D. Normal Mixture Models and Elliptical Models
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On Multivariate Runs Tests for Randomness
On Multivariate Runs Tests for Randomness Davy Paindaveine∗ Universit´eLibre de Bruxelles, Brussels, Belgium Abstract This paper proposes several extensions of the concept of runs to the multi- variate setup, and studies the resulting tests of multivariate randomness against serial dependence. Two types of multivariate runs are defined: (i) an elliptical extension of the spherical runs proposed by Marden (1999), and (ii) an orig- inal concept of matrix-valued runs. The resulting runs tests themselves exist in various versions, one of which is a function of the number of data-based hyperplanes separating pairs of observations only. All proposed multivariate runs tests are affine-invariant and highly robust: in particular, they allow for heteroskedasticity and do not require any moment assumption. Their limit- ing distributions are derived under the null hypothesis and under sequences of local vector ARMA alternatives. Asymptotic relative efficiencies with respect to Gaussian Portmanteau tests are computed, and show that, while Marden- type runs tests suffer severe consistency problems, tests based on matrix-valued ∗Davy Paindaveine is Professor of Statistics, Universit´eLibre de Bruxelles, E.C.A.R.E.S. and D´epartement de Math´ematique, Avenue F. D. Roosevelt, 50, CP 114, B-1050 Bruxelles, Belgium, (e-mail: [email protected]). The author is also member of ECORE, the association between CORE and ECARES. This work was supported by a Mandat d’Impulsion Scientifique of the Fonds National de la Recherche Scientifique, Communaut´efran¸caise de Belgique. 1 runs perform uniformly well for moderate-to-large dimensions. A Monte-Carlo study confirms the theoretical results and investigates the robustness proper- ties of the proposed procedures. -
A Tail Quantile Approximation Formula for the Student T and the Symmetric Generalized Hyperbolic Distribution
A Service of Leibniz-Informationszentrum econstor Wirtschaft Leibniz Information Centre Make Your Publications Visible. zbw for Economics Schlüter, Stephan; Fischer, Matthias J. Working Paper A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution IWQW Discussion Papers, No. 05/2009 Provided in Cooperation with: Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics Suggested Citation: Schlüter, Stephan; Fischer, Matthias J. (2009) : A tail quantile approximation formula for the student t and the symmetric generalized hyperbolic distribution, IWQW Discussion Papers, No. 05/2009, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Nürnberg This Version is available at: http://hdl.handle.net/10419/29554 Standard-Nutzungsbedingungen: Terms of use: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Documents in EconStor may be saved and copied for your Zwecken und zum Privatgebrauch gespeichert und kopiert werden. personal and scholarly purposes. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle You are not to copy documents for public or commercial Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich purposes, to exhibit the documents publicly, to make them machen, vertreiben oder anderweitig nutzen. publicly available on the internet, or to distribute or otherwise use the documents in public. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, If the documents have been made available under an Open gelten abweichend von diesen Nutzungsbedingungen die in der dort Content Licence (especially Creative Commons Licences), you genannten Lizenz gewährten Nutzungsrechte. may exercise further usage rights as specified in the indicated licence. www.econstor.eu IWQW Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Diskussionspapier Discussion Papers No. -
Mixture Random Effect Model Based Meta-Analysis for Medical Data
