In this work, we develop a methodology to detect structural breaks in multivariate time series data using the t-distributed stochastic neighbour embedding (t-SNE) technique and non-parametric spectral density estimates. By applying the proposed algorithm to the exchange rates of Indian rupee against four primary currencies, we establish that the coronavirus pandemic (COVID-19) has indeed caused a structural break in the volatility dynamics. Next, to study the effect of the pandemic on the Indian currency market, we provide a compact and efficient way of combining three models, each with a specific objective, to explain and forecast the exchange rate volatility. We find that a forward-looking regime change makes a drop in persistence, while an exogenous shock like COVID-19 makes the market highly persistent. Our analysis shows that although all exchange rates are found to be exposed to common structural breaks, the degrees of impact vary across the four series. Finally, we develop an ensemble approach to combine predictions from multiple models in the context of volatility forecasting. Using model confidence set procedure, we show that the proposed approach improves the accuracy from benchmark models. Relevant economic explanations to our findings are provided as well.
{"title":"New methods of structural break detection and an ensemble approach to analyse exchange rate volatility of Indian rupee during coronavirus pandemic","authors":"M. Mareeswaran, Shubhajit Sen, S. Deb","doi":"10.1093/jrsssa/qnad078","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad078","url":null,"abstract":"\u0000 In this work, we develop a methodology to detect structural breaks in multivariate time series data using the t-distributed stochastic neighbour embedding (t-SNE) technique and non-parametric spectral density estimates. By applying the proposed algorithm to the exchange rates of Indian rupee against four primary currencies, we establish that the coronavirus pandemic (COVID-19) has indeed caused a structural break in the volatility dynamics. Next, to study the effect of the pandemic on the Indian currency market, we provide a compact and efficient way of combining three models, each with a specific objective, to explain and forecast the exchange rate volatility. We find that a forward-looking regime change makes a drop in persistence, while an exogenous shock like COVID-19 makes the market highly persistent. Our analysis shows that although all exchange rates are found to be exposed to common structural breaks, the degrees of impact vary across the four series. Finally, we develop an ensemble approach to combine predictions from multiple models in the context of volatility forecasting. Using model confidence set procedure, we show that the proposed approach improves the accuracy from benchmark models. Relevant economic explanations to our findings are provided as well.","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80543857","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Proposer of the vote of thanks and contribution to the Discussion of ‘The Second Discussion Meeting on Statistical aspects of the Covid-19 Pandemic’","authors":"Sylvia Richardson","doi":"10.1093/jrsssa/qnad045","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad045","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85175840","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Garazi Retegui, J. Etxeberria, A. Riebler, M. Ugarte
Cancer incidence numbers are routinely recorded by national or regional population-based cancer registries (PBCRs). However, in most southern European countries, the local PBCRs cover only a fraction of the country. Therefore, national cancer incidence can be only obtained through estimation methods. In this paper, we predict incidence rates in areas without cancer registry using multivariate spatial models modelling jointly cancer incidence and mortality. To evaluate the proposal, we use cancer incidence and mortality data from all the German states. We also conduct a simulation study by mimicking the real case of Spain considering different scenarios depending on the similarity of spatial patterns between incidence and mortality, the levels of lethality, and varying the amount of incidence data available. The new proposal provides good interval estimates in regions without PBCRs and reduces the relative error in estimating national incidence compared to one of the most widely used methodologies.
{"title":"Predicting cancer incidence in regions without population-based cancer registries using mortality","authors":"Garazi Retegui, J. Etxeberria, A. Riebler, M. Ugarte","doi":"10.1093/jrsssa/qnad077","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad077","url":null,"abstract":"\u0000 Cancer incidence numbers are routinely recorded by national or regional population-based cancer registries (PBCRs). However, in most southern European countries, the local PBCRs cover only a fraction of the country. Therefore, national cancer incidence can be only obtained through estimation methods. In this paper, we predict incidence rates in areas without cancer registry using multivariate spatial models modelling jointly cancer incidence and mortality. To evaluate the proposal, we use cancer incidence and mortality data from all the German states. We also conduct a simulation study by mimicking the real case of Spain considering different scenarios depending on the similarity of spatial patterns between incidence and mortality, the levels of lethality, and varying the amount of incidence data available. The new proposal provides good interval estimates in regions without PBCRs and reduces the relative error in estimating national incidence compared to one of the most widely used methodologies.","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84292743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"John Fraser Scott 1928–2023","authors":"","doi":"10.1093/jrsssa/qnad071","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad071","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80763449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Spillover effects in crime are typically studied as a result of offender behaviour. This study investigates whether spillover effects can occur in the reporting of domestic abuse by victims. Domestic abuse is a particularly interesting context because of its high prevalence but low reporting rate. Extending existing spatio-temporal Hawkes process specifications, we test for the presence of two spillover channels in all domestic abuse calls in a major English city. We find no evidence to support such effects in the reporting of domestic abuse.
