Search Results (44)

Poisson mixed-effects models are essential for analyzing repeated count data, relying on latent random effects to account for unobserved heterogeneity and longitudinal dependence. However, the validity of likelihood-based inference in these models is highly sensitive to the specification of both the fixed-effects structure and the distributional assumptions of the random effects. While diagnostics based on the information matrix equality (IME) provide a theoretical framework for detecting misspecification, their high dimensionality and reliance on second-order derivatives often result in numerical instability and poor finite-sample performance in nonlinear settings. Here we introduce the Contrast of Information by Volume (CIV) test, a low-dimensional information-based diagnostic test for Poisson generalized linear mixed models (GLMMs). By integrating the scalar CIV statistics with novel graphical diagnostics, our approach facilitates the interpretation of specification errors in the random-effects structure. We derive the asymptotic behaviour of the CIV statistics under local misspecification and evaluate their properties through Monte Carlo simulations. To ensure robust inference in moderate samples, a parametric bootstrap procedure is employed for size calibration. Simulation results demonstrate that the CIV diagnostics maintain accurate Type I error control and achieve competitive power against common misspecification, including heteroskedasticity, correlation, and heavy-tailed random-effect distributions. Compared to traditional IME diagnostics, estimator-comparison tests, and GMM-based procedures, the CIV approach offers a superior balance between finite-sample stability and detection power. Finally, an empirical application illustrates the utility of the CIV framework in diagnosing latent misspecification and guiding the selection of random-effects covariance structures in applied research. Full article

We propose a new class of spatio-temporal GARCH models designed to capture volatility dynamics that propagate jointly across time and space. Existing spatio-temporal GARCH formulations typically account for either lagged spatial spillovers or contemporaneous interactions separately, and therefore fail to capture the combined effect of instantaneous spatial volatility feedback and its propagation over time. To address this gap, we introduce a unified framework that incorporates both contemporaneous and lagged spatial volatility interactions within a single coherent model. At each time point, conditional variances evolve according to a temporal GARCH recursion combined with both contemporaneous and lagged spatial volatility interactions defined on a lattice. This structure allows volatility shocks to diffuse instantaneously across neighboring locations and persist over time through spatially structured feedback mechanisms, extending existing spatial and spatio-temporal GARCH formulations. We establish sufficient conditions for the existence of a unique strictly stationary and ergodic solution based on contraction properties of a combined spatial–temporal operator. Statistical inference is conducted via Gaussian quasi-maximum likelihood estimation (QMLE). We derive consistency and asymptotic normality of the QMLE under two asymptotic regimes: (i) increasing temporal domain with fixed spatial size, and (ii) joint asymptotics where both the number of time periods and spatial locations diverge. In both cases, the asymptotic covariance matrix admits a standard sandwich form and can be consistently estimated. An extensive Monte Carlo study confirms the theoretical results. The simulations show that the QMLE performs well even under strong spatial and temporal persistence and remains robust to heavy-tailed innovations. In particular, increasing the spatial domain substantially improves estimation accuracy, highlighting the efficiency gains induced by spatial information. The proposed model provides a flexible and tractable framework for analyzing volatility processes evolving jointly in time and space. Full article

