Regression and hypothesis tests for multivariate GNSS state time series

A satellite based observation system can continuously or repeatedly generate a user state vector time series that may contain useful information. One typical example is the collection of International GNSS Services (IGS) station daily and weekly combined solutions. Another example is the epoch-by-epoch kinematic position time series of a receiver derived by a GPS real time kinematic (RTK) technique. Although some multivariate analysis techniques have been adopted to assess the noise characteristics of multivariate state time series, statistic testings are limited to univariate time series. After review of frequently used hypotheses test statistics in univariate analysis of GNSS state time series, the paper presents a number of T-squared multivariate analysis statistics for use in the analysis of multivariate GNSS state time series. These T-squared test statistics have taken the correlation between coordinate components into account, which is neglected in univariate analysis. Numerical analysis was conducted with the multi-year time series of an IGS station to schematically demonstrate the results from the multivariate hypothesis testing in comparison with the univariate hypothesis testing results. The results have demonstrated that, in general, the testing for multivariate mean shifts and outliers tends to reject less data samples than the testing for univariate mean shifts and outliers under the same confidence level. It is noted that neither univariate nor multivariate data analysis methods are intended to replace physical analysis. Instead, these should be treated as complementary statistical methods for a prior or posteriori investigations. Physical analysis is necessary subsequently to refine and interpret the results.

The distribution of construction project bids

This paper describes an analysis of construction project bids to determine (a) the global distribution and (b) factors influencing the distribution of bids. The global distribution of bids was found, by using a battery of ll test statistics, to be approximated by a three-parameter log normal distribution. No global spread parameter was found. A multivariate analysis revealed the year of tender to be the major influencing factor. Consideration of the construction order, tender price and output indices lead to the conclusion that distributional spread reflected the degree of difference in pricing policies between bidders and the skewness of the distributions reflected the degree of competition. The paper concludes with a tentative model of the causal relationships between the factors and distributional characteristics involved.

Econometric Modelling with Time Series : Specification, Estimation and Testing

This book provides a general framework for specifying, estimating, and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also discussed, including quasi-maximum likelihood estimation, generalized method of moments estimation, nonparametric estimation, and estimation by simulation. An important advantage of adopting the principle of maximum likelihood as the unifying framework for the book is that many of the estimators and test statistics proposed in econometrics can be derived within a likelihood framework, thereby providing a coherent vehicle for understanding their properties and interrelationships. In contrast to many existing econometric textbooks, which deal mainly with the theoretical properties of estimators and test statistics through a theorem-proof presentation, this book squarely addresses implementation to provide direct conduits between the theory and applied work.

Shared caregiving responsibilities of adult siblings with elderly parents

This paper uses a nonstructural, ordered discrete choice model to measure the effects of various parent and child characteristics upon the independent caregiving decisions of the adult children of elderly parents sampled in the 1982 and 1984 National Long Term Care Survey (NLTCS). While significant effects are noted, emphasis is placed on test statistics constructed to measure the independence of caregiving decisions. The test statistic results are conclusive: The caregiving decisions of adult children are dependent across time and family members. Structural models taking dependencies among family members into account note effects similar to those in the nonstructural model.

Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Inference of the genetic architecture underlying BMI and height with the use of 20,240 sibling pairs

Evidence that complex traits are highly polygenic has been presented by population-based genome-wide association studies (GWASs) through the identification of many significant variants, as well as by family-based de novo sequencing studies indicating that several traits have a large mutational target size. Here, using a third study design, we show results consistent with extreme polygenicity for body mass index (BMI) and height. On a sample of 20,240 siblings (from 9,570 nuclear families), we used a within-family method to obtain narrow-sense heritability estimates of 0.42 (SE = 0.17, p = 0.01) and 0.69 (SE = 0.14, p = 6 x 10(-)(7)) for BMI and height, respectively, after adjusting for covariates. The genomic inflation factors from locus-specific linkage analysis were 1.69 (SE = 0.21, p = 0.04) for BMI and 2.18 (SE = 0.21, p = 2 x 10(-10)) for height. This inflation is free of confounding and congruent with polygenicity, consistent with observations of ever-increasing genomic-inflation factors from GWASs with large sample sizes, implying that those signals are due to true genetic signals across the genome rather than population stratification. We also demonstrate that the distribution of the observed test statistics is consistent with both rare and common variants underlying a polygenic architecture and that previous reports of linkage signals in complex traits are probably a consequence of polygenic architecture rather than the segregation of variants with large effects. The convergent empirical evidence from GWASs, de novo studies, and within-family segregation implies that family-based sequencing studies for complex traits require very large sample sizes because the effects of causal variants are small on average.

Genomic inflation factors under polygenic inheritance

Population structure, including population stratification and cryptic relatedness, can cause spurious associations in genome-wide association studies (GWAS). Usually, the scaled median or mean test statistic for association calculated from multiple single-nucleotide-polymorphisms across the genome is used to assess such effects, and 'genomic control' can be applied subsequently to adjust test statistics at individual loci by a genomic inflation factor. Published GWAS have clearly shown that there are many loci underlying genetic variation for a wide range of complex diseases and traits, implying that a substantial proportion of the genome should show inflation of the test statistic. Here, we show by theory, simulation and analysis of data that in the absence of population structure and other technical artefacts, but in the presence of polygenic inheritance, substantial genomic inflation is expected. Its magnitude depends on sample size, heritability, linkage disequilibrium structure and the number of causal variants. Our predictions are consistent with empirical observations on height in independent samples of ~4000 and ~133,000 individuals.

Testing against changing correlation

A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and modified to allow for the estimation of models for time-varying volatility in the individual series. Unlike standard moment-based tests, the score-based test statistic includes information on the level of correlation under the null hypothesis and local power arguments indicate the benefits of doing so. A simulation study shows that the performance of the score-based test is strong relative to existing tests across a range of data generating processes. An application to the Hong Kong and South Korean equity markets shows that the new test reveals changes in correlation that are not detected by the standard moment-based test.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

A comparative ecological study on internationally important wetlands of Khoor-e-Kolahy and Tiab

Ecological study on Kolahy and 'flab estuaries were carried out during 1996-1997. Water and sediment sampling was done seasonally. In order to study the physical and chemical characteristic of the water, various animal fauna from different material niches including planktons and fish from water, benthousi from the sediment , and surface living animal such as Arthropod (Crabs) and Waterbirds were identified. I he result shoved, that water salinity of both estuaries was the same as the general salinity existing its the Persian Gulf water, and its variation is same IN those waters Minimum water salinity in both estuaries are seen during Bahairdan or early winter mooth(Jaa.), which is about 31ppt and Maximum is during .rirldlun.) or summer mouth at about 19 ppt. Dissolved otygen and pH are slime as the general Persian Gulf waters., Dissolve Oxygen being directly associated to temperature and its fluctuation is between 7- Sing/I and pH between 7.5-LS. The animals of both estuaries are almost similar having a sal factory species diversity . The birds of the region are often seasonal migrants , the maximum population of which occurs in winter season and the minimum during summer month. Nam coverage is richer in Tiab than Kolahy estuary, where in Kolahy a signal Mangrove tree is in exigence. 'Ile total coverage of Mangrove forest in Tiab is estimated about -29 hec.Both estuaries are included with in the international Ramsar Convention sites in 1971. Due to national importance of these estuaries inproviding refugee for various birds species and also hinting grounds and access traffic for local fishing vehicles, Actiog as an important access for various inhabitancy living with these area of the Persian Gulf. Due to importance or prawn aquacultur for the economical well being of local inhabitance, these areas provide a suitable grandees for prawn production. I-test statistics show, there are no significant difference among various invertebrate and vertebrate animals. In over all out look 21) phytoplankton genera, 21) zeoplankton genera 17 miafauna and 32 roaerofauna genera , 11 different species Carcineacearions and 119 species of walerbirds were identified with in the Tiab and Kolahy estuariesregioos. The X statistic show that the animal density is directly associated to season. Where density of miofauna and maerofauna in both estuaries are in maiticrourn during summer and the minimums existing during the winter season. In addition the bentic invertebrate population density in closlly association to birds population density since , the later, feeds on the former animals. Where the increasing in bird population density during the winter season, the bentic invertebrate animal population density decreases. The over all trend of animal population density in winter tend to increased towards the summer seasons, which this is due to climatic conditions of the region. The bird population on the contrary to other animals of both estuaries tend to increase from summer towards the winter seasons and which this bird population density is in maximum in winter with in the region.

permGPU: Using graphics processing units in RNA microarray association studies.

