Endre søk
Begrens søket
678910 401 - 450 of 483
RefereraExporteraLink til resultatlisten
Permanent link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Treff pr side
  • 5
  • 10
  • 20
  • 50
  • 100
  • 250
Sortering
  • Standard (Relevans)
  • Forfatter A-Ø
  • Forfatter Ø-A
  • Tittel A-Ø
  • Tittel Ø-A
  • Type publikasjon A-Ø
  • Type publikasjon Ø-A
  • Eldste først
  • Nyeste først
  • Skapad (Eldste først)
  • Skapad (Nyeste først)
  • Senast uppdaterad (Eldste først)
  • Senast uppdaterad (Nyeste først)
  • Disputationsdatum (tidligste først)
  • Disputationsdatum (siste først)
  • Standard (Relevans)
  • Forfatter A-Ø
  • Forfatter Ø-A
  • Tittel A-Ø
  • Tittel Ø-A
  • Type publikasjon A-Ø
  • Type publikasjon Ø-A
  • Eldste først
  • Nyeste først
  • Skapad (Eldste først)
  • Skapad (Nyeste først)
  • Senast uppdaterad (Eldste først)
  • Senast uppdaterad (Nyeste først)
  • Disputationsdatum (tidligste først)
  • Disputationsdatum (siste først)
Merk
Maxantalet träffar du kan exportera från sökgränssnittet är 250. Vid större uttag använd dig av utsökningar.
  • 401.
    Sundberg, Rolf
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Exponential family models2011Inngår i: International Encyclopedia of Statistical Science / [ed] Miodrag Lovric, Springer , 2011, s. 490-493Kapittel i bok, del av antologi (Fagfellevurdert)
  • 402.
    Sundberg, Rolf
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Flat and multimodal likelihoods and model lack of fit in curved exponential families2010Inngår i: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 37, nr 4, s. 632-643Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    It is well known that curved exponential families can have multimodal likelihoods. We investigate the relationship between flat or multimodal likelihoods and model lack of fit, the latter measured by the score (Rao) test statistic of the curved model as embedded in the corresponding full model. When data yield a locally flat or convex likelihood (root of multiplicity >1, terrace point, saddle point, local minimum), we provide a formula for in such points, or a lower bound for it. The formula is related to the statistical curvature of the model, and it depends on the amount of Fisher information. We use three models as examples, including the Behrens-Fisher model, to see how a flat likelihood, etc. by itself can indicate a bad fit of the model. The results are related (dual) to classical results by Efron from 1978.

  • 403.
    Sundberg, Rolf
    Stockholms universitet.
    Maximum likelihood theory and applications for distributions generated when observing a function of an exponential family variable1972Doktoravhandling, monografi (Annet vitenskapelig)
  • 404.
    Sundberg, Rolf
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Statistical consulting2011Inngår i: International Encyclopedia of Statistical Science, Springer , 2011, s. 1390-1392Kapittel i bok, del av antologi (Fagfellevurdert)
  • 405.
    Sundberg, Rolf
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Statistical Modelling by Exponential Families2019Bok (Fagfellevurdert)
    Abstract [en]

    This book is a readable, digestible introduction to exponential families, encompassing statistical models based on the most useful distributions in statistical theory, including the normal, gamma, binomial, Poisson, and negative binomial. Strongly motivated by applications, it presents the essential theory and then demonstrates the theory's practical potential by connecting it with developments in areas like item response analysis, social network models, conditional independence and latent variable structures, and point process models. Extensions to incomplete data models and generalized linear models are also included. In addition, the author gives a concise account of the philosophy of Per Martin-Löf in order to connect statistical modelling with ideas in statistical physics, including Boltzmann's law. Written for graduate students and researchers with a background in basic statistical inference, the book includes a vast set of examples demonstrating models for applications and exercises embedded within the text as well as at the ends of chapters.

  • 406.
    Svartengren, Susanne
    et al.
    Statistiska centralbyrån, Statistics Sweden.
    Carlson, Michael
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen. Statistiska centralbyrån, Statistics Sweden.
    ENAR - A Social Statistical System2011Inngår i: Director Generals of the National Statistical Institutes (DGINS) 2011, New conceptual design for household and social statistics, 26-27 September 2011, Wiesbaden, Germany, 2011Konferansepaper (Annet vitenskapelig)
    Abstract [en]

    Statistics Sweden is currently investigating the possibility of coordinating the production of social statistics in order to find solutions that fulfill internal, national and international requirements and needs. The coordinative work is conducted within the Population and Welfare Department as a long-term development project called ENAR. The overall goal of the project is to create a social statistical system that provides a coherent image of society that is based on coordinated statistical production to the full extent possible. This paper provides a brief account of completed and on-going work.

  • 407. Svensson, Fredrik
    et al.
    Norinder, Ulf
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Institutionen för data- och systemvetenskap. Swedish Toxicology Sciences Research Center, Sweden.
    Bender, Andreas
    Modelling compound cytotoxicity using conformal prediction and PubChem HTS data2017Inngår i: Toxicology Research, ISSN 2045-452X, Vol. 6, nr 1, s. 73-80Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The assessment of compound cytotoxicity is an important part of the drug discovery process. Accurate predictions of cytotoxicity have the potential to expedite decision making and save considerable time and effort. In this work we apply class conditional conformal prediction to model the cytotoxicity of compounds based on 16 high throughput cytotoxicity assays from PubChem. The data span 16 cell lines and comprise more than 440 000 unique compounds. The data sets are heavily imbalanced with only 0.8% of the tested compounds being cytotoxic. We trained one classification model for each cell line and validated the performance with respect to validity and accuracy. The generated models deliver high quality predictions for both toxic and non-toxic compounds despite the imbalance between the two classes. On external data collected from the same assay provider as one of the investigated cell lines the model had a sensitivity of 74% and a specificity of 65% at the 80% confidence level among the compounds assigned to a single class. Compared to previous approaches for large scale cytotoxicity modelling, this represents a balanced performance in the prediction of the toxic and non-toxic classes. The conformal prediction framework also allows the modeller to control the error frequency of the predictions, allowing predictions of cytotoxicity outcomes with confidence.