Mixture Random Effect Model Based Meta-analysis For Medical Data Mining Yinglong Xia?, Shifeng Weng?, Changshui Zhang??, and Shao Li State Key Laboratory of Intelligent Technology and Systems,Department of Automation, Tsinghua University, Beijing, China [email protected], [email protected], fzcs,[email protected] Abstract. As a powerful tool for summarizing the distributed medi- cal information, Meta-analysis has played an important role in medical research in the past decades. In this paper, a more general statistical model for meta-analysis is proposed to integrate heterogeneous medi- cal researches efficiently. The novel model, named mixture random effect model (MREM), is constructed by Gaussian Mixture Model (GMM) and unifies the existing fixed effect model and random effect model. The pa- rameters of the proposed model are estimated by Markov Chain Monte Carlo (MCMC) method. Not only can MREM discover underlying struc- ture and intrinsic heterogeneity of meta datasets, but also can imply reasonable subgroup division. These merits embody the significance of our methods for heterogeneity assessment. Both simulation results and experiments on real medical datasets demonstrate the performance of the proposed model. 1 Introduction As the great improvement of experimental technologies, the growth of the vol- ume of scientific data relevant to medical experiment researches is getting more and more massively. However, often the results spreading over journals and on- line database appear inconsistent or even contradict because of variance of the studies. It makes the evaluation of those studies to be difficult. Meta-analysis is statistical technique for assembling to integrate the findings of a large collection of analysis results from individual studies. -
A Family of Skew-Normal Distributions for Modeling Proportions and Rates with Zeros/Ones Excess
S S symmetry Article A Family of Skew-Normal Distributions for Modeling Proportions and Rates with Zeros/Ones Excess Guillermo Martínez-Flórez 1, Víctor Leiva 2,* , Emilio Gómez-Déniz 3 and Carolina Marchant 4 1 Departamento de Matemáticas y Estadística, Facultad de Ciencias Básicas, Universidad de Córdoba, Montería 14014, Colombia; [email protected] 2 Escuela de Ingeniería Industrial, Pontificia Universidad Católica de Valparaíso, 2362807 Valparaíso, Chile 3 Facultad de Economía, Empresa y Turismo, Universidad de Las Palmas de Gran Canaria and TIDES Institute, 35001 Canarias, Spain; [email protected] 4 Facultad de Ciencias Básicas, Universidad Católica del Maule, 3466706 Talca, Chile; [email protected] * Correspondence: [email protected] or [email protected] Received: 30 June 2020; Accepted: 19 August 2020; Published: 1 September 2020 Abstract: In this paper, we consider skew-normal distributions for constructing new a distribution which allows us to model proportions and rates with zero/one inflation as an alternative to the inflated beta distributions. The new distribution is a mixture between a Bernoulli distribution for explaining the zero/one excess and a censored skew-normal distribution for the continuous variable. The maximum likelihood method is used for parameter estimation. Observed and expected Fisher information matrices are derived to conduct likelihood-based inference in this new type skew-normal distribution. Given the flexibility of the new distributions, we are able to show, in real data scenarios, the good performance of our proposal. Keywords: beta distribution; centered skew-normal distribution; maximum-likelihood methods; Monte Carlo simulations; proportions; R software; rates; zero/one inflated data 1. -
Mixture Modeling with Applications in Alzheimer's Disease
University of Kentucky UKnowledge Theses and Dissertations--Epidemiology and Biostatistics College of Public Health 2017 MIXTURE MODELING WITH APPLICATIONS IN ALZHEIMER'S DISEASE Frank Appiah University of Kentucky, [email protected] Digital Object Identifier: https://doi.org/10.13023/ETD.2017.100 Right click to open a feedback form in a new tab to let us know how this document benefits ou.y Recommended Citation Appiah, Frank, "MIXTURE MODELING WITH APPLICATIONS IN ALZHEIMER'S DISEASE" (2017). Theses and Dissertations--Epidemiology and Biostatistics. 14. https://uknowledge.uky.edu/epb_etds/14 This Doctoral Dissertation is brought to you for free and open access by the College of Public Health at UKnowledge. It has been accepted for inclusion in Theses and Dissertations--Epidemiology and Biostatistics by an authorized administrator of UKnowledge. For more information, please contact [email protected]. STUDENT AGREEMENT: I represent that my thesis or dissertation and abstract are my original work. Proper attribution has been given to all outside sources. I understand that I am solely responsible for obtaining any needed copyright permissions. I have obtained needed written permission statement(s) from the owner(s) of each third-party copyrighted matter to be included in my work, allowing electronic distribution (if such use is not permitted by the fair use doctrine) which will be submitted to UKnowledge as Additional File. I hereby grant to The University of Kentucky and its agents the irrevocable, non-exclusive, and royalty-free license to archive and make accessible my work in whole or in part in all forms of media, now or hereafter known. -
