Finite sample weighting of recursive forecast errors

This paper proposes and tests a new framework for weighting recursive out-of-sample prediction errors according to their corresponding levels of in-sample estimation uncertainty. In essence, we show how to use the maximum possible amount of information from the sample in the evaluation of the prediction accuracy, by commencing the forecasts at the earliest opportunity and weighting the prediction errors. Via a Monte Carlo study, we demonstrate that the proposed framework selects the correct model from a set of candidate models considerably more often than the existing standard approach when only a small sample is available. We also show that the proposed weighting approaches result in tests of equal predictive accuracy that have much better sizes than the standard approach. An application to an exchange rate dataset highlights relevant differences in the results of tests of predictive accuracy based on the standard approach versus the framework proposed in this paper.

Migration and diversity in Roman Britain: a multidisciplinary approach to immigrants in Roman York, England

Previous anthropological investigations at Trentholme Drive, in Roman York identified an unusual amount of cranial variation amongst the inhabitants, with some individuals suggested as having originated from the Middle East or North Africa. The current study investigates the validity of this assessment using modern anthropological methods to assess cranial variation in two groups: The Railway and Trentholme Drive. Strontium and oxygen isotope evidence derived from the dentition of 43 of these individuals was combined with the craniometric data to provide information on possible levels of migration and the range of homelands that may be represented. The results of the craniometric analysis indicated that the majority of the York population had European origins, but that 11% of the Trentholme Drive and 12% of The Railway study samples were likely of African decent. Oxygen analysis identified four incomers, three from areas warmer than the UK and one from a cooler or more continental climate. Although based on a relatively small sample of the overall population at York, this multidisciplinary approach made it possible to identify incomers, both men and women, from across the Empire. Evidence for possible second generation migrants was also suggested. The results confirm the presence of a heterogeneous population resident in York and highlight the diversity, rather than the uniformity, of the population in Roman Britain. Am J Phys Anthropol 140:546-561, 2009. (C) 2009 Wiley-Liss, Inc

An extension of an over-dispersion test for count data

While over-dispersion in capture–recapture studies is well known to lead to poor estimation of population size, current diagnostic tools to detect the presence of heterogeneity have not been specifically developed for capture–recapture studies. To address this, a simple and efficient method of testing for over-dispersion in zero-truncated count data is developed and evaluated. The proposed method generalizes an over-dispersion test previously suggested for un-truncated count data and may also be used for testing residual over-dispersion in zero-inflation data. Simulations suggest that the asymptotic distribution of the test statistic is standard normal and that this approximation is also reasonable for small sample sizes. The method is also shown to be more efficient than an existing test for over-dispersion adapted for the capture–recapture setting. Studies with zero-truncated and zero-inflated count data are used to illustrate the test procedures.

Testing symmetry and homogeneity in the almost ideal demand system with co-integrated data using fully modified estimation and the bootstrap

Conventional seemingly unrelated estimation of the almost ideal demand system is shown to lead to small sample bias and distortions in the size of a Wald test for symmetry and homogeneity when the data are co-integrated. A fully modified estimator is developed in an attempt to remedy these problems. It is shown that this estimator reduces the small sample bias but fails to eliminate the size distortion.. Bootstrapping is shown to be ineffective as a method of removing small sample bias in both the conventional and fully modified estimators. Bootstrapping is effective, however, as a method of removing. size distortion and performs equally well in this respect with both estimators.

Asymptotic normality in mixtures of power series distributions

The problem of estimating the individual probabilities of a discrete distribution is considered. The true distribution of the independent observations is a mixture of a family of power series distributions. First, we ensure identifiability of the mixing distribution assuming mild conditions. Next, the mixing distribution is estimated by non-parametric maximum likelihood and an estimator for individual probabilities is obtained from the corresponding marginal mixture density. We establish asymptotic normality for the estimator of individual probabilities by showing that, under certain conditions, the difference between this estimator and the empirical proportions is asymptotically negligible. Our framework includes Poisson, negative binomial and logarithmic series as well as binomial mixture models. Simulations highlight the benefit in achieving normality when using the proposed marginal mixture density approach instead of the empirical one, especially for small sample sizes and/or when interest is in the tail areas. A real data example is given to illustrate the use of the methodology.