  • 408.
    Svensson, Åke
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    The influence of assumptions on generation time distributions in epidemic models2015Inngår i: Mathematical Biosciences, ISSN 0025-5564, E-ISSN 1879-3134, Vol. 270, nr Part A, s. 81-89Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    A simple class of stochastic models for epidemic spread in finite, but large, populations is studied. The purpose is to investigate how assumptions about the times between primary and secondary infections influences the outcome of the epidemic. Of particular interest is how assumptions of individual variability in infectiousness relates to variability of the epidemic curve. The main concern is the final size of the epidemic and the time scale at which it evolves. The theoretical results are illustrated by simulations.

  • 409.
    Svensson, Åke
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Who was the infector-probabilities in the presence of variability in latent and infectious times.2013Inngår i: Journal of Mathematical Biology, ISSN 0303-6812, E-ISSN 1432-1416, Vol. 68, nr 4, s. 951-967Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The probability that an observed infection has been transmitted from a particular member of a set of potential infectors is calculated. The calculations only use knowledge of the times of infection. It is shown that the probabilities depend on individual variability in latent and infectious times. The analysis are based on different background information and different assumptions on the progress of infectivity. The results are illustrated by numerical calculations and simulations.

  • 410.
    Swensson, Bengt
    Stockholms universitet.
    Survey measurement of sensitive attributes: some contributions1977Doktoravhandling, monografi (Annet vitenskapelig)
  • 411. Tallberg, Christian
    Bayesian and other statistical approaches for analyzing network block-structures2003Doktoravhandling, med artikler (Annet vitenskapelig)
  • 412. Tavakoli, Meysam
    et al.
    Taylor, J. Nicholas
    Li, Chun-Biu
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen. Hokkaido University, Japan.
    Komatsuzaki, Tamiki
    Pressé, Steve
    Single Molecule Data Analysis: An Introduction2017Inngår i: Advances in Chemical Physics / [ed] Stuart A. Rice, Aaron R. Dinner, Hoboken, USA: John Wiley & Sons, 2017, s. 205-305Kapittel i bok, del av antologi (Fagfellevurdert)
    Abstract [en]

    This chapter considers statistical data-driven analysis methods, and focuses on parametric as well as more recent information theoretic and nonparametric statistical approaches to biophysical data analysis with an emphasis on single-molecule applications. It then reviews simpler parametric approaches starting from an assumed model with unknown parameters. Model selection criteria are widely used in biophysical data analysis from image deconvolution to single-molecule step detection and continue to be developed by statisticians. The goal of successful model selection criteria is to pick models whose complexity is penalized, in a principled fashion, to avoid overfitting and that convincingly fit the data provided (the training set). The chapter summarizes both information theoretic as well as Bayesian model selection criteria. Finally, the chapter discusses efforts to use information theory in experimental design and ends with some considerations on the broader applicability of information theory.

  • 413.
    Thorburn, Daniel
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Bayesian methods in survey sampling2009Inngår i: Baltic-Nordic-Ukrainian Summer school on Survey Statistics / [ed] Olga Vasyluk, Kiev, Ukraina: University of Kiev , 2009, s. 24-25Konferansepaper (Annet vitenskapelig)
  • 414.
    Thorburn, Daniel
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Control of the coding operation in statistical investigations: some contributions2005Inngår i: JOBS: journal of obnoxious statistics / [ed] Edith de Leeuw, Amsterdam: TT-Publikaties , 2005, s. 69-71Kapittel i bok, del av antologi (Annet vitenskapelig)
  • 415.
    Thorburn, Daniel
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    On non-response correction in NMAR-situations2010Inngår i: Workshop on survey sampling theory and methodology: August 23-27, 2010, Vilnius : [reports] / [ed] Danute Krapavickaite, Vilnius: Statistics Lithuania , 2010, s. 163-170Konferansepaper (Annet vitenskapelig)
  • 416.
    Thorburn, Daniel
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Significance testing, interval estimation or Bayesian inference: comments to "Extracting a maximum of useful information from statistical research data" by S. Sohlberg and G. Andersson2005Inngår i: Scandinavian Journal of Psychology, ISSN 0036-5564, E-ISSN 1467-9450, Vol. 46, nr 1, s. 79-82Artikkel i tidsskrift (Annet vitenskapelig)
    Abstract [en]

    Statistical inference plays an important part in the formation of scientific knowledge in psychology. Starting from a paper by Sohlberg and Andersson (2005; Scandinavian Journal of Psychology, 46, 69-77) these issues are discussed. It is argued that interval estimates are easy to understand and that they are more suitable than significance testing for most problems. Bayesian inference is a coherent description of the information building process. With some examples it is shown that null hypothesis significance testing is full of contradictions. Finally, some other important issues like convenience sampling and model selection are shortly mentioned.

