Stochastic approximation Monte Carlo EM for change-point analysis

In the expectation–maximization (EM) algorithm for maximum likelihood estimation from incomplete data, Markov chain Monte Carlo (MCMC) methods have been used in change-point inference for a long time when the expectation step is intractable. However, the conventional MCMC algorithms tend to get trapped in local mode in simulating from the posterior distribution of change points. To overcome this problem, in this paper we propose a stochastic approximation Monte Carlo version of EM (SAMCEM), which is a combination of adaptive Markov chain Monte Carlo and EM utilizing a maximum likelihood method. SAMCEM is compared with the stochastic approximation version of EM and reversible jump Markov chain Monte Carlo version of EM on simulated and real datasets. The numerical results indicate that SAMCEM can outperform among the three methods by producing much more accurate parameter estimates and the ability to achieve change-point positions and estimates simultaneously.     

On approximating the distribution of indefinite quadratic forms

This paper provides a simple methodology for approximating the distribution of indefinite quadratic forms in normal random variables. It is shown that the density function of a positive definite quadratic form can be approximated in terms of the product of a gamma density function and a polynomial. An extension which makes use of a generalized gamma density function is also considered. Such representations are based on the moments of a quadratic form, which can be determined from its cumulants by means of a recursive formula. After expressing an indefinite quadratic form as the difference of two positive definite quadratic forms, one can obtain an approximation to its density function by means of the transformation of variable technique. An explicit representation of the resulting density approximant is given in terms of a degenerate hypergeometric function. An easily implementable algorithm is provided. The proposed approximants produce very accurate percentiles over the entire range of the distribution. Several numerical examples illustrate the results. In particular, the methodology is applied to the Durbin–Watson statistic which is expressible as the ratio of two quadratic forms in normal random variables. Quadratic forms being ubiquitous in statistics, the approximating technique introduced herewith has numerous potential applications. Some relevant computational considerations are also discussed.     

Approximating the Minimum k-way Cut in a Graph via Minimum 3-way Cuts

For an edge weighted undirected graph G and an integer k > 2, a k-way cut is a set of edges whose removal leaves G with at least k components. We propose a simple approximation algorithm to the minimum k-way cut problem. It computes a nearly optimal k-way cut by using a set of minimum 3-way cuts. We show that the performance ratio of our algorithm is 2 – 3/k for an odd k and 2 – (3k – 4)/(k ² – k) for an even k. The running time is O(kmn ³ log(n ²/m)) where n and m are the numbers of vertices and edges respectively.     

Multivariate Saddlepoint test for the wrapped normal model

In this article we show the effectiveness and the accuracy of the test statistic based on the expnnent of the saddlepoint approximation for the density of M-estimators, proposed by Robinson, Ronchetti and Young (1999), for testing simultaneous hypotheses on the mean and on the variance of a wrapped normal distribution. We base this test statistic on the trigonometric method of moments estimator proposed by Gatto and Jammalamadaka (l999b), which admits the M-estimator representation necessary for this test. This test statistic has an approximate chi-squared distribution, asympiotically up to the second order, and the high accuracy of this approximation is shown by numerical simulations.     

On the Cusum test for parameter changes in garch(1,1) Models

This paper considers the problem of testing parameter constancy in GARCH(1,1) models. A cusum of squares test is propesed in analogy Of Incl´n and Tiao (1394)'s statistic. its limiting distribution is derived via using the invariance principle for mixingaie sequences obtained by McLeish(1975). Simulation results are illustrated to demonstrate the validity of the cusum test.     

Significance levels and confidence intervals for permutation tests

A computational algorithm is given which calculates exact significance levels of a wide class of permutation tests in the one and two sample problems. This class includes the permutation test based on the means, locally most powerful permutation tests and linear rank tests. When a shift model is assumed confidence intervals can also be obtained. Approximate methods, based on asymptotic expansions, are also presented.     

Censored median regression and profile empirical likelihood

We implement profile empirical likelihood-based inference for censored median regression models. Inference for any specified subvector is carried out by profiling out the nuisance parameters from the “plug-in” empirical likelihood ratio function proposed by Qin and Tsao. To obtain the critical value of the profile empirical likelihood ratio statistic, we first investigate its asymptotic distribution. The limiting distribution is a sum of weighted chi square distributions. Unlike for the full empirical likelihood, however, the derived asymptotic distribution has intractable covariance structure. Therefore, we employ the bootstrap to obtain the critical value, and compare the resulting confidence intervals with the ones obtained through Basawa and Koul’s minimum dispersion statistic. Furthermore, we obtain confidence intervals for the age and treatment effects in a lung cancer data set.     

多元Kantorovich算子在Orlicz空间中的逼近逆定理

研究了多元Kantorovich算子在Orlicz空间中的逼近问题,得到弱型逆定理.     

多元post-widder算子逼近阶的特征刻划

首先给出了一类多元post-widder算子,然后利用A.Grundmann的方法给出了多元post-widder算子逼近阶在Lp逼近和一致逼近时的特征刻划.     

朗伯下垫面的漫反射作用对天空亮度的影响

随机粗糙下垫面对入射到地表的太阳辐射的漫反射必然引起天空亮度的增加。本文基于下垫面为朗伯粗糙表面的假设基础上,对下垫面对向下太阳辐射的漫反射作用引起天空亮度变化的计算方法进行了研究,分析了利用互易性原理计算大气反射率、半球平均反射率和透过率的方法。对不同下垫面反照率对天空亮度的影响随观察天顶角的变化进行了计算和比较,结果表明随着观察天顶角的增加,下垫面的漫反射作用对天空亮度的影响也随之增强,特别当天顶角接近90°时,这种影响迅速增强。