the approach can offer a “double robust” protection against misspecification of either the propensity score or the outcome model by including confounding variables in both models. A second aim is to discuss how propensity score analysis (and propensity score weighting, specifically) has been conducted in recent management studies and examine future challenges. Finally, we present an advanced application of the approach to illustrate how it can be employed to estimate the causal impact of leadership succession on performance using data from Italian football. The case also exemplifies how to extend the standard single treatment analysis to estimate the separate impact of different managerial characteristic changes between the old and the new manager.