  • 417.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Andersson, Per Gösta
    Matematiska institutionen, Linköpings universitet.
    An optimal calibration distance leading to the optimal regression estimator2005Inngår i: Survey Methodology, ISSN 0714-0045 ; 1492-0921, Vol. 31, nr 1, s. 95-99Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    When there is auxiliary information in survey sampling, the design based "optimal (regression) estimator" of a finite population total/mean is known to be (at least asymptotically) more efficient than the corresponding GREG estimator. We will illustrate this by some simulations with stratified sampling from skewed populations. The GREG estimator was originally constructed using an assisting linear superpopulation model. It may also be seen as a calibration estimator; i.e., as a weighted linear estimator, where the weights obey the calibration equation and, with that restriction, are as close as possible to the original "Horvitz-Thompson weights" (according to a suitable distance). We show that the optimal estimator can also be seen as a calibration estimator in this respect, with a quadratic distance measure closely related to the one generating the GREG estimator. Simple examples will also be given, revealing that this new measure is not always easily obtained.

     

  • 418.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Balog, Marek
    University of Economics, Bratislava, Slovakia.
    Extreme value treatment for samples from skew income distributions2007Inngår i: Statistics in Transition, ISSN 1234-7655, Vol. 8, nr 1, s. 139-154Artikkel i tidsskrift (Fagfellevurdert)
  • 419.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Bondesson, Lennart
    Umeå Universitet.
    A list sequential sampling method suitable for real-time sampling2008Inngår i: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 35, nr 3, s. 466-483Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    A flexible list sequential πps sampling method is introduced and studied. It can reproduce any given sampling design without replacement, of fixed or random sample size. The method is a splitting method and uses successive updating of inclusion probabilities. The main advantage of the method is in real-time sampling situations where it can be used as a powerful alternative to Bernoulli and Poisson sampling and can give any desired second-order inclusion probabilities and thus considerably reduce the variability of the sample size

  • 420.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Burestam, Silke
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Correcting the regression estimator for an abundance of auxiliary variables2007Inngår i: BaNoCoss II: proceedings / [ed] Risto Lehtonen, Helsinki: University of Helsinki , 2007, s. 67-Konferansepaper (Annet vitenskapelig)
  • 421.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Nuran, Bayram
    Uludag university, Bursa, Turkey.
    Demirhan, Haydar
    Hacettepe University, Beytepe Ankara Turkey.
    Bilgel, Nazan
    Uludag university, Bursa, Turkey.
    Quality of life among Turkish immigrants in Sweden2007Inngår i: Quality of Life Research, ISSN 0962-9343, E-ISSN 1573-2649, Vol. 16, nr 8, s. 1319-1333Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    To assess quality of life among Turkish immigrants in Sweden by using the WHOQOL-100 scale and to evaluate the domains’ contribution to explain the variance in the quality of life of the immigrants. Our hypothesis was QOL among Turkish immigrants in Sweden are better than Turkish people who are living in their home country. This study was performed in the districts of Stockholm where Turkish immigrants have mostly settled. With the help and guidance of the Turkish Association, a sample of 520 participants was selected. We collected the demographic data by printed questionnaires, and to measure the quality of life, we used the WHOQOL-100 scale Turkish version. For analysis, we used the SPSS V.13.0 and R package programs, variance analyses, and Bayesian regression. The quality of life among the sample of Turkish immigrants was found to be moderate, but higher than the sample of the Turkish population. The quality of life of male immigrants was found to be higher than for females. Swedish-born Turks had better quality of life perceptions. Turkish immigrants’ quality of life perceptions were better than those of the Turkish sample. The best scores were received from the third generation. The first generation and female immigrants need attention in order to receive higher quality of life perceptions

  • 422.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Assessing direct and indirect seasonal adjustment in state space - a comparison between ordinary and optimal approaches2013Rapport (Annet vitenskapelig)
    Abstract [en]

    The problem of whether seasonal adjustment should be used prior to or after aggregation of time series is quite old. We tackle the problem using the state space representation and the variance/covariance structure. The variances of the estimated components are compared for direct and indirect adjustment and also to the optimal adjustment method. The covariance structure between the time series is important for the relative efficiency. Indirect adjustment is always best when the series are independent, but when the series or the measurement errors are negatively correlated, direct estimation may be much better in the above sense. Some covariance structures indicate that direct adjustment should be used while others indicate that indirect approaches are more efficient. Signal to noise ratios and relative variances are used for inference.

  • 423.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Assessing direct and indirect seasonal decomposition in state space2014Inngår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 41, nr 9, s. 2075-2091Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The problem of whether seasonal decomposition should be used prior to or after aggregation of time series is quite old. We tackle the problem by using a state-space representation and the variance/covariance structure of a simplified one-component model. The variances of the estimated components in a two-series system are compared for direct and indirect approaches and also to a multivariate method. The covariance structure between the two time series is important for the relative efficiency. Indirect estimation is always best when the series are independent, but when the series or the measurement errors are negatively correlated, direct estimation may be much better in the above sense. Some covariance structures indicate that direct estimation should be used while others indicate that an indirect approach is more efficient. Signal-to-noise ratios and relative variances are used for inference.

  • 424.
    Thorburn, Daniel
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Combination of sample surveys and projections of political opinionsManuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    In Sweden, political party preferences are surveyed almost every month by several institutes. The sample sizes are usually between 1000 and 2000 individuals, which means that the standard deviations are between 1 and 1.5 %. We study how these estimates can be improved by combining them and by modelling the behaviour over time. Our model is a combination of a dynamic model based on Wiener processes and sampling theory with design effects and measurement biases. The variances of our estimates are about 1/3 of those of the original polls when only previous polls are used and about 1/5 if the information in later polls is included. The proposed method leads to a smaller bias since the institute biases can be estimated. The party preferences are modelled as random processes, making it possible to study the probability for events like a party (or block) getting more than 50 % of the political preferences. Assuming that the same model will hold in the future, we can present intervals for future election results.

