Robust Estimates of the Negative Binomial Model

We consider robust parametric procedures for univariate discrete distributions, focusing on the negative binomial model. The procedures are based on three steps: ?First, a very robust, but possibly inefficient, estimate of the model parameters is computed. ?Second, this initial model is used to identify outliers, which are then removed from the sample. ?Third, a corrected maximum likelihood estimator is computed with the remaining observations. The final estimate inherits the breakdown point (bdp) of the initial one and its efficiency can be significantly higher. Analogous procedures were proposed in [1], [2], [5] for the continuous case. A comparison of the asymptotic bias of various estimates under point contamination points out the minimum Neyman's chi-squared disparity estimate as a good choice for the initial step. Various minimum disparity estimators were explored by Lindsay [4], who showed that the minimum Neyman's chi-squared estimate has a 50% bdp under point contamination; in addition, it is asymptotically fully efficient at the model. However, the finite sample efficiency of this estimate under the uncontaminated negative binomial model is usually much lower than 100% and the bias can be strong. We show that its performance can then be greatly improved using the three step procedure outlined above. In addition, we compare the final estimate with the procedure described in

Com explicar un sistema CLIL: un model dinàmic newtonià

En la implementació del CLIL a l’educació superior, apart d’estudis sobre el nivell de l’estudiantat i la disponibilitat del professorat, i de l’elaboració de material educatiu interdisciplinari, el repte actual és aconseguir que s’involucrin activament en CLIL els professors de contingut d’un ventall ampli de disciplines. En aquesta comunicació es presenten les bases d’un model per un sistema CLIL, utilitzant la dinàmica newtoniana. Pot ser un model interessant i plausible en un context universitari científic i tecnològic, on fins ara el CLIL s’ha implementat només lleugerament.

Vasicek interest rate model

Tässä tutkielmassa estimoidaan korkomallin parametrit Maximum likelihood metodilla sekä näytetään kuinka mallintaa lyhyen koron evoluutiota ja korkokäyrän rakennetta.

Indirect likelihood inference (revised)

Standard indirect Inference (II) estimators take a given finite-dimensional statistic, Z_{n} , and then estimate the parameters by matching the sample statistic with the model-implied population moment. We here propose a novel estimation method that utilizes all available information contained in the distribution of Z_{n} , not just its first moment. This is done by computing the likelihood of Z_{n}, and then estimating the parameters by either maximizing the likelihood or computing the posterior mean for a given prior of the parameters. These are referred to as the maximum indirect likelihood (MIL) and Bayesian Indirect Likelihood (BIL) estimators, respectively. We show that the IL estimators are first-order equivalent to the corresponding moment-based II estimator that employs the optimal weighting matrix. However, due to higher-order features of Z_{n} , the IL estimators are higher order efficient relative to the standard II estimator. The likelihood of Z_{n} will in general be unknown and so simulated versions of IL estimators are developed. Monte Carlo results for a structural auction model and a DSGE model show that the proposed estimators indeed have attractive finite sample properties.

Comparison of maps of spatial variability of soil resistance to penetration constructed with and without covariables using a spatial linear model

A study about the spatial variability of data of soil resistance to penetration (RSP) was conducted at layers 0.0-0.1 m, 0.1-0.2 m and 0.2-0.3 m depth, using the statistical methods in univariate forms, i.e., using traditional geostatistics, forming thematic maps by ordinary kriging for each layer of the study. It was analyzed the RSP in layer 0.2-0.3 m depth through a spatial linear model (SLM), which considered the layers 0.0-0.1 m and 0.1-0.2 m in depth as covariable, obtaining an estimation model and a thematic map by universal kriging. The thematic maps of the RSP at layer 0.2-0.3 m depth, constructed by both methods, were compared using measures of accuracy obtained from the construction of the matrix of errors and confusion matrix. There are similarities between the thematic maps. All maps showed that the RSP is higher in the north region.

A simple model for the estimation of congenital malformation frequency in racially mixed populations

A simple model is proposed, using the method of maximum likelihood to estimate malformation frequencies in racial groups based on data obtained from hospital services. This model uses the proportions of racial admixture, and the observed malformation frequency. It was applied to two defects: postaxial polydactyly and cleft lip, the frequencies of which are recognizedly heterogeneous among racial groups. The frequencies estimated in each racial group were those expected for these malformations, which proves the applicability of the method.