{"title":"(No) Spillovers in reporting domestic abuse to police","authors":"Lara Vomfell, Jan Povala","doi":"10.1093/jrsssa/qnad060","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad060","url":null,"abstract":"\u0000 Spillover effects in crime are typically studied as a result of offender behaviour. This study investigates whether spillover effects can occur in the reporting of domestic abuse by victims. Domestic abuse is a particularly interesting context because of its high prevalence but low reporting rate. Extending existing spatio-temporal Hawkes process specifications, we test for the presence of two spillover channels in all domestic abuse calls in a major English city. We find no evidence to support such effects in the reporting of domestic abuse.","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76847331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-05-19eCollection Date: 2023-10-01DOI: 10.1093/jrsssa/qnad068
Samuel P Rosin, Bonnie E Shook-Sa, Stephen R Cole, Michael G Hudgens
Governments and public health authorities use seroprevalence studies to guide responses to the COVID-19 pandemic. Seroprevalence surveys estimate the proportion of individuals who have detectable SARS-CoV-2 antibodies. However, serologic assays are prone to misclassification error, and non-probability sampling may induce selection bias. In this paper, non-parametric and parametric seroprevalence estimators are considered that address both challenges by leveraging validation data and assuming equal probabilities of sample inclusion within covariate-defined strata. Both estimators are shown to be consistent and asymptotically normal, and consistent variance estimators are derived. Simulation studies are presented comparing the estimators over a range of scenarios. The methods are used to estimate severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) seroprevalence in New York City, Belgium, and North Carolina.
{"title":"Estimating SARS-CoV-2 seroprevalence.","authors":"Samuel P Rosin, Bonnie E Shook-Sa, Stephen R Cole, Michael G Hudgens","doi":"10.1093/jrsssa/qnad068","DOIUrl":"10.1093/jrsssa/qnad068","url":null,"abstract":"<p><p>Governments and public health authorities use seroprevalence studies to guide responses to the COVID-19 pandemic. Seroprevalence surveys estimate the proportion of individuals who have detectable SARS-CoV-2 antibodies. However, serologic assays are prone to misclassification error, and non-probability sampling may induce selection bias. In this paper, non-parametric and parametric seroprevalence estimators are considered that address both challenges by leveraging validation data and assuming equal probabilities of sample inclusion within covariate-defined strata. Both estimators are shown to be consistent and asymptotically normal, and consistent variance estimators are derived. Simulation studies are presented comparing the estimators over a range of scenarios. The methods are used to estimate severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) seroprevalence in New York City, Belgium, and North Carolina.</p>","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10746549/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85100249","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Bhatt, Ferguson, Flaxman, Gandy, Mishra, and Scott’s reply to the Discussion of ‘The Second Discussion Meeting on Statistical aspects of the Covid-19 Pandemic’","authors":"A. Gandy","doi":"10.1093/jrsssa/qnad055","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad055","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79487359","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Applied Statistics with R: A Practical Guide for the Life Sciences","authors":"M. Hossain","doi":"10.1093/jrsssa/qnad069","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad069","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76753161","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Networks and society","authors":"V. Vinciotti, L. Augugliaro, E. Wit","doi":"10.1093/jrsssa/qnad067","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad067","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90804777","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Statistical modeling with R: a dual frequentist and Bayesian approach for life scientists","authors":"L. Rönnegård","doi":"10.1093/jrsssa/qnad064","DOIUrl":"https://doi.org/10.1093/jrsssa/qnad064","url":null,"abstract":"","PeriodicalId":49983,"journal":{"name":"Journal of the Royal Statistical Society Series A-Statistics in Society","volume":null,"pages":null},"PeriodicalIF":2.0,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83453460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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