  • 425.
    Thorleifsson, Alexander
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Stochastic Gradient Descent for Efficient Logistic Regression2016Independent thesis Advanced level (degree of Master (Two Years)), 80 poäng / 120 hpOppgave
  • 426.
    Thorsén, Erik
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Assessment of the uncertainty in small and large dimensional portfolio allocation2019Licentiatavhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    Portfolio theory is a large subject with many branches. In this thesis we concern ourselves with one of these, the precense of uncertainty in the portfolio allocation problem and in turn, what it leads to. There are many forms of uncertainty, we consider two of these. The first being the optimization problem itself and optimizing what might be the wrong objective. In the classical mean-variance portfolio problem we aim to provide a portfolio with the smallest risk while we constrain the mean. However, in practice we might not assign a fixed portfolio goal but assign probabilities to the amount of return a portfolio might give and its relation to benchmarks. That is, we assign quantiles of the portfolio return distribution. In this scenario, the use of the portfolio mean as a return measure could be misleading. It does not take any quantile into account! In the first paper, we exchange the portfolio moments to quantile-based measures in the portfolio selection problem. The properties of the quantilebased portfolio selection problem is thereafter investigated with two different (quantile-based) measures of risk. We also present a closed form solution under the assumption that the returns follow an elliptical distribution. In this specific case the portfolio is shown to be mean-variance efficient.

    The second paper takes on a different type of uncertainty which is classic to statistics, the problem of estimation uncertainty. We consider the sample estimators of the mean vector and of the covariance matrix of the asset returns and integrate the uncertainty these provide into a large class of optimal portfolios. We derive the sampling distribution, of the estimated optimal portfolio weights, which are obtained in both small and large dimensions. This consists of deriving the joint distribution of several quantities and thereafter specifying their high dimensional asymptotic distribution.

  • 427.
    Tillander, Annika
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Effect of Data Discretization on the Classification Accuracy in a High-Dimensional Framework2012Inngår i: International Journal of Intelligent Systems, ISSN 0884-8173, E-ISSN 1098-111X, Vol. 27, nr 4, s. 355-374Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We investigate discretization of continuous variables for classification problems in a high-dimensional framework. As the goal of classification is to correctly predict a class membership of an observation, we suggest a discretization method that optimizes the discretization procedure using the misclassification probability as a measure of the classification accuracy. Our method is compared to several other discretization methods as well as result for continuous data. To compare performance we consider three supervised classification methods, and to capture the effect of high dimensionality we investigate a number of feature variables for a fixed number of observations. Since discretization is a data transformation procedure, we also investigate how the dependence structure is affected by this. Our method performs well, and lower misclassification can be obtained in a high-dimensional framework for both simulated and real data if the continuous feature variables are first discretized. The dependence structure is well maintained for some discretization methods.

  • 428.
    Tillander, Annika
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Empirical evaluation of sparse classification boundaries and HC-feature thresholding in high-dimensional data2013Rapport (Annet vitenskapelig)
    Abstract [en]

    The analysis of high-throughput data commonly used in modern applications poses many statistical  challenges, one of which is the  selection  of a small subset of features that are likely to be informative for a specific project. This issue is crucial for success of supervised classification in very high-dimensional setting with  sparsity patterns.   In this paper, we  derive an asymptotic framework that represents sparse and weak blocks model and suggest a technique for block-wise feature selection by thresholding.  Our procedure extends the standard Higher Criticism (HC) thresholding to the case where dependence structure underlying the data can be taken into account and  is shown to be optimally adaptive,  i. e. performs well without knowledge of the sparsity and weakness  parameters.   We empirically investigate the detection boundary of our HC procedure and  performance properties of some estimators of  sparsity parameter. The relevance and benefits of our approach in high-dimensional  classification is demonstrated using both simulation and real data.

  • 429.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    A Comparison of Seasonal Adjustment Methods: Dynamic Linear Models versus TRAMO/SEATS2013Rapport (Annet vitenskapelig)
    Abstract [en]

    Seasonal adjustment can be done in the state space framework by Dynamic Linear Models. This approach is compared with seasonal adjustment by TRAMO/SEATS. The comparison uses simulated time series and real Swedish foreign trade data, the latter allowing a discussion on the consistency issue in aggregation, i.e. direct versus indirect seasonal adjustment. We start by a simple dynamic model and then increase the model structure using Gibbs sampling to identify coefficients for the state evolution matrix. Our empirical study shows that the simpler state spate approach exaggerates seasonal adjustment while the extended model with sampled coefficients may offer a tool for seasonal adjustment. For simulated data, we find that TRAMO/SEATS is better than the state space approach.

  • 430.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    A Note on the Trade-off between Direct and Indirect Seasonal AdjustmentsManuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    Direct and indirect seasonal adjustments can be viewed as opposite formulations of an error minimization problem that occurs when seasonally adjusting a system of time series. In this study, a loss function is formulated that is a weighted combination of the errors of the input time series and the aggregate error. Holt-Winters’ exponential smoothing methods on squared error loss functions or robust Huber loss functions are applied to quarterly Swedish GDP and monthly foreign trade data. All input series are seasonally adjusted jointly but still univariately and trade-off point between direct and indirect seasonal adjustments are estimated. The quadratic loss function is found to cause larger differences between direct and indirect seasonal adjustments than the Huber loss function does. Results indicate that pure indirect seasonal adjustment should be avoided for GDP and pure direct seasonal adjustment should be avoided for foreign trade. Adjustments in between with a combined loss function seem to work well for all purposes.