A fundamental limitation of maximum likelihood and Bayesian methods under model misspecification is that the asymptotic covariance matrix of the pseudo-true parameter vector ${\mathsf{\theta }}_{*}$ is not the inverse of the Fisher information, but rather the sandwich covariance matrix ${\displaystyle \frac{1}{n}}{\mathbf{A}}_{*}^{-1}{\mathbf{B}}_{*}^{\phantom{-1}}{\mathbf{A}}_{*}^{-1}$, where ${\mathbf{A}}_{*}$ and ${\mathbf{B}}_{*}$ are the sensitivity and variability matrices, respectively, evaluated at ${\mathsf{\theta }}_{*}$ for training data record ${\omega }_1,\dots ,{\omega }_n$. This paper makes three contributions. First, we review existing approaches to robust posterior sampling, including the open-faced sandwich adjustment and magnitude- and curvature-adjusted Markov chain Monte Carlo (MCMC) simulation. Second, we introduce a new sandwich-adjusted MCMC method. Unlike existing approaches that rely on arbitrary matrix square roots, eigendecompositions or a single scaling factor applied uniformly across the parameter space, our method employs a parameter-dependent learning rate $\lambda \left(\mathsf{\theta }\right)$ that enables direction-specific tempering of the likelihood. This allows the sampler to capture directional asymmetries in the sandwich distribution, particularly under model misspecification or in small-sample regimes, and yields credible regions that remain valid when standard Bayesian inference underestimates uncertainty. Third, we propose information-theoretic diagnostics for quantifying model misspecification, including a strictly proper divergence score and scalar summaries based on the Frobenius norm, Earth mover’s distance, and the Herfindahl index. These principled diagnostics complement residual-based metrics for model evaluation by directly assessing the degree of misalignment between the sensitivity and variability matrices, ${\mathbf{A}}_{*}$ and ${\mathbf{B}}_{*}$. Applications to two parametric distributions and a rainfall-runoff case study with the Xinanjiang watershed model show that conventional Bayesian methods systematically underestimate uncertainty, while the proposed method yields asymptotically valid and robust uncertainty estimates. Together, these findings advocate for sandwich-based adjustments in Bayesian practice and workflows. Full article

This study introduces an objective Bayesian approach for estimating the reliability of a multicomponent stress–strength model based on the Pareto distribution under an adaptive progressive Type-II censoring scheme. The proposed method is developed within a Bayesian framework, utilizing a reference prior with partial information to improve the accuracy of point estimation and to ensure the construction of a credible interval for uncertainty assessment. This approach is particularly useful for addressing several limitations of a widely used likelihood-based approach in estimating the multicomponent stress–strength reliability under the Pareto distribution. For instance, in the likelihood-based method, the asymptotic variance–covariance matrix may not exist due to certain constraints. This limitation hinders the construction of an approximate confidence interval for assessing the uncertainty. Moreover, even when an approximate confidence interval is obtained, it may fail to achieve nominal coverage levels in small sample scenarios. Unlike the likelihood-based method, the proposed method provides an efficient estimator across various criteria and constructs a valid credible interval, even with small sample sizes. Extensive simulation studies confirm that the proposed method yields reliable and accurate inference across various censoring scenarios, and a real data application validates its practical utility. These results demonstrate that the proposed method is an effective alternative to the likelihood-based method for reliability inference in the multicomponent stress–strength model based on the Pareto distribution under an adaptive progressive Type-II censoring scheme. Full article

This study investigates the asymptotic properties of method-of-moments estimators for the Birnbaum–Saunders distribution under a newly proposed parametrization. Theoretical derivations establish the asymptotic normality of these estimators, supported by explicit expressions for the mean vector and variance–covariance matrix. Simulation studies validate these results across various sample sizes and parameter values. A practical application is demonstrated through modeling cumulative rainfall data from northeastern Thailand, highlighting the distribution’s suitability for extreme weather prediction. Full article

For the high-dimensional covariance estimation problem, when ${lim}_{n\to \infty }p/n=c\in (0,1)$, the orthogonally equivariant estimator of the population covariance matrix proposed by Tsai and Tsai exhibits certain optimal properties. Under some regularity conditions, the authors showed that their novel estimators of eigenvalues are consistent with the eigenvalues of the population covariance matrix. In this paper, under the multinormal setup, we show that they are consistent estimators of the population covariance matrix under a high-dimensional asymptotic setup. We also show that the novel estimator is the MLE of the population covariance matrix when $c\in (0,1)$. The novel estimator is used to establish that the optimal decomposite $T_T^2$-test has been retained. A high-dimensional statistical hypothesis testing problem is used to carry out statistical inference for high-dimensional principal component analysis-related problems without the sparsity assumption. In the final section, we discuss the situation in which $p>n$, especially for high-dimensional low-sample size categorical data models in which $p>>n$. Full article

We introduce and investigate the properties of new families of univariate and bivariate distributions based on the survival function of the Lindley distribution. The univariate distribution, to reflect the nature of its construction, is called a power Lindley survival distribution. The basic distributional properties of this model are described. Maximum likelihood estimates of the parameters of the distribution are studied and the corresponding information matrix is identified. A bivariate power Lindley survival distribution is introduced using the technique of conditional specification. The corresponding joint density and marginal and conditional densities are derived. The product moments of the distribution are obtained, together with bounds on the range of correlations that can be exhibited by the model. Estimation of the parameters of the model is implemented by maximizing the corresponding pseudo-likelihood function. The asymptotic variance–covariance matrix of these estimates is investigated. A simulation study is performed to illustrate the performance of these parameter estimates. Finally some examples of model fitting using real-world data sets are described. Full article

