{"title":"Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations","authors":"Xiaohui Liu, Donghui Fan, Xu Zhang, C. Liu","doi":"10.4310/22-sii761","DOIUrl":"https://doi.org/10.4310/22-sii761","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Testing threshold effect in single-index models","authors":"Zhaoxing Gao, Zichuan Mi, S. Ling","doi":"10.4310/21-sii694","DOIUrl":"https://doi.org/10.4310/21-sii694","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71150962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots","authors":"Yao Zheng, Jianhong Wu, W. Li, Guodong Li","doi":"10.4310/21-sii721","DOIUrl":"https://doi.org/10.4310/21-sii721","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper introduces a dual-asymmetry linear double autoregressive (DA-LDAR) model that can allow for asymmetric effects in both the conditional location and volatility components of time series data. The strict stationarity is discussed for the new model, for which a sufficient condition is established. A self-weighted exponential quasi-maximum likelihood estimator (EQMLE) is proposed for the DA-LDAR model, and a mixed portmanteau test for goodness-of-fit is constructed based on the self-weighted EQMLE. It is noteworthy that all the asymptotic properties for estimation and testing are established without any moment condition on the data process, which makes the new model and its inference tools applicable for heavy-tailed data. Since all inference tools need to estimate the unknown density function of innovations, we employ a random-weighting bootstrap method to facilitate accurate inference and show its asymptotic validity. Simulation studies provide support for theoretical results, and an empirical application to NASDAQ Composite Index illustrates the usefulness of the new model.
{"title":"On dual-asymmetry linear double AR models","authors":"Song-ning Tan, Qianqian Zhu","doi":"10.4310/21-sii691","DOIUrl":"https://doi.org/10.4310/21-sii691","url":null,"abstract":"This paper introduces a dual-asymmetry linear double autoregressive (DA-LDAR) model that can allow for asymmetric effects in both the conditional location and volatility components of time series data. The strict stationarity is discussed for the new model, for which a sufficient condition is established. A self-weighted exponential quasi-maximum likelihood estimator (EQMLE) is proposed for the DA-LDAR model, and a mixed portmanteau test for goodness-of-fit is constructed based on the self-weighted EQMLE. It is noteworthy that all the asymptotic properties for estimation and testing are established without any moment condition on the data process, which makes the new model and its inference tools applicable for heavy-tailed data. Since all inference tools need to estimate the unknown density function of innovations, we employ a random-weighting bootstrap method to facilitate accurate inference and show its asymptotic validity. Simulation studies provide support for theoretical results, and an empirical application to NASDAQ Composite Index illustrates the usefulness of the new model.","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71150719","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Fine-tuned sensitivity analysis for non-ignorable missing data mechanism in linear regression models","authors":"Rong Zhu, P. Yin, J. Shi","doi":"10.4310/22-sii748","DOIUrl":"https://doi.org/10.4310/22-sii748","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Multivariate frailty models using survey weights with applications to twins infant mortality in Ethiopia","authors":"Yehenew G. Kifle, D. Chen, Mesfin Haileyesus","doi":"10.4310/22-sii738","DOIUrl":"https://doi.org/10.4310/22-sii738","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152782","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.4310/sii.2023.v16.n1.a2
Nikolai N. Leonenko, Zeljka Salinger, Alla Sikorskii, Nenad Suvak, Michael Boivin
{"title":"Generalized Gaussian time series model for increments of EEG data","authors":"Nikolai N. Leonenko, Zeljka Salinger, Alla Sikorskii, Nenad Suvak, Michael Boivin","doi":"10.4310/sii.2023.v16.n1.a2","DOIUrl":"https://doi.org/10.4310/sii.2023.v16.n1.a2","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134955522","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Quantile recurrent forecasting in singular spectrum analysis for stock price monitoring","authors":"Atikur R. Khan, Hossein Hassani","doi":"10.4310/21-sii720","DOIUrl":"https://doi.org/10.4310/21-sii720","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
R. Mahmoudvand, M. Barati, A. Seif, Sahar Ranjbaran, Paulo Canas Rodrigues
{"title":"Modeling water table depth using singular spectrum analysis","authors":"R. Mahmoudvand, M. Barati, A. Seif, Sahar Ranjbaran, Paulo Canas Rodrigues","doi":"10.4310/22-sii734","DOIUrl":"https://doi.org/10.4310/22-sii734","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A default Bayesian multiple comparison of two binomial proportions","authors":"E. Gecili, S. Sivaganesan","doi":"10.4310/22-sii740","DOIUrl":"https://doi.org/10.4310/22-sii740","url":null,"abstract":"","PeriodicalId":51230,"journal":{"name":"Statistics and Its Interface","volume":"1 1","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"71152975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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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