  • 431.
    Tongur, Can
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Seasonal Adjustment and Dynamic Linear Models2013Doktoravhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    Dynamic Linear Models are a state space model framework based on the Kalman filter. We use this framework to do seasonal adjustments of empirical and artificial data. A simple model and an extended model based on Gibbs sampling are used and the results are compared with the results of a standard seasonal adjustment method. The state space approach is then extended to discuss direct and indirect seasonal adjustments. This is achieved by applying a seasonal level model with no trend and some specific input variances that render different signal-to-noise ratios. This is illustrated for a system consisting of two artificial time series. Relative efficiencies between direct, indirect and multivariate, i.e. optimal, variances are then analyzed. In practice, standard seasonal adjustment packages do not support optimal/multivariate seasonal adjustments, so a univariate approach to simultaneous estimation is presented by specifying a Holt-Winters exponential smoothing method. This is applied to two sets of time series systems by defining a total loss function that is specified with a trade-off weight between the individual series’ loss functions and their aggregate loss function. The loss function is based on either the more conventional squared errors loss or on a robust Huber loss. The exponential decay parameters are then estimated by minimizing the total loss function for different trade-off weights. It is then concluded what approach, direct or indirect seasonal adjustment, is to be preferred for the two time series systems. The dynamic linear modeling approach is also applied to Swedish political opinion polls to assert the true underlying political opinion when there are several polls, with potential design effects and bias, observed at non-equidistant time points. A Wiener process model is used to model the change in the proportion of voters supporting either a specific party or a party block. Similar to stock market models, all available (political) information is assumed to be capitalized in the poll results and is incorporated in the model by assimilating opinion poll results with the model through Bayesian updating of the posterior distribution. Based on the results, we are able to assess the true underlying voter proportion and additionally predict the elections.

  • 432.
    Torra, Vicenc
    et al.
    IIIA-CSIC, Bellaterra, Catalonia, Spain.
    Carlson, Michael
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    On the Hellinger distance for measuring information loss in microdata2013Inngår i: Joint UNECE/Eurostat work session on statistical data confidentiality, Ottawa, Canada, 28-30 October 2013, 2013Konferansepaper (Annet vitenskapelig)
    Abstract [en]

    The literature presents different approaches to measure information loss in data protection. The probabilistic information loss measure is based on comparison of means, variances, covariance, correlation coefficients and quantiles. In a recent paper the Hellinger distance has also been used to measure information loss. This distance has been used to compare univariate probability distributions. In this paper we will discuss the use of the Hellinger distance to measure information loss, and compare its results with PIL measures. A set of experiments using numerical files protected using a few data protection methods will be presented.

  • 433.
    Torra, Vicenc
    et al.
    IIIA-CSIC, Bellaterra, Catalonia, Spain.
    Narukawa, Yasuo
    Toho Gakuen, Kunitachi, Tokyo, Japan.
    Sugeno, Michio
    ECSC Mieres, Spain.
    Carlson, Michael
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Hellinger distance for fuzzy measures2013Inngår i: Proceedings of the 8th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-13), Paris: Atlantis Press , 2013, s. 541-546Konferansepaper (Fagfellevurdert)
    Abstract [en]

    Hellinger distance is a distance between two additive measures defined in terms of the Radon-Nikodym derivative of these two measures. This measure proposed in 1909 has been used in a large variety of contexts. In this paper we define an analogous measure for fuzzy measures. We discuss them for distorted probabilities and give two examples.

  • 434.
    Trapman, Pieter
    et al.
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Lambert, Amaury
    UPMC Univ Paris 06.
    Splitting trees stopped when the first clock rings and Vervaat's transformation2013Inngår i: Journal of Applied Probability, ISSN 0021-9002, E-ISSN 1475-6072, Vol. 50, nr 1, s. 208-227Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    We consider a branching population where individuals have independent and identically distributed (i.i.d.) life lengths (not necessarily exponential) and constant birth rates. We let Nt denote the population size at time t. We further assume that all individuals, at their birth times, are equipped with independent exponential clocks with parameter δ. We are interested in the genealogical tree stopped at the first time T when one of these clocks rings. This question has applications in epidemiology, population genetics, ecology, and queueing theory. We show that, conditional on {T<∞}, the joint law of (Nt, T, X(T)), where X(T)is the jumping contour process of the tree truncated at time T, is equal to that of (M, -IM, Y'M) conditional on {M≠0}. HereM+1 is the number of visits of 0, before some single, independent exponential clock e with parameter δ rings, by some specified Lévy process Y without negative jumps reflected below its supremum; IM is the infimum of the path YM, which in turn is defined as Y killed at its last visit of 0 before e; and Y'M is the Vervaat transform of YM. This identity yields an explanation for the geometric distribution of NT (see Kitaev (1993) and Trapman and Bootsma (2009)) and has numerous other applications. In particular, conditional on {NT=n}, and also on {NT=n,T<a}, the ages and residual lifetimes of the n alive individuals at timeT are i.i.d. and independent of n. We provide explicit formulae for this distribution and give a more general application to outbreaks of antibiotic-resistant bacteria in the hospital

  • 435.
    Tyrcha, Joanna
    et al.
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen. Matematisk statistik.
    Hertz, John
    Spike pattern distributions in model cortical networks2008Inngår i: COSYNE-Computational and Systems Neuroscience 2008, Salt Lake City, 2008Konferansepaper (Annet (populærvitenskap, debatt, mm))
    Abstract [en]

    We can learn something about coding in large populations of neurons from models of the spike pattern distributions constructed from data. In our work, we do this for data generated from computational models of local cortical networks. This permits us to explore how features of the neuronal and synaptic properties of the network are related to those of the spike pattern distribution model. We employ the approach of Schneidman et al [1] and model this distribution by a Sherrington-Kirkpatrick (SK) model: P[S] = Z-1exp(½ΣijJijSiSj+ΣihiSi). In the work reported here, we analyze spike records from a simple model of a cortical column in a high-conductance state for two different cases: one with stationary tonic firing and the other with a rapidly time-varying input that produces rapid variations in firing rates. The average cross-correlation coefficient in the former is an order of magnitude smaller than that in the latter.

