On testing for independence between the innovations of several time series

Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for independence between more than two time series, checking pairwise independence does not lead to consistent procedures. Thus a finite family of empirical processes relying on multivariate lagged residuals are constructed, and we derive their asymptotic distributions. In order to obtain simple asymptotic covariance structures, Möbius transformations of the empirical processes are studied, and simplifications occur. Under the null hypothesis of independence, we show that these transformed processes are asymptotically Gaussian, independent, and with tractable covariance functions not depending on the estimated parameters. Various procedures are discussed, including Cramér–von Mises test statistics and tests based on non‐parametric measures. The ranks of the residuals are considered in the new methods, giving test statistics which are asymptotically margin‐free. Generalized cross‐correlations are introduced, extending the concept of cross‐correlation to an arbitrary number of time series; portmanteau procedures based on them are discussed. In order to detect the dependence visually, graphical devices are proposed. Simulations are conducted to explore the finite sample properties of the methodology, which is found to be powerful against various types of alternatives when the independence is tested between two and three time series. An application is considered, using the daily log‐returns of Apple, Intel and Hewlett‐Packard traded on the Nasdaq financial market. The Canadian Journal of Statistics 40: 447–479; 2012 © 2012 Statistical Society of Canada     

Computation of the Generalized F Distribution

Exact expressions for the cumulative distribution function of a random variable of the form ( α ₁ X ₁+ α ₂ X ₂)/ Y are given where X ₁, X ₂ and Y are independent chi-squared random variables. The expressions are applied to the detection of joint outliers and Hotelling's mis-specified T ² distribution.     

Influential observations in transformations: A bayesian approach

This paper presents a bayesian approach to the problem of detecting influential observations when estimating the Box-Cox transformation. The influence of a group I={i₁, …,i_n} of observations is measured by means of the Kullback-Leibler distance between the marginal posterior; distributions for the transformation parameter which are computed, respectively, without and with the cases indexed by I. A measure is proposed and its properties and relationship to other diagnostic methods are studied.     

Space-time Multi Type Log Gaussian Cox Processes with a View to Modelling Weeds

Log Gaussian Cox processes as introduced in Moller et al. (1998) are extended to space-time models called log Gaussian Cox birth processes. These processes allow modelling of spatial and temporal heterogeneity in time series of increasing point processes consisting of different types of points. The models are shown to be easy to analyse yet flexible enough for a detailed statistical analysis of a particular agricultural experiment concerning the development of two weed species on an organic barley field. Particularly, the aspects of estimation, model validation and intensity surface prediction are discussed.     

中国官方统计数据质量问题调查研究——基于结构方程模型

利用多个指标来分别测量官方统计数据质量及与其有关的统计人员综合水平、统计调查技术水平和统计信息利用度,在此基础上研究四者之间的关系,分析构成中国官方统计数据质量不高的成因.结果表明:统计人员综合水平、统计调查技术水平和统计信息利用度之间存在很强的相关关系;统计制度而非技术是造成当前中国官方统计数据质量不高的主要原因.     

Positive quadrant dependence tests for copulas

In this paper the interest is in testing the null hypothesis of positive quadrant dependence (PQD) between two random variables. Such a testing problem is important since prior knowledge of PQD is a qualitative restriction that should be taken into account in further statistical analysis, for example, when choosing an appropriate copula function to model the dependence structure. The key methodology of the proposed testing procedures consists of evaluating a “distance” between a nonparametric estimator of a copula and the independence copula, which serves as a reference case in the whole set of copulas having the PQD property. Choices of appropriate distances and nonparametric estimators of copula are discussed, and the proposed methods are compared with testing procedures based on bootstrap and multiplier techniques. The consistency of the testing procedures is established. In a simulation study the authors investigate the finite sample size and power performances of three types of test statistics, Kolmogorov–Smirnov, Cramér–von‐Mises, and Anderson–Darling statistics, together with several nonparametric estimators of a copula, including recently developed kernel type estimators. Finally, they apply the testing procedures on some real data. The Canadian Journal of Statistics 38: 555–581; 2010 © 2010 Statistical Society of Canada     

太阳能电池专利分析方法研究

文章在专利文献数据的基础上,从总体层面和公司层面对太阳能电池领域进行研究。除了采用传统的统计、关联等分析方法外,还结合不同国家专利特点采用一些新型的分析方法,得出了太阳能电池领域的主要技术发展趋势和处于领导地位的公司在该领域的主要动态等有价值的结论,从而对企业制定战略决策提供支持。     

国家语委"通用语料库·核心库"的词表提取及词汇构成分析

在真实语料中提取词表面临着许多技术与理论上的难点与困难,但它又有着特殊的价值."通用语料库"是国家语委组织研制的大型语料库,基本反映了现代汉语的语言面貌,完成对它的词表提取,其过程、做法及词表结果,都有着重要意义.机器分词时会遇到分词的正确性、加工精度的可容性、机器分词的强制性、机器分词的局限性等问题.源于真实语料的词表清楚反映出断代词汇由语言词和言语词两个层面构成,两个层面的词语之间有着互渗作用.源于真实语料的词表存在着书面语与口语的差异,不规范现象也较普遍存在,在词语的普遍性上与断代词汇有着相当的距离.     

响应变量缺失下半参数变系数EV模型的约束统计推断

文章研究了半参数变系数EV模型在线性约束条件下的估计和检验问题,当响应变量缺失、非参数部分协变量带有测量误差时,利用局部纠偏的Profile最小二乘估计、Lagrange乘子方法和借补技术构造了回归模型参数分量两类纠偏约束估计量。此外,为了检验线性约束条件,构造了借补的Profile Lagrange乘子检验统计量,并通过蒙特卡洛数值模拟验证估计量和检验统计量的有效性。