THE GENERALIZED MAXIMUM LIKELIHOOD METHOD APPLIED TO HIGH PRESSURE PHASE EQUILIBRIUM

The generalized maximum likelihood method was used to determine binary interaction parameters between carbon dioxide and components of orange essential oil. Vapor-liquid equilibrium was modeled with Peng-Robinson and Soave-Redlich-Kwong equations, using a methodology proposed in 1979 by Asselineau, Bogdanic and Vidal. Experimental vapor-liquid equilibrium data on binary mixtures formed with carbon dioxide and compounds usually found in orange essential oil were used to test the model. These systems were chosen to demonstrate that the maximum likelihood method produces binary interaction parameters for cubic equations of state capable of satisfactorily describing phase equilibrium, even for a binary such as ethanol/CO2. Results corroborate that the Peng-Robinson, as well as the Soave-Redlich-Kwong, equation can be used to describe phase equilibrium for the following systems: components of essential oil of orange/CO2.

Elaboration of biscuits with oatmeal and fat palm with added L-leucine and calcium for sarcopenia

The objective of this study was to evaluate the effect of the addition of oatmeal and palm fat in the elaboration of biscuits with added L-leucine and calcium in order to develop a product for sarcopenia in the elderly. The biscuits, or cookies, were elaborated applying a central composite rotational design with surface response methodology, and the significant linear, quadratic and interaction terms were used in the second order mathematical model. Physical, physicochemical and sensory analyses were performed by a trained panel. Based on the best results obtained, three cookie formulations were selected for sensory evaluation by the target group and physicochemical determinations. The formulations with the highest sensory scores for appearance and texture and medium scores for color and expansion index were selected. The addition of calcium and leucine increased significantly the concentration of these components in the biscuits elaborated resulting in a cookie with more than 30% of DRI (Dietary Reference Intake) for calcium and leucine. The formulations selected showed high acceptance by the target group; therefore, they can be included in the diet of elderly with sarcopenia as a functional food.