Generalized Skew-Elliptical Distributions and Their Quadratic Forms
Ann. Inst. Statist. Math. Vol. 57, No. 2, 389-401 (2005) @2005 The Institute of Statistical Mathematics GENERALIZED SKEW-ELLIPTICAL DISTRIBUTIONS AND THEIR QUADRATIC FORMS MARC G. GENTON 1 AND NICOLA M. R. LOPERFIDO2 1Department of Statistics, Texas A ~M University, College Station, TX 77843-3143, U.S.A., e-mail: genton~stat.tamu.edu 2 Instituto di scienze Econoraiche, Facoltd di Economia, Universit~ degli Studi di Urbino, Via SaJ~ 42, 61029 Urbino ( PU), Italy, e-mail: nicolaQecon.uniurb.it (Received February 10, 2003; revised March 1, 2004) Abstract. This paper introduces generalized skew-elliptical distributions (GSE), which include the multivariate skew-normal, skew-t, skew-Cauchy, and skew-elliptical distributions as special cases. GSE are weighted elliptical distributions but the dis- tribution of any even function in GSE random vectors does not depend on the weight function. In particular, this holds for quadratic forms in GSE random vectors. This property is beneficial for inference from non-random samples. We illustrate the latter point on a data set of Australian athletes. Key words and phrases: Elliptical distribution, invariance, kurtosis, selection model, skewness, weighted distribution. 1. Introduction Probability distributions that are more flexible than the normal are often needed in statistical modeling (Hill and Dixon (1982)). Skewness in datasets, for example, can be modeled through the multivariate skew-normal distribution introduced by Azzalini and Dalla Valle (1996), which appears to attain a reasonable compromise between mathe- matical tractability and shape flexibility. Its probability density function (pdf) is (1.1) 2~)p(Z; ~, ~-~) . O(ozT(z -- ~)), Z E ]~P, where Cp denotes the pdf of a p-dimensional normal distribution centered at ~ C ]~P with scale matrix ~t E ]~pxp and denotes the cumulative distribution function (cdf) of a standard normal distribution. -
A Two-Component Normal Mixture Alternative to the Fay-Herriot Model
A two-component normal mixture alternative to the Fay-Herriot model August 22, 2015 Adrijo Chakraborty 1, Gauri Sankar Datta 2 3 4 and Abhyuday Mandal 5 Abstract: This article considers a robust hierarchical Bayesian approach to deal with ran- dom effects of small area means when some of these effects assume extreme values, resulting in outliers. In presence of outliers, the standard Fay-Herriot model, used for modeling area- level data, under normality assumptions of the random effects may overestimate random effects variance, thus provides less than ideal shrinkage towards the synthetic regression pre- dictions and inhibits borrowing information. Even a small number of substantive outliers of random effects result in a large estimate of the random effects variance in the Fay-Herriot model, thereby achieving little shrinkage to the synthetic part of the model or little reduction in posterior variance associated with the regular Bayes estimator for any of the small areas. While a scale mixture of normal distributions with known mixing distribution for the random effects has been found to be effective in presence of outliers, the solution depends on the mixing distribution. As a possible alternative solution to the problem, a two-component nor- mal mixture model has been proposed based on noninformative priors on the model variance parameters, regression coefficients and the mixing probability. Data analysis and simulation studies based on real, simulated and synthetic data show advantage of the proposed method over the standard Bayesian Fay-Herriot solution derived under normality of random effects. 1NORC at the University of Chicago, Bethesda, MD 20814, [email protected] 2Department of Statistics, University of Georgia, Athens, GA 30602, USA. -
Elliptical Symmetry