    To estimate the parameters Jij and hi we use a technique [2] based on inversion of the Thouless-Anderson-Palmer equations from spin glass theory. We have performed these fits for groups of neurons of sizes from 12 to 200 for tonic firing and from 6 to 800 for the case of the rapidly time-varying “stimulus”. The first two figures show that the distributions of Jij’s in the two cases are quite similar, both growing slightly narrower with increasing N. They are also qualitatively similar to those found by Schneidman et al and by Tkačik et al [3] for data from retinal networks. As in their work, it does not appear to be necessary to include higher order couplings. The means, which are much smaller than the standard deviations, also decrease with N, and the one for tonic firing is less than half that for the stimulus-driven network.

    However, the models obtained never appear to be in a spin glass phase for any of the sizes studied, in contrast to the finding of Tkačik et al, who reported spin glass behaviour at N=120. This is shown in the third figure panel. The x axis is 1/J, where J = N1/2std(Jij) and the y axis is H/J, where H is the total “field” N-1Σi(hi+ΣjJij‹Sj›). The green curve marks the Almeida-Thouless line separating the normal and spin glass phases in this parameter plane. All our data, for N ≤800 (the number of excitatory neurons in the originally-simulated network), lie in the normal region, and extrapolation from our results predicts spin glass behaviour only for N>5000.

    [1] E. Schneidman et al., Nature 440 1007-1012 (2006)

    [2] T. Tanaka, Phys Rev E 58 2302-2310 (1998); H. J. Kappen and F. B Rodriguez, Neural Comp 10 1137-1156 (1998)

    [3] G. Tkačik et al., arXiv:q-bio.NC/0611072 v1 (2006)

  • 436.
    Tyrcha, Joanna
    et al.
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen. Matematisk statistik.
    Hertz, John
    Testing Algorithms for Extracting Functional Connectivity from Spike Data2008Inngår i: 1st INCF Congress of Neuroinformatics: Databasing and Modeling the Brain, 2008Konferansepaper (Annet (populærvitenskap, debatt, mm))
    Abstract [en]

    We can learn something about how large neuronal networks function from models of their spike pattern distributions constructed from data. We do this using the approach introduced by Schneidman et al [1], modeling this distribution by an Ising model: P[S] = Z-1exp(ΣJijSiSj + ΣihiSi). In the work reported here, we explore the accuracy of two algorithms for extracting the model parameters Jij and hi by testing them on data generated by networks in which these parameters are known.

    Both algorithms use, as input, the firing rates and mutual correlations of the neurons in the network. The first algorithm is straightforward Boltzmann learning. It will yield the parameters correctly if the input statistics are known exactly,but it may be very slow to converge. The second, very fast, algorithm [2] is based on inversion of the Thouless-Anderson-Palmer equations from spin glass theory. It is derived from a small-Jij expansion, but it is in principle correct for all Jij when the network is infinitely large and densely connected.

    In practice, however, the rates and correlations used as inputs to the algorithms are estimates based on a finite number of measurements. Therefore, there will be errors in the extracted model parameters. Errors will also occur if the data are incomplete, i.e., if the rates and correlations are not measured for all neurons or all pairs. This case is highly relevant to the experimental situation, since in practice it is only possible to record from a small fraction of the neurons in a network.

    Two particular kinds of error statistics are of special interest: variances of the differences between true and extracted parameters, and variances of the differences between parameters extracted for two independent sets of training data. We study the relation between the two, since the first is what we are interested in but only the second can be computed in the realistic situation, where we do not know the parameters a priori. We also examine the variance of the difference between the true and extracted correlations.

    Finally, we apply the algorithms to the data of Schneidman et al from salamander retinal ganglion neurons.

    References

    --------------------------------------------------------------------------------

    1. E Schneidman et al, Nature 440 1007-1012 (2006); G Tkacik et al, arXiv:q-bio.NC/0611072 (2006)

    2. T Tanaka, Phys Rev E 58 2302-2310 (1998); H J Kappen and F B Rodriguez, Neural Comp 10 1137-1156 (1998)

  • 437. Törner, Anna
    et al.
    Dickman, Paul
    Duberg, Ann-Sofi
    Kristinsson, Sigurdur
    Landgren, Ola
    Björkholm, Magnus
    Svensson, Åke
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    A method to visualize and adjust for selection bias in prevalent cohort studies2011Inngår i: American Journal of Epidemiology, ISSN 0002-9262, E-ISSN 1476-6256, Vol. 174, nr 8, s. 969-76Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Selection bias and confounding are concerns in cohort studies where the reason for inclusion of subjects in the cohort may be related to the outcome of interest. Selection bias in prevalent cohorts is often corrected by excluding observation time and events during the first time period after inclusion in the cohort. This time period must be chosen carefully-long enough to minimize selection bias but not too long so as to unnecessarily discard observation time and events. A novel method visualizing and estimating selection bias is described and exemplified by using 2 real cohort study examples: a study of hepatitis C virus infection and a study of monoclonal gammopathy of undetermined significance. The method is based on modeling the hazard for the outcome of interest as a function of time since inclusion in the cohort. The events studied were "hospitalizations for kidney-related disease" in the hepatitis C virus cohort and "death" in the monoclonal gammopathy of undetermined significance cohort. Both cohorts show signs of considerable selection bias as evidenced by increased hazard in the time period after inclusion in the cohort. The method was very useful in visualizing selection bias and in determining the initial time period to be excluded from the analyses.

