Comparing N = 1 effect size indices in presence of autocorrelation

Generalization from single-case designs can be achieved by means of replicating individual studies across different experimental units and settings. When replications are available, their findings can be summarized using effect size measurements and integrated through meta-analyses. Several procedures are available for quantifying the magnitude of treatment"s effect in N = 1 designs and some of them are studied in the current paper. Monte Carlo simulations were employed to generate different data patterns (trend, level change, slope change). The experimental conditions simulated were defined by the degrees of serial dependence and phases" length. Out of all the effect size indices studied, the Percent of nonoverlapping data and standardized mean difference proved to be less affected by autocorrelation and perform better for shorter data series. The regression-based procedures proposed specifically for single-case designs did not differentiate between data patterns as well as simpler indices.

Spatial autocorrelation of ndvi and gvi indices derived from landsat/tm images for soybean crops in the western of the state of Paraná in 2004/2005 crop season

This research aims at studying spatial autocorrelation of Landsat/TM based on normalized difference vegetation index (NDVI) and green vegetation index (GVI) of soybean of the western region of the State of Paraná. The images were collected during the 2004/2005 crop season. The data were grouped into five vegetation index classes of equal amplitude, to create a temporal map of soybean within the crop cycle. Moran I and Local Indicators of Spatial Autocorrelation (LISA) indices were applied to study the spatial correlation at the global and local levels, respectively. According to these indices, it was possible to understand the municipality-based profiles of tillage as well as to identify different sowing periods, providing important information to producers who use soybean yield data in their planning.

Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Quantifying rock fabrics: a test of autocorrelation of the spatial distribution of cristals

A novel test of spatial independence of the distribution of crystals or phases in rocks based on compositional statistics is introduced. It improves and generalizes the common joins-count statistics known from map analysis in geographic information systems. Assigning phases independently to objects in RD is modelled by a single-trial multinomial random function Z(x), where the probabilities of phases add to one and are explicitly modelled as compositions in the K-part simplex SK. Thus, apparent inconsistencies of the tests based on the conventional joins{count statistics and their possibly contradictory interpretations are avoided. In practical applications we assume that the probabilities of phases do not depend on the location but are identical everywhere in the domain of de nition. Thus, the model involves the sum of r independent identical multinomial distributed 1-trial random variables which is an r-trial multinomial distributed random variable. The probabilities of the distribution of the r counts can be considered as a composition in the Q-part simplex SQ. They span the so called Hardy-Weinberg manifold H that is proved to be a K-1-affine subspace of SQ. This is a generalisation of the well-known Hardy-Weinberg law of genetics. If the assignment of phases accounts for some kind of spatial dependence, then the r-trial probabilities do not remain on H. This suggests the use of the Aitchison distance between observed probabilities to H to test dependence. Moreover, when there is a spatial uctuation of the multinomial probabilities, the observed r-trial probabilities move on H. This shift can be used as to check for these uctuations. A practical procedure and an algorithm to perform the test have been developed. Some cases applied to simulated and real data are presented. Key words: Spatial distribution of crystals in rocks, spatial distribution of phases, joins-count statistics, multinomial distribution, Hardy-Weinberg law, Hardy-Weinberg manifold, Aitchison geometry

Power properties if invariant tests for spatial autocorrelation in linear regression

This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005). More generally, the analysis in the paper sheds new light on how the power of tests for spatial autocorrelation is affected by the matrix of regressors and by the spatial structure. We mainly focus on the problem of residual spatial autocorrelation, in which case it is appropriate to restrict attention to the class of invariant tests, but we also consider the case when the autocorrelation is due to the presence of a spatially lagged dependent variable among the regressors. A numerical study aimed at assessing the practical relevance of the theoretical results is included

Testing for spatial autocorrelation: the regressors that make the power disappear

We show that for any sample size, any size of the test, and any weights matrix outside a small class of exceptions, there exists a positive measure set of regression spaces such that the power of the Cli-Ord test vanishes as the autocorrelation increases in a spatial error model. This result extends to the tests that dene the Gaussian power envelope of all invariant tests for residual spatial autocorrelation. In most cases, the regression spaces such that the problem occurs depend on the size of the test, but there also exist regression spaces such that the power vanishes regardless of the size. A characterization of such particularly hostile regression spaces is provided.

The sample autocorrelation function and the detection of long-memory processes

The detection of long-range dependence in time series analysis is an important task to which this paper contributes by showing that whilst the theoretical definition of a long-memory (or long-range dependent) process is based on the autocorrelation function, it is not possible for long memory to be identified using the sum of the sample autocorrelations, as usually defined. The reason for this is that the sample sum is a predetermined constant for any stationary time series; a result that is independent of the sample size. Diagnostic or estimation procedures, such as those in the frequency domain, that embed this sum are equally open to this criticism. We develop this result in the context of long memory, extending it to the implications for the spectral density function and the variance of partial sums of a stationary stochastic process. The results are further extended to higher order sample autocorrelations and the bispectral density. The corresponding result is that the sum of the third order sample (auto) bicorrelations at lags h,k≥1, is also a predetermined constant, different from that in the second order case, for any stationary time series of arbitrary length.

Movement intention detection from autocorrelation of EEG for BCI

Movement intention detection is important for development of intuitive movement based Brain Computer Interfaces (BCI). Various complex oscillatory processes are involved in producing voluntary movement intention. In this paper, temporal dynamics of electroencephalography (EEG) associated with movement intention and execution were studied using autocorrelation. It was observed that the trend of decay of autocorrelation of EEG changes before and during the voluntary movement. A novel feature for movement intention detection was developed based on relaxation time of autocorrelation obtained by fitting exponential decay curve to the autocorrelation. This new single trial feature was used to classify voluntary finger tapping trials from resting state trials with peak accuracy of 76.7%. The performance of autocorrelation analysis was compared with Motor-Related Cortical Potentials (MRCP).

Effect of measurement error and autocorrelation on the (X)over-bar chart

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

SPATIAL AUTOCORRELATION OF MORPHOMETRIC VARIATION IN LUTOSA-BRASILIENSIS (BRUNNER VONWATTENWYL, 1888) (ORTHOPTERA, GRYLLACRIDOIDEA, HENICIDAE)

Geographic differentiation and sexual dimorphism in eighteen morphometric characters of Lutosa brasiliensis (Orthoptera: Henicidae) collected in eight localities of the State of São Paulo (Brazil) were analysed. A two-way Multivariate Analysis of Variance (MONOVA) was used to assess simultaneously the effects of sex and geographic location (plus their interaction) on morphometric variability. The spatial patterns of variation were analysed by Factor and Spatial Autocorrelation Analyses (Moran's I coefficient in four distance classes). Both indicate that the main direction of variation is, for males and females, a north-south cline in overall body size. In females, however, ovipositor length is not correlated with overall body size and displays a different pattern of variation over geographic space, indicating that distinct evolutionary forces produced the geographic differentiation in the species.

GEOGRAPHIC-VARIATION IN APIS-CERANA-INDICA F - A SPATIAL AUTOCORRELATION ANALYSIS OF MORPHOMETRIC PATTERNS

Spatial patterns of morphometric variation in Apis cerana indica were analysed. Factor and spatial autocorrelation analyses were applied to 29 characters, measured in 17 populations in India. Correlograms showed that 15 characters are patterned geographically, and 13 of them are related to overall size. These characters are distributed as a north-south cline, probably reflecting adaptations to environmental conditions. However, the great number of characteristics without geographical pattern suggests that part of the morphometric variability is due to local stochastic divergences.