Interpretability of Composite Indicators Based on Principal ComponentsRead the full article
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NetDA: An R Package for Network-Based Discriminant Analysis Subject to Multilabel Classes
In this paper, we introduce the R package NetDA, which aims to deal with multiclassification with network structures in predictors accommodated. To address the natural feature of network structures, we apply Gaussian graphical models to characterize dependence structures of the predictors and directly estimate the precision matrix. After that, the estimated precision matrix is employed to linear discriminant functions and quadratic discriminant functions. The R package NetDA is now available on CRAN, and the demonstration of functions is summarized as a vignette in the online documentation.
Some Improved Classes of Estimators in Stratified Sampling Using Bivariate Auxiliary Information
This manuscript considers some improved combined and separate classes of estimators of population mean using bivariate auxiliary information under stratified simple random sampling. The expressions of bias and mean square error of the proposed classes of estimators are determined to the first order of approximation. It is exhibited that under some particular conditions, the proposed classes of estimators dominate the existing prominent estimators. The theoretical findings are supported by a simulation study performed over a hypothetically generated population.
D-Optimal Design for a Causal Structure for Completely Randomized and Random Blocked Experiments
Most experimental design literature on causal inference focuses on establishing a causal relationship between variables, but there is no literature on how to identify a design that results in the optimal parameter estimates for a structural equation model (SEM). In this research, search algorithms are used to produce a D-optimal design for a SEM for three-stage least squares and full information maximum likelihood estimators. Then, a D-optimal design for the estimate of the model parameters of a mixed-effects SEM is obtained. The efficiency of each of the D-optimal designs for SEMs is compared with univariate optimal and uniform designs. In each case, the causal relationship changed the optimal designs dramatically and the new D-optimal designs were more efficient.
On Hierarchical Bayesian Spatial Small Area Model for Binary Data under Spatial Misalignment
Small area models have become popular methods for producing reliable estimates for sub-populations (small geographic areas in this study). Small area modeling may be carried out via model-assisted approaches within the model-based approaches or design-based paradigm. When there are medium or large samples, a model-assisted approach may be reliable. However, when data are scarce, a model-based technique may be required. Model-based Bayesian analysis is popular for its ability to combine information from several sources as well as taking account uncertainties in the analysis and spatial prediction of spatial data. Nevertheless, things become more complex when the geographic boundaries of interest are misaligned. Some authors have addressed the problem of misalignment under hierarchical Bayesian approach. In this study, we developed non-trivial extension of existing hierarchical Bayesian model for a binary outcome variable under spatial misalignment with three contributions. First, the model uses unit-level survey data and area-level auxiliary data to predict the posterior mean proportion spatially at the second geographic area level. Second, the linking model is changed to logit-normal model in the proposed model. Lastly, the mean process was considered to overcome the multicollinearity between the true predictors and the spatial random effect. Sensitivity analysis was also done via simulation.
Attribute Control Chart for Rayleigh Distribution Using Repetitive Sampling under Truncated Life Test
A control chart is an important tool in statistical process monitoring that is useful to monitor and improve production process quality. In this article, an attribute control chart using repetitive sampling under a truncated life test is proposed for monitoring the mean life of the product where the lifetime follows the Rayleigh distribution. The repetitive sampling parameters and the control limit coefficients of the chart are determined so that the in-control average run length (ARL) is very close to the target ARL. Tables of ARL values for various shift sizes in the scale parameter were presented, and the performance of the proposed chart is compared with the existing attribute control charts using the out-of-control ARL. The proposed control chart is shown to outperform the existing control charts in terms of ARL. An illustrative example is given to demonstrate the application of the proposed chart.
Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows
Here, we present a method for a simple GARCH (1,1) model to fit higher order moments for different companies’ stock prices. When we assume a Gaussian conditional distribution, we fail to capture any empirical data when fitting the first three even moments of financial time series. We show instead that a mixture of normal distributions is needed to better capture the higher order moments of the data. To demonstrate this point, we construct regions (parameter diagrams), in the fourth- and sixth-order standardised moment space, where a GARCH (1,1) model can be used to fit moment values and compare them with the corresponding moments from empirical data for different sectors of the economy. We found that the ability of the GARCH model with a double normal conditional distribution to fit higher order moments is dictated by the time window our data spans. We can only fit data collected within specific time window lengths and only with certain parameters of the conditional double Gaussian distribution. In order to incorporate the nonstationarity of financial series, we assume that the parameters of the GARCH model can have time dependence. Furthermore, using the method developed here, we investigate the effect of the COVID-19 pandemic has upon stock’s stability and how this compares with the 2008 financial crash.