Modeling Energy Futures Returns With Markov Regime Switching Model

Financial time series have a tendency of abruptly changing their behavior and maintain this behavior for several consecutive periods, and commodity futures returns are not an exception. This quality proposes that nonlinear models, as opposed to linear models, can more accurately describe returns and volatility. Markov regime switching models are able to match this behavior and have become a popular way to model financial time series. This study uses Markov regime switching model to describe the behavior of energy futures returns on a commodity level, because studies show that commodity futures are a heterogeneous asset class. The purpose of this thesis is twofold. First, determine how many regimes characterize individual energy commodities’ returns in different return frequencies. Second, study the characteristics of these regimes. We extent the previous studies on the subject in two ways: We allow for the possibility that the number of regimes may exceed two, as well as conduct the research on individual commodities rather than on commodity indices or subgroups of these indices. We use daily, weekly and monthly time series of Brent crude oil, WTI crude oil, natural gas, heating oil and gasoil futures returns over 1994–2014, where available, to carry out the study. We apply the likelihood ratio test to determine the sufficient number of regimes for each commodity and data frequency. Then the time series are modeled with Markov regime switching model to obtain the return distribution characteristics of each regime, as well as the transition probabilities of moving between regimes. The results for the number of regimes suggest that daily energy futures return series consist of three to six regimes, whereas weekly and monthly returns for all energy commodities display only two regimes. When the number of regimes exceeds two, there is a tendency for the time series of energy commodities to form groups of regimes. These groups are usually quite persistent as a whole because probability of a regime switch inside the group is high. However, individual regimes in these groups are not persistent and the process oscillates between these regimes frequently. Regimes that are not part of any group are generally persistent, but show low ergodic probability, i.e. rarely prevail in the market. This study also suggests that energy futures return series characterized with two regimes do not necessarily display persistent bull and bear regimes. In fact, for the majority of time series, bearish regime is considerably less persistent. Rahoituksen aikasarjoilla on taipumus arvaamattomasti muuttaa käyttäytymistään ja jatkaa tätä uutta käyttäytymistä useiden periodien ajan, eivätkä hyödykefutuurien tuotot tee tähän poikkeusta. Tämän ominaisuuden johdosta lineaaristen mallien sijasta epälineaariset mallit pystyvät tarkemmin kuvailemaan esimerkiksi tuottojen jakauman parametreja. Markov regiiminvaihtomallit pystyvät vangitsemaan tämän ominaisuuden ja siksi niistä on tullut suosittuja rahoituksen aikasarjojen mallintamisessa. Tämä tutkimus käyttää Markov regiiminvaihtomallia kuvaamaan yksittäisten energiafutuurien tuottojen käyttäytymistä, sillä tutkimukset osoittavat hyödykefutuurien olevan hyvin heterogeeninen omaisuusluokka. Tutkimuksen tarkoitus on selvittää, kuinka monta regiimiä tarvitaan kuvaamaan energiafutuurien tuottoja eri tuottofrekvensseillä ja mitkä ovat näiden regiimien ominaisuudet. Aiempaa tutkimusta aiheesta laajennetaan määrittämällä regiimien lukumäärä tilastotieteellisen testauksen menetelmin sekä tutkimalla energiafutuureja yksittäin; ei indeksi- tai alaindeksitasolla. Tutkimuksessa käytetään päivä-, viikko- ja kuukausiaikasarjoja Brent-raakaöljyn, WTI-raakaöljyn, maakaasun, lämmitysöljyn ja polttoöljyn tuotoista aikaväliltä 1994–2014, siltä osin kuin aineistoa on saatavilla. Likelihood ratio -testin avulla estimoidaan kaikille aikasarjoille regiimien määrä,jonka jälkeen Markov regiiminvaihtomallia hyödyntäen määritetään yksittäisten regiimientuottojakaumien ominaisuudet sekä regiimien välinen transitiomatriisi. Tulokset regiimien lukumäärän osalta osoittavat, että energiafutuurien päiväkohtaisten tuottojen aikasarjoissa regiimien lukumäärä vaihtelee kolmen ja kuuden välillä. Viikko- ja kuukausituottojen kohdalla kaikkien energiafutuurien prosesseissa regiimien lukumäärä on kaksi. Kun regiimejä on enemmän kuin kaksi, on prosessilla taipumus muodostaa regiimeistä koostuvia ryhmiä. Prosessi pysyy ryhmän sisällä yleensä pitkään, koska todennäköisyys siirtyä ryhmään kuuluvien regiimien välillä on suuri. Yksittäiset regiimit ryhmän sisällä eivät kuitenkaan ole kovin pysyviä. Näin ollen prosessi vaihtelee ryhmän sisäisten regiimien välillä tiuhaan. Regiimit, jotka eivät kuulu ryhmään, ovat yleensä pysyviä, mutta prosessi ajautuu niihin vain harvoin, sillä todennäköisyys siirtyä muista regiimeistä niihin on pieni. Tutkimuksen tulokset osoittavat myös, että prosesseissa, joita ohjaa kaksi regiimiä, nämä regiimit eivät välttämättä ole pysyvät bull- ja bear-markkinatilanteet. Tulokset osoittavat sen sijaan, että bear-markkinatilanne on energiafutuureissa selvästi vähemmän pysyvä.

“Weathering a Hidden Storm”: An Application of Andersen’s Behavioral Model of Health, and Health Services Use for Those with Diagnosable Anxiety Disorder

Abstract: Research has primarily focused on depression and mood disorders, but little research has been devoted to an examination of mental health services use amongst those with diagnosable anxiety disorder (Wittchen et al., 2002; Bergeron et al., 2005). This study examined the possible predicting factors for mental health services utilization amongst those with identifiable anxiety disorder in the Canadian population. The methods used for this study was the application of Andersen’s Behavioral Model of Health Services Use, where predisposing, need and enabling characteristics were regressed on the dependent variable of mental health services use. This study used the Canadian Community Health Survey (cycle 1.2: Mental Health and Well-Being) in a secondary data analysis. Several multiple logistics models predicted the likelihood to seek and use mental health services. Predisposing characteristics of gender and age, Enabling characteristics of education and geographical location, and those with co-occurring mood disorders were at the greatest increased likelihood to seek and use mental health services.