  • 438.
    Ul Hassan, Mahmood
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Achievement tests and optimal design for pretesting of questions2019Doktoravhandling, med artikler (Annet vitenskapelig)
    Abstract [en]

    Achievement tests are used to measure the students' proficiency in a particular knowledge. Computerized achievement tests (e.g. GRE and SAT) are usually based on questions available in an item bank to measure the proficiency of students. An item bank is a large collection of items with known characteristics (e.g. difficulty). Item banks are continuously updated and revised with new items in place of obsolete, overexposed or flawed items over time. This thesis is devoted to updating and maintaining the item bank with high-quality questions and better estimations of item parameters (item calibration). 

    The thesis contains four manuscripts. One paper investigates the impact of student ability dimensionality on the estimated parameters and the other three deal with item calibration.

    In the first paper, we investigate how the ability dimensionality influences the estimates of the item-parameters. By a case and simulation study, we found that a multidimensional model better discriminates among the students.

    The second paper describes a method for optimal item calibration by efficiently selecting the examinees based on their ability levels. We develop an algorithm which selects intervals for the students' ability levels for optimal calibration of the items. We also develop an equivalence theorem for item calibration to verify the optimal design.  

    The algorithm developed in Paper II becomes complicated with the increase of number of calibrated items. So, in Paper III we develop a new exchange algorithm based on the equivalence theorem developed in Paper II.

    Finally, the fourth paper generalizes the exchange algorithm described in Paper III by assuming that the students have multidimensional abilities to answer the questions.

  • 439.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Miller, Frank
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    An exchange algorithm for optimal calibration of  items in computerized achievement testsManuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    The importance of large scale achievement tests, like national tests in school, eligibility tests for university, or international assessments for evaluation of students, is increasing. Pretesting of questions for the above mentioned tests is done to determine characteristic properties of the questions by adding them to an ordinary achievement test. If computerized tests are used, it has been shown using optimal experimental design methods that it is efficient to assign pretest questions to examinees based on their abilities. We can consider the specific distribution of abilities of the available examinees and apply restricted optimal designs.A previously used algorithm optimizes the criterion directly. We develop here a new algorithm which builds on an equivalence theorem. It discretizises the design space with the possibility to change the grid during the run, makes use of an exchange idea and filters computed designs. We illustrate how the algorithm works in some examples and how convergence can be checked. We show that this new algorithm can be used flexibly even if different models are assumed for different questions.

  • 440.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Miller, Frank
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Discrimination with unidimensional and multidimensional item response theory models for educational data2019Inngår i: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Achievement tests are used to characterize the proficiency of higher-education students. Item response theory (IRT) models are applied to these tests to estimate the ability of students (as latent variable in the model). In order for quality IRT parameters to be estimated, especially ability parameters, it is important that the appropriate number of dimensions is identified. Through a case study, based on a statistics exam for students in higher education, we show how dimensions and other model parameters can be chosen in a real situation. Our model choice is based both on empirical and on background knowledge of the test. We show that dimensionality influences the estimates of the item-parameters, especially the discrimination parameter which provides information about the quality of the item. We perform a simulation study to generalize our conclusions. Both the simulation study and the case study show that multidimensional models have the advantage to better discriminate between examinees. We conclude from the simulation study that it is safer to use a multidimensional model compared to a unidimensional if it is unknown which model is the correct one.

  • 441.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Miller, Frank
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Optimal calibration of items for multidimensional achievement testsManuskript (preprint) (Annet vitenskapelig)
    Abstract [en]

    Multidimensional achievement tests are recently gaining more importance in educational and psychological measurements due to  diagnostic nature. Diagnostic pretests help the organization to assist the students in determining which ability needs to be improved from particular domain of knowledge for better performance in the test. To develop diagnostic pretest items for multidimensional achievement tests, we generalize the previously developed exchange algorithm in multidimensional setting. We also develop an asymptotic theorem which helps us to choose an item at extreme ability levels to sample the examinees.

  • 442.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Miller, Frank
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Optimal Item Calibration for Computerized Achievement Tests2019Inngår i: Psychometrika, ISSN 0033-3123, E-ISSN 1860-0980, Vol. 84, nr 4, s. 1101-1128Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Item calibration is a technique to estimate characteristics of questions (called items) for achievement tests. In computerized tests, item calibration is an important tool for maintaining, updating and developing new items for an item bank. To efficiently sample examinees with specific ability levels for this calibration, we use optimal design theory assuming that the probability to answer correctly follows an item response model. Locally optimal unrestricted designs have usually a few design points for ability. In practice, it is hard to sample examinees from a population with these specific ability levels due to unavailability or limited availability of examinees. To counter this problem, we use the concept of optimal restricted designs and show that this concept naturally fits to item calibration. We prove an equivalence theorem needed to verify optimality of a design. Locally optimal restricted designs provide intervals of ability levels for optimal calibration of an item. When assuming a two-parameter logistic model, several scenarios with D-optimal restricted designs are presented for calibration of a single item and simultaneous calibration of several items. These scenarios show that the naive way to sample examinees around unrestricted design points is not optimal.

