The distribution of the sample minimum-variance frontier

In this paper, we present a finite sample analysis of the sample minimum-variance frontier under the assumption that the returns are independent and multivariate normally distributed. We show that the sample minimum-variance frontier is a highly biased estimator of the population frontier, and we propose an improved estimator of the population frontier. In addition, we provide the exact distribution of the out-of-sample mean and variance of sample minimum-variance portfolios. This allows us to understand the impact of estimation error on the performance of in-sample optimal portfolios. Key Words: minimum-variance frontier; efficiency set constants; finite sample distribution

Determination of burn criterion for promoted combustion testing

Promoted ignition testing [1–3] is used to determine the relative flammability of metal rods in oxygen-enriched atmospheres. In these tests, a promoter is used to ignite each metal rod to start the sample burning. Experiments were performed to better understand the promoted ignition test by obtaining insight into the effect a burning promoter has on the preheating of a test sample. Test samples of several metallic materials were prepared and coupled to fast-responding thermocouples along their length. Various ignition promoters were used to ignite the test samples. The thermocouple measurements and test video were synchronized to determine temperature increase with respect to time and length along each test sample. A recommended length of test sample that must be consumed to be considered a flammable material was determined based on the preheated zone measured from these tests. This length was determined to be 30 mm (1.18 in.). Validation of this length and its rationale are presented.

Heat effects of promoters and determination of burn criterion in promoted combustion testing

Promoted ignition testing (NASA) Test 17) [1] is used to determine the relative flammability of metal rods in oxygen-enriched atmospheres. A promotor is used to ignite a metal sample rod, initiating sample burning. If a predetermined length of the sample burns, beyond the promotor, the material is considered flammable at the condition tested. Historically, this burn length has been somewhat arbitrary. Experiments were performed to better understand this test by obtaining insight into the effect a burning promotor has on the preheating of a test sample. Test samples of several metallic materials were prepared and coupled to fast-responding thermocouples along their length. Thermocouple measurements and test video were synchronized to determine temperature increase with respect to time and length along each test sample. A recommended flammability burn length, based on a sample preheat of 500 degrees fahrenheit, was determined based on the preheated zone measured from these tests. This length was determined to be 30 mm (1.18 in.). Validation of this length and its rationale are presented.

Jackknife for bias reduction in predictive regressions

One of the fundamental econometric models in finance is predictive regression. The standard least squares method produces biased coefficient estimates when the regressor is persistent and its innovations are correlated with those of the dependent variable. This article proposes a general and convenient method based on the jackknife technique to tackle the estimation problem. The proposed method reduces the bias for both single- and multiple-regressor models and for both short- and long-horizon regressions. The effectiveness of the proposed method is demonstrated by simulations. An empirical application to equity premium prediction using the dividend yield and the short rate highlights the differences between the results by the standard approach and those by the bias-reduced estimator. The significant predictive variables under the ordinary least squares become insignificant after adjusting for the finite-sample bias. These discrepancies suggest that bias reduction in predictive regressions is important in practical applications.

Semiparametric estimation of count regression models

This paper develops a semiparametric estimation approach for mixed count regression models based on series expansion for the unknown density of the unobserved heterogeneity. We use the generalized Laguerre series expansion around a gamma baseline density to model unobserved heterogeneity in a Poisson mixture model. We establish the consistency of the estimator and present a computational strategy to implement the proposed estimation techniques in the standard count model as well as in truncated, censored, and zero-inflated count regression models. Monte Carlo evidence shows that the finite sample behavior of the estimator is quite good. The paper applies the method to a model of individual shopping behavior. © 1999 Elsevier Science S.A. All rights reserved.

Simulation-based density estimation for time series using covariate data

This paper proposes a simulation-based density estimation technique for time series that exploits information found in covariate data. The method can be paired with a large range of parametric models used in time series estimation. We derive asymptotic properties of the estimator and illustrate attractive finite sample properties for a range of well-known econometric and financial applications.

