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Documents  62M10 | enregistrements trouvés : 6

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We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR($\infty$), GARCH, ARCH($\infty$), ARMA-GARCH, APARCH, ARMA-APARCH,..., processes. We notably exhibit the advantages (moment order and robustness) of this estimator compared to the classical Gaussian QMLE. Numerical simulations confirms the accuracy of this estimator.

62F12 ; 62M10

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Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with group-specific transition matrices are applied to capture both persistence in the individual time series as well as cross-sectional unobserved heterogeneity. Markov chains clustering has been applied to data from the Austrian labor market, (a) to understanding the effect of labor market entry conditions on long-run career developments for male workers (Frühwirth-Schnatter et al., 2012), (b) to study mothers’ long-run career patterns after first birth (Frühwirth-Schnatter et al., 2016), and (c) to study the effects of a plant closure on future career developments for male worker (Frühwirth-Schnatter et al., 2018). To capture non- stationary effects for the later study, time-inhomogeneous Markov chains based on time-varying group specific transition matrices are introduced as clustering kernels. For all applications, a mixture-of-experts formulation helps to understand which workers are likely to belong to a particular group. Finally, it will be shown that Markov chain clustering is also useful in a business application in marketing and helps to identify loyal consumers within a customer relationship management (CRM) program.
Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with ...

62C10 ; 62M05 ; 62M10 ; 62H30 ; 62P20 ; 62F15

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In this talk we introduce a class of statistics for spatial data that is observed on an irregular set of locations. Our aim is to obtain a unified framework for inference and the statistics we consider include both parametric and nonparametric estimators of the spatial covariance function, Whittle likelihood estimation, goodness of fit tests and a test for second order spatial stationarity. To ensure that the statistics are computationally feasible they are defined within the Fourier domain, and in most cases can be expressed as a quadratic form of a discrete Fourier-type transform of the spatial data. Evaluation of such statistic is computationally tractable, requiring $O(nb)$ operations, where $b$ are the number Fourier frequencies used in the definition of the statistic (which varies according to the application) and $n$ is the sample size. The asymptotic sampling properties of the statistics are derived using mixed spatial asymptotics, where the number of locations grows at a faster rate than the size of the spatial domain and under the assumption that the spatial random field is stationary and the irregular design of the locations are independent, identically distributed random variables. We show that there are quite intriguing differences in the behaviour of the statistic when the spatial process is Gaussian and non-Gaussian. In particular, the choice of the number of frequencies $b$ in the construction of the statistic depends on whether the spatial process is Gaussian or not. If time permits we describe how the results can also be used in variance estimation. And if we still have time some simulations and real data will be presented.
In this talk we introduce a class of statistics for spatial data that is observed on an irregular set of locations. Our aim is to obtain a unified framework for inference and the statistics we consider include both parametric and nonparametric estimators of the spatial covariance function, Whittle likelihood estimation, goodness of fit tests and a test for second order spatial stationarity. To ensure that the statistics are computationally ...

62M10 ; 62M30 ; 62F12 ; 62G05

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This talk develops a new test for local white noise which also doubles as a test for the lack of aliasing in a locally stationary wavelet process. We compare and contrast our new test with the aliasing test for stationary time series due to Hinich and co-authors. We show that the test is robust to mismatch of analysis and synthesis wavelet. We demonstrate the effectiveness of the test on some simulated examples and on an example from wind energy.

42C40 ; 60G10 ; 62M10 ; 62M15

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Capture-Recapture (RC) methodology provides a way to estimate the size of a population from multiple, independent samples. While the was developed more than a century ago to count animal populations, it has only recently become important in Data For Social Good. The large number of samples with varying amounts of intersection and developed over a period of time, so often found in Data For Social Good projects, can greatly complicate conventional RC methodology. These conditions are ideal, however, for Bayesian Capture Recapture. This presentation describes the use of Bayesian Capture Recapture to estimate populations in Data for Social Good. Examples illustrating this method include new work by the author in estimating numbers of human trafficking victims and in estimating the size of hate groups from the analysis of hate speech in social media.
Capture-Recapture (RC) methodology provides a way to estimate the size of a population from multiple, independent samples. While the was developed more than a century ago to count animal populations, it has only recently become important in Data For Social Good. The large number of samples with varying amounts of intersection and developed over a period of time, so often found in Data For Social Good projects, can greatly complicate conventional ...

62P25 ; 62F15 ; 62M10

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Arctic sea-ice extent has been of considerable interest to scientists in recent years, mainly due to its decreasing trend over the past 20 years. In this talk, I propose a hierarchical spatio-temporal generalized linear model (GLM) for binary Arctic-sea-ice data, where data dependencies are introduced through a latent, dynamic, spatio-temporal mixed-effects model. By using a fixed number of spatial basis functions, the resulting model achieves both dimension reduction and non-stationarity for spatial fields at different time points. An EM algorithm is used to estimate model parameters, and an MCMC algorithm is developed to obtain the predictive distribution of the latent spatio-temporal process. The methodology is applied to spatial, binary, Arctic-sea-ice data for each September over the past 20 years, and several posterior summaries are computed to detect changes of Arctic sea-ice cover. The fully Bayesian version is under development awill be discussed.
Arctic sea-ice extent has been of considerable interest to scientists in recent years, mainly due to its decreasing trend over the past 20 years. In this talk, I propose a hierarchical spatio-temporal generalized linear model (GLM) for binary Arctic-sea-ice data, where data dependencies are introduced through a latent, dynamic, spatio-temporal mixed-effects model. By using a fixed number of spatial basis functions, the resulting model achieves ...

62M30 ; 62M10 ; 62M15

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