  • 443.
    Ul Hassan, Mahmood
    et al.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Stockhammar, Pär
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Fitting probability distributions to economic growth: a maximum likelihood approach2016Inngår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 43, nr 9, s. 1583-1603Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The growth rate of the gross domestic product (GDP) usually carries heteroscedasticity, asymmetry and fat-tails. In this study three important and significantly heteroscedastic GDP series are examined. A Normal, normal-mixture, normal-asymmetric Laplace distribution and a Student's t-Asymmetric Laplace (TAL) distribution mixture are considered for distributional fit comparison of GDP growth series after removing heteroscedasticity. The parameters of the distributions have been estimated using maximum likelihood method. Based on the results of different accuracy measures, goodness-of-fit tests and plots, we find out that in the case of asymmetric, heteroscedastic and highly leptokurtic data the TAL-distribution fits better than the alternatives. In the case of asymmetric, heteroscedastic but less leptokurtic data the NM fit is superior. Furthermore, a simulation study has been carried out to obtain standard errors for the estimated parameters. The results of this study might be used in e.g. density forecasting of GDP growth series or to compare different economies.

  • 444. Vargha, Andras
    et al.
    Bergman, Lars R.
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Psykologiska institutionen.
    Delaney, Harold D.
    Interpretation problems of the partial correlation with nonnormally distributed variables2013Inngår i: Quality and quantity, ISSN 0033-5177, E-ISSN 1573-7845, Vol. 47, nr 6, s. 3391-3402Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    The partial correlation is a commonly used measure for assessing the bivariate correlation of two quantitative variables after eliminating the influence of one or more other variables. The partial correlation is generally interpreted as the correlation that would result if the variables to be eliminated were fixed (not allowed to vary and influence the other variables), which is referred to in the statistical literature as conditional correlation. The present paper demonstrates, by means of theoretical derivations and practical examples, that when the assumption of multivariate normality is violated (e.g., as a result of nonlinear relationships among the variables investigated) the usual interpretation of the partial correlation coefficient will be basically incorrect. In extreme cases the value of the partial correlation coefficient may be strongly positive, close to 1, whereas the conditional correlation may have a large negative value. To solve this problem the paper suggests to partial out a certain function (in most cases the square) of the variables whose effects are to be eliminated if nonlinear relationships are likely to occur.

  • 445. Velilla, Santiago
    et al.
    Nguyen Thu, Huong
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    A goodness-of-fit test for VARMA(p, q) models2018Inngår i: Journal of Statistical Planning and Inference, ISSN 0378-3758, E-ISSN 1873-1171, Vol. 197, s. 126-140Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    A goodness-of-fit approach for multivariate VARMA(p, q) models is presented. The idea is to consider a stochastic process based on a modified residual correlation matrix sequence, that is shown to converge to the Brownian bridge. Standard criteria based on this new random function, as for instance the Kolmogorov–Smirnov and Cramér–von Mises statistics, will have then a pivotal null asymptotic distribution. The properties of these two methods are investigated by simulation. As compared with the traditional methods in this area, their size does not depend critically on the choice of any lag parameter value, and they have better power properties.

  • 446. Velilla, Santiago
    et al.
    Nguyen Thu, Huong
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    A new diagnostic tool for VARMA(p,q) models2019Inngår i: Statistics (Berlin), ISSN 0233-1888, E-ISSN 1029-4910, E-ISSN 1029-4910, Vol. 53, nr 4, s. 866-884Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    A new diagnostic method for VARMA(p,q) time series models is introduced. The procedure is based on a statistic that generalizes to a multivariate setting the properties of the usual univariate ARMA(p,q) residual correlations. A multiple version of the cumulative periodogram statistic is also suggested. Simulation studies and one real data application are presented.

  • 447.
    Verrall, Richard
    et al.
    City University, Cass Business School.
    Hössjer, Ola
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Björkwall, Susanna
    Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
    Modelling claims run-off with reversible jump Markov chain Monte Carlo methodsManuskript (preprint) (Annet vitenskapelig)
  • 448.
    Villani, Mattias
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    A Bayesian approach to restrictions on the cointegration space2000Rapport (Annet vitenskapelig)
  • 449.
    Villani, Mattias
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Aspecte of Bayesian Cointegration2000Doktoravhandling, med artikler (Annet vitenskapelig)
  • 450.
    Villani, Mattias
    Stockholms universitet, Samhällsvetenskapliga fakulteten, Statistiska institutionen.
    Steady-state priors for vector autoregressions2009Inngår i: Journal of applied econometrics (Chichester, England), ISSN 0883-7252, E-ISSN 1099-1255, Vol. 24, nr 4, s. 630-650Artikkel i tidsskrift (Fagfellevurdert)
    Abstract [en]

    Bayesian priors are often used to restrain the otherwise highly over-parameterized vector autoregressive (VAR) models. The currently available Bayesian VAR methodology does not allow the User to specify prior beliefs about the unconditional mean, or steady state, of the system. This is unfortunate as the Steady State is something that economists usually Claim to know relatively well. This paper develops easily implemented methods for analyzing both stationary and cointegrated VARs, in reduced or structural form, with an informative prior oil the steady state. We document that prior information on the steady state leads to substantial gains in forecasting accuracy Oil Swedish macro data. A second example illustrates, the use of informative steady-state priors in a cointegration model of the consumption-wealth relationship in the USA. 

678910 401 - 450 of 483
RefereraExporteraLink til resultatlisten
Permanent link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf