Three Bartlett-type corrections for score statistics in symmetric nonlinear regression models

We present simple matrix formulae for corrected score statistics in symmetric nonlinear regression models. The corrected score statistics follow more closely a chi (2) distribution than the classical score statistic. Our simulation results indicate that the corrected score tests display smaller size distortions than the original score test. We also compare the sizes and the powers of the corrected score tests with bootstrap-based score tests.

Systematic risk estimation in symmetric models

The aim of this article is to discuss the estimation of the systematic risk in capital asset pricing models with heavy-tailed error distributions to explain the asset returns. Diagnostic methods for assessing departures from the model assumptions as well as the influence of observations on the parameter estimates are also presented. It may be shown that outlying observations are down weighted in the maximum likelihood equations of linear models with heavy-tailed error distributions, such as Student-t, power exponential, logistic II, so on. This robustness aspect may also be extended to influential observations. An application in which the systematic risk estimate of Microsoft is compared under normal and heavy-tailed errors is presented for illustration.

Covariance matrix formula for Birnbaum-Saunders regression models

The Birnbaum-Saunders regression model is commonly used in reliability studies. We derive a simple matrix formula for second-order covariances of maximum-likelihood estimators in this class of models. The formula is quite suitable for computer implementation, since it involves only simple operations on matrices and vectors. Some simulation results show that the second-order covariances can be quite pronounced in small to moderate sample sizes. We also present empirical applications.

Influence diagnostics in Birnbaum-Saunders nonlinear regression models

We consider the issue of assessing influence of observations in the class of Birnbaum-Saunders nonlinear regression models, which is useful in lifetime data analysis. Our results generalize those in Galea et al. [8] which are confined to Birnbaum-Saunders linear regression models. Some influence methods, such as the local influence, total local influence of an individual and generalized leverage are discussed. Additionally, the normal curvatures for studying local influence are derived under some perturbation schemes. We also give an application to a real fatigue data set.

Bias-corrected estimators for dispersion models with dispersion covariates

In this paper we discuss bias-corrected estimators for the regression and the dispersion parameters in an extended class of dispersion models (Jorgensen, 1997b). This class extends the regular dispersion models by letting the dispersion parameter vary throughout the observations, and contains the dispersion models as particular case. General formulae for the O(n(-1)) bias are obtained explicitly in dispersion models with dispersion covariates, which generalize previous results obtained by Botter and Cordeiro (1998), Cordeiro and McCullagh (1991), Cordeiro and Vasconcellos (1999), and Paula (1992). The practical use of the formulae is that we can derive closed-form expressions for the O(n(-1)) biases of the maximum likelihood estimators of the regression and dispersion parameters when the information matrix has a closed-form. Various expressions for the O(n(-1)) biases are given for special models. The formulae have advantages for numerical purposes because they require only a supplementary weighted linear regression. We also compare these bias-corrected estimators with two different estimators which are also bias-free to order O(n(-1)) that are based on bootstrap methods. These estimators are compared by simulation. (C) 2011 Elsevier B.V. All rights reserved.

Local power of some tests in exponential family nonlinear models

In this paper we obtain asymptotic expansions up to order n(-1/2) for the nonnull distribution functions of the likelihood ratio, Wald, score and gradient test statistics in exponential family nonlinear models (Cordeiro and Paula, 1989), under a sequence of Pitman alternatives. The asymptotic distributions of all four statistics are obtained for testing a subset of regression parameters and for testing the dispersion parameter, thus generalising the results given in Cordeiro et al. (1994) and Ferrari et al. (1997). We also present Monte Carlo simulations in order to compare the finite-sample performance of these tests. (C) 2010 Elsevier B.V. All rights reserved.

Probing the dependence of the properties of cellulose acetates and their films on the degree of biopolymer substitution: use of solvatochromic indicators and thermal analysis

Although cellulose acetates, CAs, are extensively employed there is scant information about the systematic dependence of their properties on their degree of substitution, DS; this is the subject of the present work. Nine CAs samples, DS from 0.83 to 3.0 were synthesized; their films were prepared. The following solvatochromic probes have been employed in order to determine the empirical polarity, E (T)(33); ""acidity, alpha""; ""basicity, beta"", and ""dipolarity/polarizability, pi*"" of the casted films: 2,6-dichloro-4-(2,4,6-triphenyl-pyridinium-1-yl) phenolate, WB; 4-nitroaniline; 4-nitroanisole; 4-nitro-N,N-dimethylaniline; 2,6-diphenyl-4-(2,4,6-triphenyl-pyridinium-1-yl)phenolate, RB. Additionally, two systems, ethanol plus ethyl acetate (EtOH-EtAc), and cellulose plus cellulose triacetate, CTA, were employed as models for CAs of different DS. Regarding the model systems, the following was observed: (i) For EtOH-EtAc, the dependence of all solvatochromic parameters on the ""equivalent-DS"" of the binary mixture was non-linear because of preferential solvation; (ii) The dependence of E (T)(33) on equivalent DS of the cellulose-CTA films is linear, but the slope is smaller than that of the corresponding plot for CAs. This is attributed to the more efficient hydrogen bonding in the model system, a conclusion corroborated by IR measurements. The dependence of solvatochromic parameters of CAs on their DS is described by the simple equations; a consequence of the substitution of the OH by the ester group. The thermal properties of bulk CAs samples were investigated by DSC and TGA; their dependence on DS is described by simple equations. The relevance of these data to the processing and applications of CAs is briefly discussed.