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Caamaño-Carrillo, C.; Bevilacqua, M.; López, C.; Morales-Oñate, V. |
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Title |
Nearest neighbors weighted composite likelihood based on pairs for (non-)Gaussian massive spatial data with an application to Tukey-hh random fields estimation |
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2024 |
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Computational Statistics & Data Analysis |
Abbreviated Journal |
Comput. Stat. Data Anal. |
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191 |
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107887 |
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Covariance estimation; Geostatistics; Large datasets; Vecchia approximation |
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Abstract |
A highly scalable method for (non-)Gaussian random fields estimation is proposed. In particular, a novel (a) symmetric weight function based on nearest neighbors for the method of maximum weighted composite likelihood based on pairs (WCLP) is studied. The new weight function allows estimating massive (up to millions) spatial datasets and improves the statistical efficiency of the WCLP method using symmetric weights based on distances, as shown in the numerical examples. As an application of the proposed method, the estimation of a novel non-Gaussian random field named Tukey-hh random field that has flexible marginal distributions (possibly skewed and/or heavy-tailed) is considered. In an extensive simulation study the statistical efficiency of the proposed nearest neighbors WCLP method with respect to the WCLP method using weights based on distances is explored when estimating the parameters of the Tukey-hh random field. In the Gaussian case the proposed method is compared with the Vecchia approximation from computational and statistical viewpoints. Finally, the effectiveness of the proposed methodology is illustrated by estimating a large dataset of mean temperatures in South -America. The proposed methodology has been implemented in an open-source package for the R statistical environment. |
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0167-9473 |
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WOS:001166253600001 |
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UAI @ alexi.delcanto @ |
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1956 |
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Author |
Leiva, V.; Saulo, H.; Leao, J.; Marchant, C. |
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Title |
A family of autoregressive conditional duration models applied to financial data |
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2014 |
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Computational Statistics & Data Analysis |
Abbreviated Journal |
Comput. Stat. Data Anal. |
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79 |
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175-191 |
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Birnbaum-Saunders distribution; EM algorithm; High-frequency data; Maximum likelihood estimator; Monte Carlo simulation |
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Abstract |
The Birnbaum-Saunders distribution is receiving considerable attention due to its good properties. One of its extensions is the class of scale-mixture Birnbaum-Saunders (SBS) distributions, which shares its good properties, but it also has further properties. The autoregressive conditional duration models are the primary family used for analyzing high-frequency financial data. We propose a methodology based on SBS autoregressive conditional duration models, which includes in-sample inference, goodness-of-fit and out-of-sample forecast techniques. We carry out a Monte Carlo study to evaluate its performance and assess its practical usefulness with real-world data of financial transactions from the New York stock exchange. (C) 2014 Elsevier B.V. All rights reserved. |
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[Leiva, Victor; Marchant, Carolina] Univ Valparaiso, Inst Estadist, Valparaiso, Chile, Email: victor.leiva@yahoo.com |
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Elsevier Science Bv |
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0167-9473 |
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WOS:000340139900013 |
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UAI @ eduardo.moreno @ |
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396 |
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Palma, W.; Bondon, P.; Tapia, J. |
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Title |
Assessing influence in Gaussian long-memory models |
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2008 |
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Computational Statistics & Data Analysis |
Abbreviated Journal |
Comput. Stat. Data Anal. |
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52 |
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9 |
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4487-4501 |
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A statistical methodology for detecting influential observations in long-memory models is proposed. The identification of these influential points is carried out by case-deletion techniques. In particular, a Kullback-Leibler divergence is considered to measure the effect of a subset of observations on predictors and smoothers. These techniques are illustrated with an analysis of the River Nile data where the proposed methods are compared to other well-known approaches such as the Cook and the Mahalanobis distances. (c) 2008 Elsevier B.V. All rights reserved. |
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[Bondon, Pascal] Univ Paris 11, CNRS, UMR 8506, F-91192 Gif Sur Yvette, France, Email: bondon@lss.supelec.fr |
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Elsevier Science Bv |
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0167-9473 |
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WOS:000257014000023 |
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UAI @ eduardo.moreno @ |
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40 |
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