Department of Economics / Institutionen för nationalekonomi med statistik: Recent submissions
Now showing items 501-520 of 1135
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On multivariate control charts
(University of Gothenburg, 2011-02-10)Industrial production requires multivariate control charts to enable monitoring of several components. Recently there has been an increased interest also in other areas such as detection of bioterrorism, spatial surveillance ... -
Statistical surveillance of cyclical processes with application to turns in business cycles
(University of Gothenburg, 2002-08-01)On-line monitoring of cyclical processes is studied. An important application is early prediction of the next turn in business cycles by an alarm for a turn in a leading index. Three likelihood based methods for detection ... -
Testing for non-normality in multivariate regression with nonspherical disturbances
(University of Gothenburg, 2002-09-01)Statistical diagnostic testing is often associated with erratic conclusions due to the fact that a test against one certain specification may be highly sensitive to another specification. This paper concerns assessing ... -
Testing for multivariate heteroscedasticity
(University of Gothenburg, 2003-01-01)In this paper we propose a testing technique for multivariate heteroscedasticity, which is expressed as a test of linear restrictions in a multivariate regression model. Four test statistics with known asymptotical null ... -
Testing for multivariate autocorrelation
(University of Gothenburg, 2003-02-01)This paper concerns the problem of assessing autocorrelation of multivariate (i.e. system wise) models. It is well known that systemwise diagnostic tests for autocorrelation often suffers from poor small sample properties ... -
Detection of intra-uterine growth restriction
(University of Gothenburg, 2003-03-01)A new methodology for on-line detection of intrauterine growth restriction (IUGR) is proposed where traditional methods for statistical surveillance are applied. Here, deficient growth rate is used to detect IUGR instead ... -
Similarities and differences between statistical surveillance and certain decision rules in finance
(University of Gothenburg, 2003-04-01)this paper we consider prospective decision rules that aim at extracting early signals about what decision to make, e.g. sell an asset. The decision rules are based on prospective monitoring of a statistic in order to ... -
A comparison of conditioned versus unconditioned forecasts of the V AR(l) process
(University of Gothenburg, 2003-05-01)The properties of a forecast usually depend upon whether the forecast is conditioned on the final period observation or not. In the case of unconditioned forecasts it is well known that the point predictions are unbiased. ... -
Early warnings for turns in business cycles and finance
(University of Gothenburg, 2003-06-01)In many areas, it is important to detect turning points in time series early and without faults. Turns in business cycles and financial time series are discussed here. A variety of approaches for analyzing the turns in ... -
ON THE PROBLEM OF OPTIMAL INFERENCE IN THE SIMPLE ERROR COMPONENT MODEL FOR PANEL DATA
(University of Gothenburg, 1991-02-01)For data consisting of cross sections of units observed over time, the Error Component Regression (ECR) model, with random intercept and constant slope, may sometimes be adequate. While most interest has been focused on ... -
Aspects on the controi of false alarms in statistical surveillance and the impact on the return of financial decision systems
(2004-02-01)Systems for on-line detection of regime shifts are important, e.g. for making timely financial transactions. For daily data, it means that we make a new decision each day, based on the data available, and when there is ... -
Monitoring macroeconomic volatility
(2004-01-01)In this paper we develop testing procedures for monitoring the stability of the variance of a time series. While the traditional approach to testing for structural change is retrospective, applying a single test to a ... -
A monitoring system for detecting starts and declines of influenza epidemics
(2003-12-01)The aim is to detect an influenza outbreak as soon as possible. Data are weekly reports of number of patients showing influenza-like symptoms. At each additional observation we decide whether a change has occurred or ... -
Statistical measures for evaluation of methods for syndromic surveillance
(2003-11-01)Introduction In syndromic surveillance there is a need for continual observation of one or more time series, with the goal of detecting an important change in the underlying process as soon as possible after it has ... -
Graphical evaluation of statistical surveillance
(2003-10-01)A computer program which simultaneously gives graphical information on important characteristics of statistical surveillance methods is presented. Surveillance, that is continual observation of a time series with the goal ... -
Preliminary testing in a class of simple non-linear mixed models to improve estimation accuracy
(2003-09-02)In applied research hypothetical information about the parameters in a stochastic model sometimes can be generated from theory or previous studies. Replacing unknown parameters by constants might increase the estimation ... -
Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression
(2003-08-01)Two small-sample tests for random coefficients in linear regression are derived from the Maximum Likelihood Ratio. The first test has previously been proposed for testing equality of fixed effects, but is here shown to be ... -
Simple conservative confidence intervals for comparing matched proportions
(University of Gothenburg, 2011-01-01)Unconditional confidence intervals (CIs) for the difference between marginal proportions in matched pairs data have essentially been based on improvements of Wald’s large-sample statistic. The latter are approximate and ... -
A CUSUM PROCEDURE FOR DETECTION OF OUTBREAKS IN POISSON DISTRIBUTED MEDICAL HEALTH EVENTS
(University of Gothenburg, 2010-11-02)CUSUM procedures which are based on standardized statistics are often supposed to have expectation zero and being normally distributed. If these conditions are not satisfied it can have serious consequences on the determination ... -
Relative Efficiency of a Quantile Method for Estimating Parameters in Censored Two-Parameter Weibull Distributions
(University of Gothenburg, 2010-11-01)In simulation studies the computer time can be much reduced by using censoring. Here a simple method based on quantiles (Q method) is compared with the Maximum Likelihood (ML) method when estimating the parameters in ...