Bayesian design and conduct of phase II single-arm clinical trials with binary outcomes: a tutorial

The aim of phase II single-arm clinical trials of a new drug is to determine whether it has sufficient promising activity to warrant its further development. For the last several years Bayesian statistical methods have been proposed and used. Bayesian approaches are ideal for earlier phase trials as they take into account information that accrues during a trial. Predictive probabilities are then updated and so become more accurate as the trial progresses. Suitable priors can act as pseudo samples, which make small sample clinical trials more informative. Thus patients have better chances to receive better treatments. The goal of this paper is to provide a tutorial for statisticians who use Bayesian methods for the first time or investigators who have some statistical background. In addition, real data from three clinical trials are presented as examples to illustrate how to conduct a Bayesian approach for phase II single-arm clinical trials with binary outcomes.

Development of a liquid chromatographic time-of-flight mass spectrometric method for the determination of unlabelled and deuterium-labelled alpha-tocopherol in blood components

A method is described for the analysis of deuterated and undeuterated alpha-tocopherol in blood components using liquid chromatography coupled to an orthogonal acceleration time-of-flight (TOF) mass spectrometer. Optimal ionisation conditions for undeuterated (d0) and tri- and hexadeuterated (d3 or d6) alpha-tocopherol standards were found with negative ion mode electrospray ionisation. Each species produced an isotopically resolved single ion of exact mass. Calibration curves of pure standards were linear in the range tested (0-1.5 muM, 0-15 pmol injected). For quantification of d0 and d6 in blood components following a standard solvent extraction, a stable-isotope-labelled internal standard (d3-alpha-tocopherol) was employed. To counter matrix ion suppression effects, standard response curves were generated following identical solvent extraction procedures to those of the samples. Within-day and between-day precision were determined for quantification of d0- and d6-labelled alpha-tocopherol in each blood component and both averaged 3-10%. Accuracy was assessed by comparison with a standard high-performance liquid chromatography (HPLC) method, achieving good correlation (r(2) = 0.94), and by spiking with known concentrations of alpha-tocopherol (98% accuracy). Limits of detection and quantification were determined to be 5 and 50 fmol injected, respectively. The assay was used to measure the appearance and disappearance of deuterium-labelled alpha-tocopherol in human blood components following deuterium-labelled (d6) RRR-alpha-tocopheryl acetate ingestion. The new LC/TOFMS method was found to be sensitive, required small sample volumes, was reproducible and robust, and was capable of high throughput when large numbers of samples were generated. Copyright (C) 2003 John Wiley Sons, Ltd.

The effects of maternal social phobia on mother-infant interactions and infant social responsiveness

Background: Social phobia aggregates in families. The genetic contribution to intergenerational transmission is modest, and parenting is considered important. Research on the effects of social phobia on parenting has been subject to problems of small sample size, heterogeneity of samples and lack of specificity of observational frameworks. We addressed these problems in the current study.Methods: We assessed mothers with social phobia (N = 84) and control mothers (N = 89) at 10 weeks in face-to-face interactions with their infants, and during a social challenge, namely, engaging with a stranger. We also assessed mothers with generalised anxiety disorder (GAD) (N = 50). We examined the contribution to infant social responsiveness of early infant characteristics (neonatal irritability), as well as maternal behaviour. Results: Mothers with social phobia were no less sensitive to their infants during face-to-face interactions than control mothers, but when interacting with the stranger they appeared more anxious, engaged less with the stranger themselves, and were less encouraging of the infant's interaction with the stranger; infants of index mothers also showed reduced social responsiveness to the stranger. These differences did not apply to mothers with GAD and their infants. Regression analyses showed that the reduction in social responsiveness in infants of mothers with social phobia was predicted by neonatal irritability and the degree to which the mother encouraged the infant to interact with the stranger.Conclusions: Mothers with social phobia show specific parenting difficulties, and their infants show early signs of reduced social responsiveness that are related to both individual infant differences and a lack of maternal encouragement to engage in social interactions.