Modeling strategies in longitudinal data analysis: Covariate, variance function and correlation structure selection

A modeling paradigm is proposed for covariate, variance and working correlation structure selection for longitudinal data analysis. Appropriate selection of covariates is pertinent to correct variance modeling and selecting the appropriate covariates and variance function is vital to correlation structure selection. This leads to a stepwise model selection procedure that deploys a combination of different model selection criteria. Although these criteria find a common theoretical root based on approximating the Kullback-Leibler distance, they are designed to address different aspects of model selection and have different merits and limitations. For example, the extended quasi-likelihood information criterion (EQIC) with a covariance penalty performs well for covariate selection even when the working variance function is misspecified, but EQIC contains little information on correlation structures. The proposed model selection strategies are outlined and a Monte Carlo assessment of their finite sample properties is reported. Two longitudinal studies are used for illustration.

Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method

The method of generalized estimating equations (GEEs) provides consistent estimates of the regression parameters in a marginal regression model for longitudinal data, even when the working correlation model is misspecified (Liang and Zeger, 1986). However, the efficiency of a GEE estimate can be seriously affected by the choice of the working correlation model. This study addresses this problem by proposing a hybrid method that combines multiple GEEs based on different working correlation models, using the empirical likelihood method (Qin and Lawless, 1994). Analyses show that this hybrid method is more efficient than a GEE using a misspecified working correlation model. Furthermore, if one of the working correlation structures correctly models the within-subject correlations, then this hybrid method provides the most efficient parameter estimates. In simulations, the hybrid method's finite-sample performance is superior to a GEE under any of the commonly used working correlation models and is almost fully efficient in all scenarios studied. The hybrid method is illustrated using data from a longitudinal study of the respiratory infection rates in 275 Indonesian children.

Iterative estimating equations: Linear convergence and asymptotic properties

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size increases to infinity. Furthermore, we show that the limiting estimator is consistent and asymptotically efficient, as expected. The method applies to semiparametric regression models with unspecified covariances among the observations. In the special case of linear models, the procedure reduces to iterative reweighted least squares. Finite sample performance of the procedure is studied by simulations, and compared with other methods. A numerical example from a medical study is considered to illustrate the application of the method.

How to design extended finite state machine test models in Java

This chapter is a tutorial that teaches you how to design extended finite state machine (EFSM) test models for a system that you want to test. EFSM models are more powerful and expressive than simple finite state machine (FSM) models, and are one of the most commonly used styles of models for model-based testing, especially for embedded systems. There are many languages and notations in use for writing EFSM models, but in this tutorial we write our EFSM models in the familiar Java programming language. To generate tests from these EFSM models we use ModelJUnit, which is an open-source tool that supports several stochastic test generation algorithms, and we also show how to write your own model-based testing tool. We show how EFSM models can be used for unit testing and system testing of embedded systems, and for offline testing as well as online testing.

The modified card sorting test: Test-retest stability and relationships with demographic variables in a healthy older adult sample

Objectives. To investigate the test-retest stability of a standardized version of Nelson's (1976) Modified Card Sorting Test (MCST) and its relationships with demographic variables in a sample of healthy older adults. Design. A standard card order and administration were devised for the MCST and administered to participants at an initial assessment, and again at a second session conducted a minimum of six months later in order to examine its test-retest stability. Participants were also administered the WAIS-R at initial assessment in order to provide a measure of psychometric intelligence. Methods. Thirty-six (24 female, 12 male) healthy older adults aged 52 to 77 years with mean education 12.42 years (SD = 3.53) completed the MCST on two occasions approximately 7.5 months (SD = 1.61) apart. Stability coefficients and test-retest differences were calculated for the range of scores. The effect of gender on MCST performance was examined. Correlations between MCST scores and age, education and WAIS-R IQs were also determined. Results. Stability coefficients ranged from .26 for the percent perseverative errors measure to .49 for the failure to maintain set measure. Several measures were significantly correlated with age, education and WAIS-R IQs, although no effect of gender on MCST performance was found. Conclusions. None of the stability coefficients reached the level required for clinical decision making. The results indicate that participants' age, education, and intelligence need to be considered when interpreting MCST performance. Normative studies of MCST performance as well as further studies with patients with executive dysfunction are needed.