This article is devoted to the synthesis and analysis of the quality of the statistical estimate of parameters of a multidimensional linear system (MLS) with one input and m outputs. A nontrivial case is investigated when the one-dimensional input signal of MLS is a deterministic process, the values of which are unknown nuisance parameters. The estimate is based only on observations of MLS output signals distorted by random Gaussian stationary $m$-dimensional noise with a known spectrum. It is assumed that the likelihood function of observations of the output signals of MLS satisfies the conditions of local asymptotic normality. The $\sqrt{n}$-consistency of the estimate is established. Under the assumption of asymptotic normality of an objective function, the limiting covariance matrix of the estimate is calculated for case where the number of observations tends to infinity. Full article

Here, for controlling a high-speed flywheel permanent magnet synchronous motor (HSPMSM), a position sensorless control method for estimation of motor rotor position and speed is proposed to address the problems faced by mechanical position sensors of high cost, large size, and poor interference immunity. The extended Kalman filter (EKF) has difficulty obtaining the optimal covariance matrix when performing state estimation. Therefore, the particle swarm algorithm (PSO) with an immune mechanism is used to optimize the covariance matrix of the EKF. However, the EKF algorithm makes the system less robust due to its delay effect. Based on the traditional sliding mode control rate, the exponential convergence law is improved, and the continuous function sat(s) is used instead of the symbolic function sgn(s). This improves the convergence law and proves the asymptotic stability of the designed sliding mode variable structure controller based on Lyapunov’s stability theorem. Then, the novel control law is applied to the sliding mode surface (SMS). An ordinary sliding mode controller (OSMC) using a linear sliding mode controller (LSMC), a global sliding mode controller (GSMC) using a global sliding mode surface (GSMS), and an integral sliding mode controller (ISMC) using an integral sliding mode surface (ISMS) are designed for improving control. Joint simulation in MATLAB and Simulink verifies that the optimized EKF based on the immune PSO can improve precision and accuracy for controlling the electronic rotor position and speed. Comparing the new sliding mode controller with a traditional PI controller reveals that the proposed system has stronger resistance to load disturbance and better robustness. Full article

In estimating logistic regression models, convergence of the maximization algorithm is critical; however, this may fail. Numerous bias correction methods for maximum likelihood estimates of parameters have been conducted for cases of complete data sets, and also for longitudinal models. Balanced data sets yield consistent estimates from conditional logit estimators for binary response panel data models. When faced with a missing covariates problem, researchers adopt various imputation techniques to complete the data and without loss of generality; consistent estimates still suffice asymptotically. For maximum likelihood estimates of the parameters for logistic regression in cases of imputed covariates, the optimal choice of an imputation technique that yields the best estimates with minimum variance is still elusive. This paper aims to examine the behaviour of the Hessian matrix with optimal values of the imputed covariates vector, which will make the Newton–Raphson algorithm converge faster through a reduced absolute value of the product of the score function and the inverse fisher information component. We focus on a method used to modify the conditional likelihood function through the partitioning of the covariate matrix. We also confirm that the positive moduli of the Hessian for conditional estimators are sufficient for the concavity of the log-likelihood function, resulting in optimum parameter estimates. An increased Hessian modulus ensures the faster convergence of the parameter estimates. Simulation results reveal that model-based imputations perform better than classical imputation techniques, yielding estimates with smaller bias and higher precision for the conditional maximum likelihood estimation of nonlinear panel models. Full article

In this study, we introduce a novel estimation technique for assessing the reliability parameter $R=P(Y<X)$ of the uniform truncated negative binomial distribution (UTNBD) in the context of stress–strength analysis. We base our inferences on the assumption that both the strength (X) and stress (Y) random variables follow a UTNBD with identical first shape and scale parameters. In the presence of a progressive type-II censoring scheme, we employ maximum likelihood, two parametric bootstrap methods, and Bayesian estimation approaches to derive the estimators. Due to the complexity introduced by censoring, the estimators are not available in explicit forms and are instead obtained through numerical approximation techniques. Furthermore, we compute the highest posterior density credible intervals and determine the asymptotic variance-covariance matrix. To assess the performance of our proposed estimators, we conduct a Monte Carlo simulation study and provide a comparative analysis. Finally, we illustrate the practical applicability of our study with an engineering application. Full article

