Thesis (Ph. D.)--State University of New York at Binghamton, Dept. of Mathematical Sciences, 2006. / Includes bibliographical references.

U-statistics generalizes the concept of mean of independent identically distributed (i.i.d.) random variables and is widely utilized in many estimating and testing problems. The standard empirical likelihood (EL) for U-statistics is computationally expensive because of its onlinear constraint. The jackknife empirical likelihood method largely relieves computation burden by circumventing the construction of the nonlinear constraint. In this thesis, we adopt a new jackknife empirical likelihood method to make inference for the general volume under the ROC surface (VUS), which is one typical kind of U-statistics. Monte Carlo simulations are conducted to show that the EL confidence intervals perform well in terms of the coverage probability and average length for various sample sizes.

Thesis (Ph. D.)--Carleton University, 2002. / Includes bibliographical references (p. 192-195). Also available in electronic format on the Internet.

Um problema que vem se tornando habitual em análise geoestatística é a quantidade crescente de observações. Em tais casos é comum que estimadores usualmente utilizados não possam ser empregados devido a dificuldades numéricas. Esta tese têm por objetivo propor um novo estimador para massivas observações em geoestatística: o estimador subsemble espacial. O estimador subsemble espacial seleciona várias subamostras, espacialmente estruturadas, do conjunto completo de dados. Cada subamostra estima com facilidade os parâmetros do modelo e as estimativas resultantes são ponderadas através de um subconjunto de validação. Em estudos simulados, compara-se a metodologia proposta com outros métodos e os resultados apresentam sua acurácia e rapidez. Além disso, uma aplicação em um banco de dados reais, com 11.000 observações, confirma essas características. / A problem that is becoming common in geostatistical analysis is the growing number of observations. In such cases, common estimators cannot be used due to numerical difficulties. This thesis proposes a new estimator for massive observations in geostatistics: the spatial subsemble estimator. The estimator selects small spatially structured subset of observations. The model parameters are estimated easily with each subsample, and the resulting estimates are weighted by a subset of validation. We compare the spatial subsemble with competing alternatives showing that it is faster and accurate. In addition, we present an application in a real database with 11000 observations.

The efficient market hypothesis (EMH) has long been perceived as the cornerstone of modern finance theory. However, the EMH has also recently been dismissed as "the most remarkable error in the history of economic theory" (Wall Street Journal, Oct. 23. 1987). Most of the early research was concerned with detecting the efficiencies or inefficiencies by autocorrelation tests, run tests, and filtering tests. In general, the inefficiencies detected are relatively small. Recently, however, there has been an explosion of research activity to detect inefficiencies in the general area which we call "nonlinear science". This dissertation aims at the applications of these kinds of new methodologies to the Swedish stock market and the Korean stock market. This dissertation consists of 8 chapters. Chapter 1 reviews the challenges to stock market efficiency, and chapter 2 criticizes traditional financial models and assumptions for the EMH tests. Chapter 3 discusses the sample data. In chapter 4, the estimated results under the product process model are presented. Chapter 5 is focused on the low power spectrum law. The power exponent is calculated for the samples. In chapter 6, the types of patterns (memory) are uncovered by Rescaled range (R/S) analysis. Chapter 7 deals with the market inefficiency arising from nonlinear dynamical systems theory. The BDS test for detecting nonlinear dependence is applied to the sample markets. Finally, chapter 8 summarizes the conclusions. / Diss. Stockholm : Handelshögsk.

The present thesis is a study of the robustness and performance of a test applicable in the high-dimensional context (𝑝>𝑛) whose components are unbiased statistics (U-statistics). This test (the U-test) has been shown to perform well under a variety of circumstances and can be adapted to any general linear hypothesis. However, the robustness of the test is largely unexplored. Here, a simulation study is performed, focusing particularly on violations of the assumptions the test is based on. For extended evaluation, the performance of the U-test is compared to its permutation counterpart. The simulations show that the U-test is robust, performing poorly only when the permutation test does so as well. It is also discussed that the U-test does not inevitably rest on the assumptions originally imposed on it.

Um problema que vem se tornando habitual em análise geoestatística é a quantidade crescente de observações. Em tais casos é comum que estimadores usualmente utilizados não possam ser empregados devido a dificuldades numéricas. Esta tese têm por objetivo propor um novo estimador para massivas observações em geoestatística: o estimador subsemble espacial. O estimador subsemble espacial seleciona várias subamostras, espacialmente estruturadas, do conjunto completo de dados. Cada subamostra estima com facilidade os parâmetros do modelo e as estimativas resultantes são ponderadas através de um subconjunto de validação. Em estudos simulados, compara-se a metodologia proposta com outros métodos e os resultados apresentam sua acurácia e rapidez. Além disso, uma aplicação em um banco de dados reais, com 11.000 observações, confirma essas características. / A problem that is becoming common in geostatistical analysis is the growing number of observations. In such cases, common estimators cannot be used due to numerical difficulties. This thesis proposes a new estimator for massive observations in geostatistics: the spatial subsemble estimator. The estimator selects small spatially structured subset of observations. The model parameters are estimated easily with each subsample, and the resulting estimates are weighted by a subset of validation. We compare the spatial subsemble with competing alternatives showing that it is faster and accurate. In addition, we present an application in a real database with 11000 observations.

Um problema que vem se tornando habitual em análise geoestatística é a quantidade crescente de observações. Em tais casos é comum que estimadores usualmente utilizados não possam ser empregados devido a dificuldades numéricas. Esta tese têm por objetivo propor um novo estimador para massivas observações em geoestatística: o estimador subsemble espacial. O estimador subsemble espacial seleciona várias subamostras, espacialmente estruturadas, do conjunto completo de dados. Cada subamostra estima com facilidade os parâmetros do modelo e as estimativas resultantes são ponderadas através de um subconjunto de validação. Em estudos simulados, compara-se a metodologia proposta com outros métodos e os resultados apresentam sua acurácia e rapidez. Além disso, uma aplicação em um banco de dados reais, com 11.000 observações, confirma essas características. / A problem that is becoming common in geostatistical analysis is the growing number of observations. In such cases, common estimators cannot be used due to numerical difficulties. This thesis proposes a new estimator for massive observations in geostatistics: the spatial subsemble estimator. The estimator selects small spatially structured subset of observations. The model parameters are estimated easily with each subsample, and the resulting estimates are weighted by a subset of validation. We compare the spatial subsemble with competing alternatives showing that it is faster and accurate. In addition, we present an application in a real database with 11000 observations.

In many hypothesis testing problems such as one-sample and two-sample test problems, the test statistics are degenerate U-statistics. One of the challenges in practice is the computation of U-statistics for a large sample size. Besides, for degenerate U-statistics, the limiting distribution is a mixture of weighted chi-squares, involving the eigenvalues of the kernel of the U-statistics. As a result, it’s not straightforward to construct the rejection region based on this asymptotic distribution. In this research, we aim to reduce the computation complexity of degenerate U-statistics and propose an easy-to-calibrate test statistic by using the divide-and-conquer method. Specifically, we randomly partition the full n data points into kn even disjoint groups, and compute U-statistics on each group and combine them by averaging to get a statistic Tn. We proved that the statistic Tn has the standard normal distribution as the limiting distribution. In this way, the running time is reduced from O(n^m) to O( n^m/km_n), where m is the order of the one sample U-statistics. Besides, for a given significance level , it’s easy to construct the rejection region. We apply our method to the goodness of fit test and two-sample test. The simulation and real data analysis show that the proposed test can achieve high power and fast running time for both one and two-sample tests.

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