Mapping the human record in the British early Palaeolithic: evidence from the Solent River system

The lithic record from the Solent River and its tributaries is re-examined in the light of recent interpretations about the changing demography of Britain during the Lower and early Middle Palaeolithic. Existing models of the terrace stratigraphies in the Solent and its tributary areas are reviewed and the corresponding archaeological record (specifically handaxes) for each terrace is assessed to provide models for the relative changes in human occupation through time. The Bournemouth area is studied in detail to examine the effects of quarrying and urbanisation on collection history and on the biases it introduces to the record. In addition, the effects of reworking of artefacts from higher into lower terraces are assessed, and shown to be a significant problem. Although there is very little absolute dating available for the Solent area, a cautious interpretation of the results from these analyses would suggest a pre-Marine Isotope Stage (MIS) 12 date for the first appearance of humans, a peak in population between MIS 12 and 10, and a decline in population during MIS 9 and 8. Owing to poor contextual data and small sample sizes, it is not clear when Levallois technology was introduced. This record is compared and contrasted to that from the Thames Valley. It is suggested that changes in the palaeogeography of Britain, in particular land connections to the continent, might have contributed to differences in the archaeological records from the Solent and Thames regions.

3D-Var assimilation of insect-derived Doppler radar radial winds in convective cases using a high resolution model

The assimilation of Doppler radar radial winds for high resolution NWP may improve short term forecasts of convective weather. Using insects as the radar target, it is possible to provide wind observations during convective development. This study aims to explore the potential of these new observations, with three case studies. Radial winds from insects detected by 4 operational weather radars were assimilated using 3D-Var into a 1.5 km resolution version of the Met Office Unified Model, using a southern UK domain and no convective parameterization. The effect on the analysis wind was small, with changes in direction and speed up to 45° and 2 m s−1 respectively. The forecast precipitation was perturbed in space and time but not substantially modified. Radial wind observations from insects show the potential to provide small corrections to the location and timing of showers but not to completely relocate convergence lines. Overall, quantitative analysis indicated the observation impact in the three case studies was small and neutral. However, the small sample size and possible ground clutter contamination issues preclude unequivocal impact estimation. The study shows the potential positive impact of insect winds; future operational systems using dual polarization radars which are better able to discriminate between insects and clutter returns should provided a much greater impact on forecasts.

A comparison of extreme value theory approaches for determining value at risk

This paper compares a number of different extreme value models for determining the value at risk (VaR) of three LIFFE futures contracts. A semi-nonparametric approach is also proposed, where the tail events are modeled using the generalised Pareto distribution, and normal market conditions are captured by the empirical distribution function. The value at risk estimates from this approach are compared with those of standard nonparametric extreme value tail estimation approaches, with a small sample bias-corrected extreme value approach, and with those calculated from bootstrapping the unconditional density and bootstrapping from a GARCH(1,1) model. The results indicate that, for a holdout sample, the proposed semi-nonparametric extreme value approach yields superior results to other methods, but the small sample tail index technique is also accurate.

The persistence of real estate fund performance

This paper examines the short and long-term persistence of tax-exempt real estate funds in the UK through the use of winner-loser contingency table methodology. The persistence tests are applied to a database of varying numbers of funds from a low of 16 to a high of 27 using quarterly returns over the 12 years from 1990 Q1 to 2001 Q4. The overall conclusion is that the real estate funds in the UK show little evidence of persistence in the short-term (quarterly and semi-annual data) or for data over a considerable length of time (bi-annual to six yearly intervals). In contrast, the results are better for annual data with evidence of significant performance persistence. Thus at this stage, it seems that an annual evaluation period, provides the best discrimination of the winner and loser phenomenon in the real estate market. This result is different from equity and bond studies, where it seems that the repeat winner phenomenon is stronger over shorter periods of evaluation. These results require careful interpretation, however, as the results show that when only small samples are used significant adjustments must be made to correct for small sample bias and second the conclusions are sensitive to the length of the evaluation period and specific test used. Nonetheless, it seems that persistence in performance of real estate funds in the UK does exist, at least for the annual data, and it appears to be a guide to beating the pack in the long run. Furthermore, although the evidence of persistence in performance for the overall sample of funds is limited, we have found evidence that two funds were consistent winners over this period, whereas no one fund could be said to be a consistent loser.

History of eating disorder in mothers of children with early onset eating disorder or disturbance

The literature suggests that there is significant familial aggregation of eating disorders. A specific association has also been reported between childhood feeding problems and maternal eating disorder. This study investigates whether subgroups of children with early onset eating disturbance are distinguished by maternal eating disorder history. The mothers of 66 children with either anorexia nervosa (AN), food avoidance emotional disorder (FAED) or selective eating (SE) were interviewed to ascertain eating disorder history. Seventeen per cent of mothers reported a history of eating disorder, compared with 3%–5% reported for community samples. A history of eating disorder was reported by 5.9% of mothers of children with SE, 12.9% of mothers of children with AN and 33.3% of mothers of children with FAED. The findings, based on this small sample, suggest that children with FAED are especially likely to have grown up in a dysfunctional food environment.

The effectiveness of non-executive directors in Chinese state-owned enterprises

Purpose – The primary aim of this paper is to examine whether boards of directors with independent members function as effective corporate governance mechanisms in Chinese State-Owned Enterprises(SOEs), by analysing four characteristics of non-executive directors (NEDs) that impact on their effectiveness, namely their degree of independence, information, incentive, and competence. Design/methodology/approach – Being exploratory in nature, the research uses qualitative methods for data collection. It is based on an interpretivist perspective of social sciences, analysing and explaining the factors that influence the effectiveness of NEDs. Findings – The findings indicate that the NED system is weak in China as a result of the concentrated ownership structure, unique business culture, intervention of controlling shareholders and the lack of understanding of the benefits brought by NEDs. Research limitations/implications – The paper examines the salient features of and challenges to the system of NEDs of SOEs in present-day China. It provides an understanding of how the various perceptions of the board, gathered from in-depth interviews of corporate directors, leads to new interpretations of board effectiveness. The research, however, is limited owing to a relatively small sample size and the sensitive nature of the information collected. Originality/value – The study aims to fill gaps in the literature and contribute to it by assessing the “real” views and perceptions of NEDs in China in an institutional environment significantly different from that of the USA, the UK and other western economies.

Accelerated loss of alpine glaciers in the Kodar Mountains, south-eastern Siberia

The recession of mountain glaciers around the world has been linked to anthropogenic climate change and small glaciers (e.g. < 2 km2) are thought to be particularly vulnerable, with reports of their disappearance from several regions. However, the response of small glaciers to climate change can be modulated by non-climatic factors such as topography and debris cover and there remain a number of regions where their recent change has evaded scrutiny. This paper presents results of the first multi-year remote sensing survey of glaciers in the Kodar Mountains, the only glaciers in SE Siberia, which we compare to previous glacier inventories from this continental setting that reported total glacier areas of 18.8 km2 in ca. 1963 (12.6 km2 of exposed ice) and 15.5 km2 in 1974 (12 km2 of exposed ice). Mapping their debris-covered termini is difficult but delineation of debris-free ice on Landsat imagery reveals 34 glaciers with a total area of 11.72 ± 0.72 km2 in 1995, followed by a reduction to 9.53 ± 0.29 km2 in 2001 and 7.01 ± 0.23 km2 in 2010. This represents a ~ 44% decrease in exposed glacier ice between ca. 1963 and 2010, but with 40% lost since 1995 and with individual glaciers losing as much as 93% of their exposed ice. Thus, although continental glaciers are generally thought to be less sensitive than their maritime counterparts, a recent acceleration in shrinkage of exposed ice has taken place and we note its coincidence with a strong summer warming trend in the region initiated at the start of the 1980s. Whilst smaller and shorter glaciers have, proportionally, tended to shrink more rapidly, we find no statistically significant relationship between shrinkage and elevation characteristics, aspect or solar radiation. This is probably due to the small sample size, limited elevation range, and topographic setting of the glaciers in deep valleys-heads. Furthermore, many of the glaciers possess debris-covered termini and it is likely that the ablation of buried ice is lagging the shrinkage of exposed ice, such that a growth in the proportion of debris cover is occurring, as observed elsewhere. If recent trends continue, we hypothesise that glaciers could evolve into a type of rock glacier within the next few decades, introducing additional complexity in their response and delaying their potential demise.