Psychological predictors of the propensity to omit short-response items on a high-stakes achievement test

This article presents the findings of a study of the psychological variables that discriminate between high and low omitters on a high-stakes achievement test using a short-response format. Data were obtained from a questionnaire administered to a random sample (N = 1,908) of students prior to sitting the 1997 Queensland Core Skills (QCS) Test (N = 29,273). Fourteen psychological variables were measured including test anxiety (four subscales), emotional stability, achievement motivation, self-esteem, academic self-concept, self-estimate of ability, locus of control (three subscales), and approaches to learning (two subscales). The results were analyzed using descriptive discriminant analysis and suggested that the psychological predictors of the propensity to omit short-response items include test-irrelevant thinking and academic self-concept, with sex of candidate being a mediating variable.

Attention and memory bias for body image and health related information using an Emotional Stroop task in a non-clinical sample

It has been proposed that body image disturbance is a form of cognitive bias wherein schemas for self-relevant information guide the selective processing of appearancerelated information in the environment. This threatening information receives disproportionately more attention and memory, as measured by an Emotional Stroop and incidental recall task. The aim of this thesis was to expand the literature on cognitive processing biases in non-clinical males and females by incorporating a number of significant methodological refinements. To achieve this aim, three phases of research were conducted. The initial two phases of research provided preliminary data to inform the development of the main study. Phase One was a qualitative exploration of body image concerns amongst males and females recruited through the general community and from a university. Seventeen participants (eight male; nine female) provided information on their body image and what factors they saw as positively and negatively impacting on their self evaluations. The importance of self esteem, mood, health and fitness, and recognition of the social ideal were identified as key themes. These themes were incorporated as psycho-social measures and Stroop word stimuli in subsequent phases of the research. Phase Two involved the selection and testing of stimuli to be used in the Emotional Stroop task. Six experimental categories of words were developed that reflected a broad range of health and body image concerns for males and females. These categories were high and low calorie food words, positive and negative appearance words, negative emotion words, and physical activity words. Phase Three addressed the central aim of the project by examining cognitive biases for body image information in empirically defined sub-groups. A National sample of males (N = 55) and females (N = 144), recruited from the general community and universities, completed an Emotional Stroop task, incidental memory test, and a collection of psycho-social questionnaires. Sub-groups of body image disturbance were sought using a cluster analysis, which identified three sub-groups in males (Normal, Dissatisfied, and Athletic) and four sub-groups in females (Normal, Health Conscious, Dissatisfied, and Symptomatic). No differences were noted between the groups in selective attention, although time taken to colour name the words was associated with some of the psycho-social variables. Memory biases found across the whole sample for negative emotion, low calorie food, and negative appearance words were interpreted as reflecting the current focus on health and stigma against being unattractive. Collectively these results have expanded our understanding of processing biases in the general community by demonstrating that the processing biases are found within non-clinical samples and that not all processing biases are associated with negative functionality

Thermal transition properties of spagehetti measured by Differential Scanning Calorimetry (DSC) and Thermal Mechanical Compression Test (TMCT)

Glass transition temperature of spaghetti sample was measured by thermal and rheological methods as a function of water content.

Innovation implementation effectiveness : a multiorganizational test of Klein Conn and Sorra’s model.

In an empirical test and extension of Klein Conn and Sorra’s model of innovation implementation effectiveness, we apply structural equation modelling to identify the generalizability of their data-modified model in comparison with their theorised model. We examined the implementation of various types of innovations in a sample of 135 organizations. We found that the data supported the original model rather than the data-modified model, such that implementation climate mediated polices and practices and implementation effectiveness, while implementation effectiveness partially mediated the relationship between implementation climate and innovation effectiveness. Furthermore, we extend their model to suggest that non-financial resources availability plays a critical role in implementation policies and practices.