Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways: first, by allowing for MC tests based on exchangeable possibly discrete test statistics; second, by generalizing the method to statistics whose null distributions involve nuisance parameters (maximized MC tests, MMC). Simplified asymptotically justified versions of the MMC method are also proposed and it is shown that they provide a simple way of improving standard asymptotics and dealing with nonstandard asymptotics (e.g., unit root asymptotics). Parametric bootstrap tests may be interpreted as a simplified version of the MMC method (without the general validity properties of the latter).

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

We consider the problem of testing whether the observations X1, ..., Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry-Esséen-Zolotarev bounds. The bounds are exact in finite samples, distribution-free and easy to compute. The performance of the bounds is evaluated and compared with traditional serial dependence tests in a simulation experiment. The procedures proposed are applied to U.S. data on interest rates (commercial paper rate).

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Cet article illustre l’applicabilité des méthodes de rééchantillonnage dans le cadre des tests multiples (simultanés), pour divers problèmes économétriques. Les hypothèses simultanées sont une conséquence habituelle de la théorie économique, de sorte que le contrôle de la probabilité de rejet de combinaisons de tests est un problème que l’on rencontre fréquemment dans divers contextes économétriques et statistiques. À ce sujet, on sait que le fait d’ignorer le caractère conjoint des hypothèses multiples peut faire en sorte que le niveau de la procédure globale dépasse considérablement le niveau désiré. Alors que la plupart des méthodes d’inférence multiple sont conservatrices en présence de statistiques non-indépendantes, les tests que nous proposons visent à contrôler exactement le niveau de signification. Pour ce faire, nous considérons des critères de test combinés proposés initialement pour des statistiques indépendantes. En appliquant la méthode des tests de Monte Carlo, nous montrons comment ces méthodes de combinaison de tests peuvent s’appliquer à de tels cas, sans recours à des approximations asymptotiques. Après avoir passé en revue les résultats antérieurs sur ce sujet, nous montrons comment une telle méthodologie peut être utilisée pour construire des tests de normalité basés sur plusieurs moments pour les erreurs de modèles de régression linéaires. Pour ce problème, nous proposons une généralisation valide à distance finie du test asymptotique proposé par Kiefer et Salmon (1983) ainsi que des tests combinés suivant les méthodes de Tippett et de Pearson-Fisher. Nous observons empiriquement que les procédures de test corrigées par la méthode des tests de Monte Carlo ne souffrent pas du problème de biais (ou sous-rejet) souvent rapporté dans cette littérature – notamment contre les lois platikurtiques – et permettent des gains sensibles de puissance par rapport aux méthodes combinées usuelles.

A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

Modeling entangled dynamics: comparison between stochastic single-chain and multichain models

To test the effectiveness of stochastic single-chain models in describing the dynamics of entangled polymers, we systematically compare one such model; the slip-spring model; to a multichain model solved using stochastic molecular dynamics(MD) simulations (the Kremer-Grest model). The comparison involves investigating if the single-chain model can adequately describe both a microscopic dynamical and a macroscopic rheological quantity for a range of chain lengths. Choosing a particular chain length in the slip-spring model, the parameter values that best reproduce the mean-square displacement of a group of monomers is determined by fitting toMDdata. Using the same set of parameters we then test if the predictions of the mean-square displacements for other chain lengths agree with the MD calculations. We followed this by a comparison of the time dependent stress relaxation moduli obtained from the two models for a range of chain lengths. After identifying a limitation of the original slip-spring model in describing the static structure of the polymer chain as seen in MD, we remedy this by introducing a pairwise repulsive potential between the monomers in the chains. Poor agreement of the mean-square monomer displacements at short times can be rectified by the use of generalized Langevin equations for the dynamics and resulted in significantly improved agreement.

Improvement of 3D protein models using multiple templates guided by single-template model quality assessment

Motivation: Modelling the 3D structures of proteins can often be enhanced if more than one fold template is used during the modelling process. However, in many cases, this may also result in poorer model quality for a given target or alignment method. There is a need for modelling protocols that can both consistently and significantly improve 3D models and provide an indication of when models might not benefit from the use of multiple target-template alignments. Here, we investigate the use of both global and local model quality prediction scores produced by ModFOLDclust2, to improve the selection of target-template alignments for the construction of multiple-template models. Additionally, we evaluate clustering the resulting population of multi- and single-template models for the improvement of our IntFOLD-TS tertiary structure prediction method. Results: We find that using accurate local model quality scores to guide alignment selection is the most consistent way to significantly improve models for each of the sequence to structure alignment methods tested. In addition, using accurate global model quality for re-ranking alignments, prior to selection, further improves the majority of multi-template modelling methods tested. Furthermore, subsequent clustering of the resulting population of multiple-template models significantly improves the quality of selected models compared with the previous version of our tertiary structure prediction method, IntFOLD-TS.