Elliptical symmetry Abstract: This article first reviews the definition of elliptically symmetric distributions and discusses identifiability issues. It then presents results related to the corresponding characteristic functions, moments, marginal and conditional distributions, and considers the absolutely continuous case. Some well known instances of elliptical distributions are provided. Finally, inference in elliptical families is briefly discussed. Keywords: Elliptical distributions; Mahalanobis distances; Multinormal distributions; Pseudo-Gaussian tests; Robustness; Shape matrices; Scatter matrices Definition Until the 1970s, most procedures in multivariate analysis were developed under multinormality assumptions, mainly for mathematical convenience. In most applications, however, multinormality is only a poor approximation of reality. In particular, multinormal distributions do not allow for heavy tails, that are so common, e.g., in financial data. The class of elliptically symmetric distributions extends the class of multinormal distributions by allowing for both lighter-than-normal and heavier-than-normal tails, while maintaining the elliptical geometry of the underlying multinormal equidensity contours. Roughly, a random vector X with elliptical density is obtained as the linear transformation of a spherically distributed one Z| namely, a random vector with spherical equidensity contours, the distribution of which is invariant under rotations centered at the origin; such vectors always can be represented under the form Z = RU, where -
Tracy-Widom Limit for the Largest Eigenvalue of High-Dimensional
Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions Wen Jun1, Xie Jiahui1, Yu Long1 and Zhou Wang1 1Department of Statistics and Applied Probability, National University of Singapore, e-mail: *[email protected] Abstract: Let X be an M × N random matrix consisting of independent M-variate ellip- tically distributed column vectors x1,..., xN with general population covariance matrix Σ. In the literature, the quantity XX∗ is referred to as the sample covariance matrix after scaling, where X∗ is the transpose of X. In this article, we prove that the limiting behavior of the scaled largest eigenvalue of XX∗ is universal for a wide class of elliptical distribu- tions, namely, the scaled largest eigenvalue converges weakly to the same limit regardless of the distributions that x1,..., xN follow as M,N →∞ with M/N → φ0 > 0 if the weak fourth moment of the radius of x1 exists . In particular, via comparing the Green function with that of the sample covariance matrix of multivariate normally distributed data, we conclude that the limiting distribution of the scaled largest eigenvalue is the celebrated Tracy-Widom law. Keywords and phrases: Sample covariance matrices, Elliptical distributions, Edge uni- versality, Tracy-Widom distribution, Tail probability. 1. Introduction Suppose one observed independent and identically distributed (i.i.d.) data x1,..., xN with mean 0 from RM , where the positive integers N and M are the sample size and the dimension of 1 N data respectively. Define = N − x x∗, referred to as the sample covariance matrix of W i=1 i i x1,..., xN , where is the conjugate transpose of matrices throughout this article. -
Student's T Distribution Based Estimation of Distribution
1 Student’s t Distribution based Estimation of Distribution Algorithms for Derivative-free Global Optimization ∗Bin Liu Member, IEEE, Shi Cheng Member, IEEE, Yuhui Shi Fellow, IEEE Abstract In this paper, we are concerned with a branch of evolutionary algorithms termed estimation of distribution (EDA), which has been successfully used to tackle derivative-free global optimization problems. For existent EDA algorithms, it is a common practice to use a Gaussian distribution or a mixture of Gaussian components to represent the statistical property of available promising solutions found so far. Observing that the Student’s t distribution has heavier and longer tails than the Gaussian, which may be beneficial for exploring the solution space, we propose a novel EDA algorithm termed ESTDA, in which the Student’s t distribution, rather than Gaussian, is employed. To address hard multimodal and deceptive problems, we extend ESTDA further by substituting a single Student’s t distribution with a mixture of Student’s t distributions. The resulting algorithm is named as estimation of mixture of Student’s t distribution algorithm (EMSTDA). Both ESTDA and EMSTDA are evaluated through extensive and in-depth numerical experiments using over a dozen of benchmark objective functions. Empirical results demonstrate that the proposed algorithms provide remarkably better performance than their Gaussian counterparts. Index Terms derivative-free global optimization, EDA, estimation of distribution, Expectation-Maximization, mixture model, Student’s t distribution I. INTRODUCTION The estimation of distribution algorithm (EDA) is an evolutionary computation (EC) paradigm for tackling derivative-free global optimization problems [1]. EDAs have gained great success and attracted increasing attentions during the last decade arXiv:1608.03757v2 [cs.NE] 25 Nov 2016 [2]. -
