New Algorithms for M-Estimation of Multivariate Scatter and Location

We present new algorithms for M-estimators of multivariate scatter and location and for symmetrized M-estimators of multivariate scatter. The new algorithms are considerably faster than currently used fixed-point and related algorithms. The main idea is to utilize a second order Taylor expansion of the target functional and to devise a partial Newton-Raphson procedure. In connection with symmetrized M-estimators we work with incomplete U-statistics to accelerate our procedures initially.

A multivariate frailty model for disease recurrences and survival

A multivariate frailty hazard model is developed for joint-modeling of three correlated time-to-event outcomes: (1) local recurrence, (2) distant recurrence, and (3) overall survival. The term frailty is introduced to model population heterogeneity. The dependence is modeled by conditioning on a shared frailty that is included in the three hazard functions. Independent variables can be included in the model as covariates. The Markov chain Monte Carlo methods are used to estimate the posterior distributions of model parameters. The algorithm used in present application is the hybrid Metropolis-Hastings algorithm, which simultaneously updates all parameters with evaluations of gradient of log posterior density. The performance of this approach is examined based on simulation studies using Exponential and Weibull distributions. We apply the proposed methods to a study of patients with soft tissue sarcoma, which motivated this research. Our results indicate that patients with chemotherapy had better overall survival with hazard ratio of 0.242 (95% CI: 0.094 - 0.564) and lower risk of distant recurrence with hazard ratio of 0.636 (95% CI: 0.487 - 0.860), but not significantly better in local recurrence with hazard ratio of 0.799 (95% CI: 0.575 - 1.054). The advantages and limitations of the proposed models, and future research directions are discussed. ^

Multivariate methods for correlated effects sizes

Current statistical methods for estimation of parametric effect sizes from a series of experiments are generally restricted to univariate comparisons of standardized mean differences between two treatments. Multivariate methods are presented for the case in which effect size is a vector of standardized multivariate mean differences and the number of treatment groups is two or more. The proposed methods employ a vector of independent sample means for each response variable that leads to a covariance structure which depends only on correlations among the $p$ responses on each subject. Using weighted least squares theory and the assumption that the observations are from normally distributed populations, multivariate hypotheses analogous to common hypotheses used for testing effect sizes were formulated and tested for treatment effects which are correlated through a common control group, through multiple response variables observed on each subject, or both conditions.^ The asymptotic multivariate distribution for correlated effect sizes is obtained by extending univariate methods for estimating effect sizes which are correlated through common control groups. The joint distribution of vectors of effect sizes (from $p$ responses on each subject) from one treatment and one control group and from several treatment groups sharing a common control group are derived. Methods are given for estimation of linear combinations of effect sizes when certain homogeneity conditions are met, and for estimation of vectors of effect sizes and confidence intervals from $p$ responses on each subject. Computational illustrations are provided using data from studies of effects of electric field exposure on small laboratory animals. ^

Exact and approximate Bayesian solutions for inference about variance components and multivariate inadmissibility : final report for period 1 May 1972-1 January 1976 /

Performing organization: Dept. of Statistics, University of Michigan.

Multivariate monitoring of a biological wastewater treatment process: a case study at Melbourne Water's Western Treatment Plant

Biological wastewater treatment is a complex, multivariate process, in which a number of physical and biological processes occur simultaneously. In this study, principal component analysis (PCA) and parallel factor analysis (PARAFAC) were used to profile and characterise Lagoon 115E, a multistage biological lagoon treatment system at Melbourne Water's Western Treatment Plant (WTP) in Melbourne, Australia. In this study, the objective was to increase our understanding of the multivariate processes taking place in the lagoon. The data used in the study span a 7-year period during which samples were collected as often as weekly from the ponds of Lagoon 115E and subjected to analysis. The resulting database, involving 19 chemical and physical variables, was studied using the multivariate data analysis methods PCA and PARAFAC. With these methods, alterations in the state of the wastewater due to intrinsic and extrinsic factors could be discerned. The methods were effective in illustrating and visually representing the complex purification stages and cyclic changes occurring along the lagoon system. The two methods proved complementary, with each having its own beneficial features. (C) 2003 Elsevier B.V. All rights reserved.

Perturbative discrete-time multivariate fiber channel model with finite memory

We introduce a discrete-time fibre channel model that provides an accurate analytical description of signal-signal and signal-noise interference with memory defined by the interplay of nonlinearity and dispersion. Also the conditional pdf of signal distortion, which captures non-circular complex multivariate symbol interactions, is derived providing the necessary platform for the analysis of channel statistics and capacity estimations in fibre optic links.