Parameterization of quasigeostrophic eddies in primitive equation ocean models

A parameterization of mesoscale eddy fluxes in the ocean should be consistent with the fact that the ocean interior is nearly adiabatic. Gent and McWilliams have described a framework in which this can be approximated in L-coordinate primitive equation models by incorporating the effects of eddies on the buoyancy field through an eddy-induced velocity. It is also natural to base a parameterization on the simple picture of the mixing of potential vorticity in the interior and the mixing of buoyancy at the surface. The authors discuss the various constraints imposed by these two requirements and attempt to clarify the appropriate boundary conditions on the eddy-induced velocities at the surface. Quasigeostrophic theory is used as a guide to the simplest way of satisfying these constraints.

Influence diagnostics for polyhazard models in the presence of covariates

In this paper, we present various diagnostic methods for polyhazard models. Polyhazard models are a flexible family for fitting lifetime data. Their main advantage over the single hazard models, such as the Weibull and the log-logistic models, is to include a large amount of nonmonotone hazard shapes, as bathtub and multimodal curves. Some influence methods, such as the local influence and total local influence of an individual are derived, analyzed and discussed. A discussion of the computation of the likelihood displacement as well as the normal curvature in the local influence method are presented. Finally, an example with real data is given for illustration.

Dynamical quantum noise in trapped Bose-Einstein condensates

We introduce the study of dynamical quantum noise in Bose-Einstein condensates through numerical simulation of stochastic partial differential equations obtained using phase-space representations. We derive evolution equations for a single trapped condensate in both the positive-P and Wigner representations and perform simulations to compare the predictions of the two methods. The positive-P approach is found to be highly susceptible to the stability problems that have been observed in other strongly nonlinear, weakly damped systems. Using the Wigner representation, we examine the evolution of several quantities of interest using from a variety of choices of initial stare for the condensate and compare results to those for single-mode models. [S1050-2947(98)06612-8].

Structured and unstructured continuous models for Wolbachia infections

We introduce and investigate a series of models for an infection of a diplodiploid host species by the bacterial endosymbiont Wolbachia. The continuous models are characterized by partial vertical transmission, cytoplasmic incompatibility and fitness costs associated with the infection. A particular aspect of interest is competitions between mutually incompatible strains. We further introduce an age-structured model that takes into account different fertility and mortality rates at different stages of the life cycle of the individuals. With only a few parameters, the ordinary differential equation models exhibit already interesting dynamics and can be used to predict criteria under which a strain of bacteria is able to invade a population. Interestingly, but not surprisingly, the age-structured model shows significant differences concerning the existence and stability of equilibrium solutions compared to the unstructured model.

Differential association of drinking motives with alcohol use on weekdays and weekends.

Drinking motives (DM) reflect the reasons why individuals drink alcohol. Weekdays are mainly dedicated to work, whereas weekends are generally associated with spending time with friends during special events or leisure activities; using alcohol on weekdays and weekends may also be related to different DM. This study examined whether DM were differentially associated with drinking volume (DV) on weekdays and weekends. A representative sample of 5,391 young Swiss men completed a questionnaire assessing weekday and weekend DV, as well as their DM, namely, enhancement, social, coping, and conformity motives. Associations of DM with weekday and weekend DV were examined using structural equation models. Each DM was tested individually in a separate model; all associations were positive and generally stronger (except conformity) for weekend rather than for weekday DV. Further specific patterns of association were found when DM were entered into a single model simultaneously. Associations with weekday and with weekend DV were positive for enhancement and coping motives. However, associations were stronger with weekend rather than with weekday DV for enhancement, and stronger with weekday than with weekend DV for coping motives. Associations of social motives were not significant with weekend DV and negative with weekday DV. Conformity motives were negatively associated with weekend DV and positively related to weekday DV. These results suggest that interventions targeting enhancement motives should be particularly effective at decreasing weekend drinking, whereas interventions targeted at coping motives would be particularly effective at reducing alcohol use on weekdays. (PsycINFO Database Record (c) 2014 APA, all rights reserved).