Von Mises-Fisher Elliptical Distribution Shengxi Li, Student Member, IEEE, Danilo Mandic, Fellow, IEEE
1 Von Mises-Fisher Elliptical Distribution Shengxi Li, Student Member, IEEE, Danilo Mandic, Fellow, IEEE Abstract—A large class of modern probabilistic learning recent applications [13], [14], [15], this type of skewed systems assumes symmetric distributions, however, real-world elliptical distributions results in a different stochastic rep- data tend to obey skewed distributions and are thus not always resentation from the (symmetric) elliptical distribution, which adequately modelled through symmetric distributions. To ad- dress this issue, elliptical distributions are increasingly used to is prohibitive to invariance analysis, sample generation and generalise symmetric distributions, and further improvements parameter estimation. A further extension employs a stochastic to skewed elliptical distributions have recently attracted much representation of elliptical distributions by assuming some attention. However, existing approaches are either hard to inner dependency [16]. However, due to the added dependency, estimate or have complicated and abstract representations. To the relationships between parameters become unclear and this end, we propose to employ the von-Mises-Fisher (vMF) distribution to obtain an explicit and simple probability repre- sometimes interchangeable, impeding the estimation. sentation of the skewed elliptical distribution. This is shown In this paper, we start from the stochastic representation of not only to allow us to deal with non-symmetric learning elliptical distributions, and propose a novel generalisation by systems, but also to provide a physically meaningful way of employing the von Mises-Fisher (vMF) distribution to explic- generalising skewed distributions. For rigour, our extension is itly specify the direction and skewness, whilst keeping the proved to share important and desirable properties with its symmetric counterpart. -
Metaplus: Robust Meta-Analysis and Meta-Regression
Package ‘metaplus’ June 12, 2021 Type Package Title Robust Meta-Analysis and Meta-Regression Version 1.0-2 Date 2021-06-10 Maintainer Ken Beath <[email protected]> Contact Ken Beath <[email protected]> Author Ken Beath [aut, cre], Ben Bolker [aut], R Development Core Team [aut] Description Performs meta-analysis and meta-regression using standard and robust methods with con- fidence intervals based on the profile likelihood. Robust methods are based on alternative distri- butions for the random effect, either the t-distribution (Lee and Thomp- son, 2008 <doi:10.1002/sim.2897> or Baker and Jackson, 2008 <doi:10.1007/s10729-007-9041- 8>) or mixtures of normals (Beath, 2014 <doi:10.1002/jrsm.1114>). Depends R(>= 3.2.0) Suggests R.rsp VignetteBuilder R.rsp Imports bbmle, metafor, boot, methods, numDeriv, MASS, graphics, stats, fastGHQuad, lme4, Rfast, parallel, doParallel, foreach, doRNG LazyData yes License GPL (>= 2) NeedsCompilation no Repository CRAN Date/Publication 2021-06-12 04:20:02 UTC R topics documented: metaplus-package . .2 AIC .............................................3 1 2 metaplus-package BIC .............................................3 cdp..............................................4 exercise . .5 logLik . .6 mag .............................................6 marinho . .7 metaplus . .8 outlierProbs . 12 plot.metaplus . 13 plot.outlierProbs . 14 summary . 15 testOutliers . 16 Index 18 metaplus-package Fits random effects meta-analysis models including robust models Description Allows fitting of random effects meta-analysis producing confidence intervals based on the profile likelihood (Hardy and Thompson, 1996). Two methods of robust meta-analysis are included, based on either the t-distribution (Baker and Jackson (2008) and Lee and Thompson (2008)) or normal- mixture distribution (Beath, 2014).