"Weathering a hidden storm" : an application of Andersen's behavioral model of health, and health services use for those with diagnosable anxiety disorder

"Weathering a Hidden Storm": An App~ication of Andersen's Behaviora~ Mode~ of Hea~th, and Hea~th Services Use for Those With Diagnosab~e Anxiety Disorder Research has primarily focused on depression and mood disorders, but little research has been devoted to an examination of mental health services use amongst those with diagnosable anxiety disorder (Wittchen et al., 2002; Bergeron et al., 2005). This study examined the possible predicting factors for mental health services utilization amongst those with identifiable anxiety disorder in the Canadian population. The methods used for this study was the application of Andersen's Behavioral Model of Health Services Use, where predisposing, need and enabling 111 characteristics were regressed on the dependent variable of mental health services use. This study used the Canadian Community Health Survey (cycle 1.2: Mental Health and Well- Being) in a secondary data analysis. Several multiple logistics models predicted the likelihood to seek and use mental health services. Predisposing characteristics of gender and age, Enabling characteristics of education and geographical location, and those with co-occurring mood disorders were at the greatest increased likelihood to seek and use mental health services.

Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence

This paper tests the predictions of the Barro-Gordon model using US data on inflation and unemployment. To that end, it constructs a general game-theoretical model with asymmetric preferences that nests the Barro-Gordon model and a version of Cukierman’s model as special cases. Likelihood Ratio tests indicate that the restriction imposed by the Barro-Gordon model is rejected by the data but the one imposed by the version of Cukierman’s model is not. Reduced-form estimates are consistent with the view that the Federal Reserve weights more heavily positive than negative unemployment deviations from the expected natural rate.

Estimating the Tobit Model with Serial Correlation: an Operational Approach

Several Authors Have Discussed Recently the Limited Dependent Variable Regression Model with Serial Correlation Between Residuals. the Pseudo-Maximum Likelihood Estimators Obtained by Ignoring Serial Correlation Altogether, Have Been Shown to Be Consistent. We Present Alternative Pseudo-Maximum Likelihood Estimators Which Are Obtained by Ignoring Serial Correlation Only Selectively. Monte Carlo Experiments on a Model with First Order Serial Correlation Suggest That Our Alternative Estimators Have Substantially Lower Mean-Squared Errors in Medium Size and Small Samples, Especially When the Serial Correlation Coefficient Is High. the Same Experiments Also Suggest That the True Level of the Confidence Intervals Established with Our Estimators by Assuming Asymptotic Normality, Is Somewhat Lower Than the Intended Level. Although the Paper Focuses on Models with Only First Order Serial Correlation, the Generalization of the Proposed Approach to Serial Correlation of Higher Order Is Also Discussed Briefly.

A maximum likelihood framework for protein design

Affiliation: Claudia Kleinman, Nicolas Rodrigue & Hervé Philippe : Département de biochimie, Faculté de médecine, Université de Montréal

Revisiting optimization algorithms for maximum likelihood estimation

Parmi les méthodes d’estimation de paramètres de loi de probabilité en statistique, le maximum de vraisemblance est une des techniques les plus populaires, comme, sous des conditions l´egères, les estimateurs ainsi produits sont consistants et asymptotiquement efficaces. Les problèmes de maximum de vraisemblance peuvent être traités comme des problèmes de programmation non linéaires, éventuellement non convexe, pour lesquels deux grandes classes de méthodes de résolution sont les techniques de région de confiance et les méthodes de recherche linéaire. En outre, il est possible d’exploiter la structure de ces problèmes pour tenter d’accélerer la convergence de ces méthodes, sous certaines hypothèses. Dans ce travail, nous revisitons certaines approches classiques ou récemment d´eveloppées en optimisation non linéaire, dans le contexte particulier de l’estimation de maximum de vraisemblance. Nous développons également de nouveaux algorithmes pour résoudre ce problème, reconsidérant différentes techniques d’approximation de hessiens, et proposons de nouvelles méthodes de calcul de pas, en particulier dans le cadre des algorithmes de recherche linéaire. Il s’agit notamment d’algorithmes nous permettant de changer d’approximation de hessien et d’adapter la longueur du pas dans une direction de recherche fixée. Finalement, nous évaluons l’efficacité numérique des méthodes proposées dans le cadre de l’estimation de modèles de choix discrets, en particulier les modèles logit mélangés.