BACKGROUND: Many analyses of microarray association studies involve permutation, bootstrap resampling and cross-validation, that are ideally formulated as embarrassingly parallel computing problems. Given that these analyses are computationally intensive, scalable approaches that can take advantage of multi-core processor systems need to be developed. RESULTS: We have developed a CUDA based implementation, permGPU, that employs graphics processing units in microarray association studies. We illustrate the performance and applicability of permGPU within the context of permutation resampling for a number of test statistics. An extensive simulation study demonstrates a dramatic increase in performance when using permGPU on an NVIDIA GTX 280 card compared to an optimized C/C++ solution running on a conventional Linux server. CONCLUSIONS: permGPU is available as an open-source stand-alone application and as an extension package for the R statistical environment. It provides a dramatic increase in performance for permutation resampling analysis in the context of microarray association studies. The current version offers six test statistics for carrying out permutation resampling analyses for binary, quantitative and censored time-to-event traits.

Genetic association analyses of non-synonymous single nucleotide polymorphisms in diabetic nephropathy

Aims/hypothesis: Diabetic nephropathy, characterised by persistent proteinuria, hypertension and progressive kidney failure, affects a subset of susceptible individuals with diabetes. It is also a leading cause of end-stage renal disease (ESRD). Non-synonymous (ns) single nucleotide polymorphisms (SNPs) have been reported to contribute to genetic susceptibility in both monogenic disorders and common complex diseases. The objective of this study was to investigate whether nsSNPs are involved in susceptibility to diabetic nephropathy using a case-control design.

Methods: White type 1 diabetic patients with (cases) and without (controls) nephropathy from eight centres in the UK and Ireland were genotyped for a selected subset of nsSNPs using Illumina's GoldenGate BeadArray assay. A ? 2 test for trend, stratified by centre, was used to assess differences in genotype distribution between cases and controls. Genomic control was used to adjust for possible inflation of test statistics, and the False Discovery Rate method was used to account for multiple testing.

Results: We assessed 1,111 nsSNPs for association with diabetic nephropathy in 1,711 individuals with type 1 diabetes (894 cases, 817 controls). A number of SNPs demonstrated a significant difference in genotype distribution between groups before but not after correction for multiple testing. Furthermore, neither subgroup analysis (diabetic nephropathy with ESRD or diabetic nephropathy without ESRD) nor stratification by duration of diabetes revealed any significant differences between groups.

Conclusions/interpretation: The nsSNPs investigated in this study do not appear to contribute significantly to the development of diabetic nephropathy in patients with type 1 diabetes.

Unite and conquer: univariate and multivariate approaches for finding differentially expressed gene sets

Motivation: Recently, many univariate and several multivariate approaches have been suggested for testing differential expression of gene sets between different phenotypes. However, despite a wealth of literature studying their performance on simulated and real biological data, still there is a need to quantify their relative performance when they are testing different null hypotheses.

Results: In this article, we compare the performance of univariate and multivariate tests on both simulated and biological data. In the simulation study we demonstrate that high correlations equally affect the power of both, univariate as well as multivariate tests. In addition, for most of them the power is similarly affected by the dimensionality of the gene set and by the percentage of genes in the set, for which expression is changing between two phenotypes. The application of different test statistics to biological data reveals that three statistics (sum of squared t-tests, Hotelling's T2, N-statistic), testing different null hypotheses, find some common but also some complementing differentially expressed gene sets under specific settings. This demonstrates that due to complementing null hypotheses each test projects on different aspects of the data and for the analysis of biological data it is beneficial to use all three tests simultaneously instead of focusing exclusively on just one.