In this paper, we introduce a new dynamic model for time series based on the Chen distribution, which is useful for modeling asymmetric, positive, continuous, and time-dependent data. The proposed Chen autoregressive moving average (CHARMA) model combines the flexibility of the Chen distribution with the use of covariates and lagged terms to model the conditional median response. We introduce the CHARMA structure and discuss conditional maximum likelihood estimation, hypothesis testing inference along with the estimator asymptotic properties of the estimator, diagnostic analysis, and forecasting. In particular, we provide closed-form expressions for the conditional score vector and the conditional information matrix. We conduct a Monte Carlo experiment to evaluate the introduced theory in finite sample sizes. Finally, we illustrate the usefulness of the proposed model by exploring two empirical applications in a wind-speed and maximum-temperature time-series dataset. Full article

In this article, a new modification of the Weibull model with three parameters, the new exponential Weibull distribution (E-WD), is defined. The new model has many statistical advantages, the heavy-tailed behavior and the regular variation property were offered. Many of the important statistical functions of the modified model are presented in closed forms. The flexibility of E-WD has been improved. The proposed model can be used to fit data with different shapes, it can be right-skewed, left-skewed, decreasing, curved and symmetric. Some distribution properties of the proposed model, including moment generating function, characteristic function, moment, quantile and identifiability property, have been derived. In addition to the information generating function, the Shannon entropy and information energy are also discussed. The maximum likelihood approach and Bayesian estimation are used to estimate the distribution parameters. In the Bayesian method, three different loss functions are used. The calculations show the biases and estimated risks to obtain the best estimator. The bootstrap confidence intervals, the asymptotic confidence intervals and the observed variance-covariance matrix are obtained. Metropolis Hastings’ MCMC procedure is used for the calculations. We apply the composite distribution to stock data for four variables. The goodness-of-fit results show that the model performs well compared to its competitors. The proposed model can be used for forecasting and decision making. Full article

Dynamical vectors characterizing instability and applicable as ensemble perturbations for prediction with geophysical fluid dynamical models are analysed. The relationships between covariant Lyapunov vectors (CLVs), orthonormal Lyapunov vectors (OLVs), singular vectors (SVs), Floquet vectors and finite-time normal modes (FTNMs) are examined for periodic and aperiodic systems. In the phase-space of FTNM coefficients, SVs are shown to equate with unit norm FTNMs at critical times. In the long-time limit, when SVs approach OLVs, the Oseledec theorem and the relationships between OLVs and CLVs are used to connect CLVs to FTNMs in this phase-space. The covariant properties of both the CLVs, and the FTNMs, together with their phase-space independence, and the norm independence of global Lyapunov exponents and FTNM growth rates, are used to establish their asymptotic convergence. Conditions on the dynamical systems for the validity of these results, particularly ergodicity, boundedness and non-singular FTNM characteristic matrix and propagator, are documented. The findings are deduced for systems with nondegenerate OLVs, and, as well, with degenerate Lyapunov spectrum as is the rule in the presence of waves such as Rossby waves. Efficient numerical methods for the calculation of leading CLVs are proposed. Norm independent finite-time versions of the Kolmogorov-Sinai entropy production and Kaplan-Yorke dimension are presented. Full article

One-stage stochastic linear complementarity problem (SLCP) is a special case of a multi-stage stochastic linear complementarity problem, which has important applications in economic engineering and operations management. In this paper, we establish asymptotic analysis results of a sample-average approximation (SAA) estimator for the SLCP. The asymptotic normality analysis results for the stochastic-constrained optimization problem are extended to the SLCP model and then the conditions, which ensure the convergence in distribution of the sample-average approximation estimator for the SLCP to multivariate normal with zero mean vector and a covariance matrix, are obtained. The results obtained are finally applied for estimating the confidence region of a solution for the SLCP. Full article