Peer pressure and alcohol use in young men: a mediation analysis of drinking motives.

BACKGROUND: Peer pressure (PP) has been shown to play a major role in the development and continuation of alcohol use and misuse. To date, almost all the studies investigating the association of PP with alcohol use only considered the PP for misconduct but largely ignored other aspects of PP, such as pressure for peer involvement and peer conformity. Moreover, it is not clear whether the association of PP with alcohol use is direct or mediated by other factors. The aim of the present study was to investigate the association of different aspects of peer pressure (PP) with drinking volume (DV) and risky single-occasion drinking (RSOD), and to explore whether these associations were mediated by drinking motives (DM). METHODS: A representative sample of 5521 young Swiss men, aged around 20 years old, completed a questionnaire assessing their usual weekly DV, the frequency of RSOD, DM (i.e. enhancement, social, coping, and conformity motives), and 3 aspects of PP (i.e. misconduct, peer involvement, and peer conformity). Associations between PP and alcohol outcomes (DV and RSOD) as well as the mediation of DM were tested using structural equation models. RESULTS: Peer pressure to misconduct was associated with more alcohol use, whereas peer involvement and peer conformity were associated with less alcohol use. Associations of drinking outcomes with PP to misconduct and peer involvement were partially mediated by enhancement and coping motives, while the association with peer conformity was partially mediated by enhancement and conformity motives. CONCLUSIONS: Results suggest that PP to misconduct constitutes a risk factor, while peer conformity and peer involvement reflect protective factors with regard to alcohol use. Moreover, results from the mediation analyses suggest that part of the association of PP with alcohol use came indirectly through DM: PP was associated with DM, which in turn were associated with alcohol use.

Predicting random level and seasonality of hotel prices. A structural equation growth curve approach

This article examines the effect on price of different characteristics of holiday hotels in the sun-and-beach segment, under the hedonic function perspective. Monthly prices of the majority of hotels in the Spanish continental Mediterranean coast are gathered from May to October 1999 from the tour operator catalogues. Hedonic functions are specified as random-effect models and parametrized as structural equation models with two latent variables, a random peak season price and a random width of seasonal fluctuations. Characteristics of the hotel and the region where they are located are used as predictors of both latent variables. Besides hotel category, region, distance to the beach, availability of parking place and room equipment have an effect on peak price and also on seasonality. 3- star hotels have the highest seasonality and hotels located in the southern regions the lowest, which could be explained by a warmer climate in autumn

Correcting Measurement Error Bias in Interaction Models with Small Samples

Several methods have been suggested to estimate non-linear models with interaction terms in the presence of measurement error. Structural equation models eliminate measurement error bias, but require large samples. Ordinary least squares regression on summated scales, regression on factor scores and partial least squares are appropriate for small samples but do not correct measurement error bias. Two stage least squares regression does correct measurement error bias but the results strongly depend on the instrumental variable choice. This article discusses the old disattenuated regression method as an alternative for correcting measurement error in small samples. The method is extended to the case of interaction terms and is illustrated on a model that examines the interaction effect of innovation and style of use of budgets on business performance. Alternative reliability estimates that can be used to disattenuate the estimates are discussed. A comparison is made with the alternative methods. Methods that do not correct for measurement error bias perform very similarly and considerably worse than disattenuated regression

Analytical expressions for the flame front speed in the downward combustion of thin solid fuels and comparison to experiments

We derive analytical expressions for the propagation speed of downward combustion fronts of thin solid fuels with a background flow initially at rest. The classical combustion model for thin solid fuels that consists of five coupled reaction-convection-diffusion equations is here reduced into a single equation with the gas temperature as the single variable. For doing so we apply a two-zone combustion model that divides the system into a preheating region and a pyrolyzing region. The speed of the combustion front is obtained after matching the temperature and its derivative at the location that separates both regions.We also derive a simplified version of this analytical expression expected to be valid for a wide range of cases. Flame front velocities predicted by our analyticalexpressions agree well with experimental data found in the literature for a large variety of cases and substantially improve the results obtained from a previous well-known analytical expression