GIS-integrated mathematical modeling of social phenomena at macro- and micro- levels—a multivariate geographically-weighted regression model for identifying locations vulnerable to hosting terrorist safe-houses: France as case study

Adaptability and invisibility are hallmarks of modern terrorism, and keeping pace with its dynamic nature presents a serious challenge for societies throughout the world. Innovations in computer science have incorporated applied mathematics to develop a wide array of predictive models to support the variety of approaches to counterterrorism. Predictive models are usually designed to forecast the location of attacks. Although this may protect individual structures or locations, it does not reduce the threat—it merely changes the target. While predictive models dedicated to events or social relationships receive much attention where the mathematical and social science communities intersect, models dedicated to terrorist locations such as safe-houses (rather than their targets or training sites) are rare and possibly nonexistent. At the time of this research, there were no publically available models designed to predict locations where violent extremists are likely to reside. This research uses France as a case study to present a complex systems model that incorporates multiple quantitative, qualitative and geospatial variables that differ in terms of scale, weight, and type. Though many of these variables are recognized by specialists in security studies, there remains controversy with respect to their relative importance, degree of interaction, and interdependence. Additionally, some of the variables proposed in this research are not generally recognized as drivers, yet they warrant examination based on their potential role within a complex system. This research tested multiple regression models and determined that geographically-weighted regression analysis produced the most accurate result to accommodate non-stationary coefficient behavior, demonstrating that geographic variables are critical to understanding and predicting the phenomenon of terrorism. This dissertation presents a flexible prototypical model that can be refined and applied to other regions to inform stakeholders such as policy-makers and law enforcement in their efforts to improve national security and enhance quality-of-life.

Geometrical Methods in Multivariate Risk Management: Algorithms and Applications

This thesis builds a framework for evaluating downside risk from multivariate data via a special class of risk measures (RM). The peculiarity of the analysis lies in getting rid of strong data distributional assumptions and in orientation towards the most critical data in risk management: those with asymmetries and heavy tails. At the same time, under typical assumptions, such as the ellipticity of the data probability distribution, the conformity with classical methods is shown. The constructed class of RM is a multivariate generalization of the coherent distortion RM, which possess valuable properties for a risk manager. The design of the framework is twofold. The first part contains new computational geometry methods for the high-dimensional data. The developed algorithms demonstrate computability of geometrical concepts used for constructing the RM. These concepts bring visuality and simplify interpretation of the RM. The second part develops models for applying the framework to actual problems. The spectrum of applications varies from robust portfolio selection up to broader spheres, such as stochastic conic optimization with risk constraints or supervised machine learning.

Tail conditional expectation for multivariate distributions : a game theory approach

This paper proposes using the Shapley values in allocating the total tail conditional expectation (TCE) to each business line (X j, j = 1, ... , n) when there are n correlated business lines. The joint distributions of X j and S (S = X1 + X2 + ⋯ + X n) are needed in the existing methods, but they are not required in the proposed method.

Demographic and clinical correlates of comorbid substance use disorders in psychosis : multivariate analyses from an epidemiological sample

Background: While there has been substantial research examining the correlates of comorbid substance abuse in psychotic disorders, it has been difficult to tease apart the relative importance of individual variables. Multivariate analyses are required, in which the relative contributions of risk factors to specific forms of substance misuse are examined, while taking into account the effects of other important correlates. Methods: This study used multivariate correlates of several forms of comorbid substance misuse in a large epidemiological sample of 852 Australians with DSMIII- R-diagnosed psychoses. Results: Multiple substance use was common and equally prevalent in nonaffective and affective psychoses. The most consistent correlate across the substance use disorders was male sex. Younger age groups were more likely to report the use of illegal drugs, while alcohol misuse was not associated with age. Side effects secondary to medication were associated with the misuse of cannabis and multiple substances, but not alcohol. Lower educational attainment was associated with cannabis misuse but not other forms of substance abuse. Conclusion: The profile of substance misuse in psychosis shows clinical and demographic gradients that can inform treatment and preventive research.

Numerical schemes and multivariate extrapolation of a two-dimensional anomalous sub-diffusion equation

Anomalous dynamics in complex systems have gained much interest in recent years. In this paper, a two-dimensional anomalous subdiffusion equation (2D-ASDE) is considered. Two numerical methods for solving the 2D-ASDE are presented. Their stability, convergence and solvability are discussed. A new multivariate extrapolation is introduced to improve the accuracy. Finally, numerical examples are given to demonstrate the effectiveness of the schemes and confirm the theoretical analysis.