Article
Mathematics, Interdisciplinary Applications
Chun-Hao Cai, Yin-Zhong Huang, Lin Sun, Wei-Lin Xiao
Summary: This paper discusses the estimation problem of drift parameters in the mixed fractional Vasicek model, which extends the traditional Vasicek model. Through the use of fundamental martingale and Laplace transform, the strong consistency and asymptotic normality of the maximum likelihood estimators are studied for all H∈(0,1), H≠1/2. Additionally, it is shown that the MLE can be simulated when H > 1/2.
FRACTAL AND FRACTIONAL
(2022)
Article
Multidisciplinary Sciences
Mohamed Kayid, Abdulrahman Abouammoh, Ghadah Alomani, Dario Ferreira, Calogero Vetro
Summary: Statistical probability models are often used to analyze real-world data in many research fields. However, data from fields such as the environment, economics, and health care may not fit traditional models. This study investigates an extension of the quasi-Lindley model that is asymmetrically distributed on the positive real number line. Various algorithms are used to estimate the parameters, and the results show that all techniques provide accurate and reliable estimates. The proposed model outperforms alternative models when analyzing a reliability dataset.
Article
Mathematics
Guoping Zeng, Sha Tao
Summary: This paper investigates the effects of linear transformations in logistic regression. A generalized linear transformation for multiple variables is proposed using matrix multiplication. The study shows that an invertible linear transformation has no effects on predictions, multicollinearity, pseudo-complete separation, and complete separation.
Article
Statistics & Probability
Hongchang Hu, Weifu Hu, Xinxin Yu
Summary: This paper examines a linear regression model, explores the estimation of parameters and the asymptotic properties of estimators, and validates the method through a real example.
STATISTICAL PAPERS
(2021)
Article
Mathematics, Applied
Muhammad Amin, Muhammad Nauman Akram, B. M. Golam Kibria, Huda M. M. Alshanbari, Nahid Fatima, Ahmed Elhassanein
Summary: This study proposed a new adjusted likelihood estimator for addressing the issue of multicollinearity in binary logistic regression models. Through Monte Carlo simulation and real application research, it was found that our proposed estimator performs better when there exists high but imperfect multicollinearity.
Article
Quantum Science & Technology
Alfred Godley, Madalin Guta
Summary: In this paper, the problem of extracting maximum information from continuous-time measurements in quantum systems is addressed. The authors propose an efficient algorithm for optimal estimation of one-dimensional dynamical parameters in discrete-time input-output quantum Markov chains. The algorithm involves updating a "measurement filter" operator and determining measurement bases for the output units. A key component of the algorithm is the use of a coherent quantum absorber to "post-process" the output. The scheme offers potential for optimal continuous-time adaptive measurements, but practical implementations require further research.
Article
Mathematics
Suad Alhihi, Maalee Almheidat
Summary: This paper investigates the statistical inference, bias, mean square error, and construction of confidence intervals for Pianka's overlap coefficient in two exponential populations.
Article
Statistics & Probability
Joaquin Martinez-Minaya, Finn Lindgren, Antonio Lopez-Quilez, Daniel Simpson, David Conesa
Summary: This article introduces a Laplace approximation method for Bayesian inference in Dirichlet regression models, which allows analyzing skewed and heteroscedastic variables on a simplex without data transformation. The article provides theoretical foundations, implementation details, and introduces the dirinla package in R-language for Dirichlet regression. Simulation studies validate the proposed method, and a real data case-study demonstrates its application.
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
(2023)
Article
Engineering, Multidisciplinary
Artur J. Lemonte
Summary: This paper introduces a general class of multivariate distributions based on the multivariate elliptical distribution, which is applied to rates and proportions estimation. The model parameters are estimated using the maximum likelihood estimation method, and parameter estimation methods for two special cases of this multivariate family are discussed in detail. In addition, a hypothesis testing method for the correlation matrix based on the likelihood ratio test statistic is proposed. Empirical applications using real data are considered to demonstrate the usefulness of this new class of multivariate distributions for rates and proportions in practice.
APPLIED MATHEMATICAL MODELLING
(2022)
Article
Mathematics, Interdisciplinary Applications
Yen-Ching Chang
Summary: This paper introduces the importance of the Hurst exponent in pattern recognition and proposes iterative maximum likelihood estimator and efficient MLE algorithms for estimating the Hurst exponent in 2D FBM. Experimental results show the effectiveness and accuracy of these algorithms at different image sizes.
FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
(2021)
Article
Mathematics
M. Kayid, Nassr S. Al-Maflehi
Summary: The quasi-Lindley distribution is a flexible model that is useful in various fields. This paper utilizes the expectation-maximization (EM) algorithm to estimate the parameters for both uncensored and right-censored data. Simulation studies demonstrate that the EM estimates perform better than maximum likelihood estimates (MLEs) in both scenarios. An illustrative example regarding the waiting times of a bank's customers is provided to compare the EM estimator with the MLE. The analysis of such data can be crucial in bank management.
JOURNAL OF MATHEMATICS
(2022)
Article
Statistics & Probability
Adewale F. Lukman, Benedicta Aladeitan, Kayode Ayinde, Mohamed R. Abonazel
Summary: A new estimator is proposed in this study to estimate the regression coefficients for the Poisson regression model when multicollinearity is a challenge. The theoretical comparison, simulation study, and application results demonstrate that the proposed estimator outperforms other estimators in terms of performance.
JOURNAL OF APPLIED STATISTICS
(2022)
Article
Economics
In Choi, Sanghyun Jung
Summary: This paper introduces new estimators for the panel autoregressive model with short time dimensions and large cross sections, based on a cross-sectional regression model. These estimators, including the quasi-maximum likelihood estimator and bias-corrected pooled least squares estimator, provide consistent estimates for PAR coefficients.
EMPIRICAL ECONOMICS
(2021)
Article
Economics
Kristofer Mansson, B. M. Golam Kibria
Summary: This paper explores both unrestricted and restricted Liu estimators in the context of multicollinearity in the Poisson regression model, introducing new estimators for the shrinkage parameter. Through simulation and empirical application, it is found that the restricted estimator outperforms the unrestricted one, with the restricted Liu estimator showing superior performance to both the unrestricted Liu and restricted Liu estimators. This new method is therefore preferred when the coefficient vector may belong to a linear sub-space.
COMPUTATIONAL ECONOMICS
(2021)
Article
Biochemical Research Methods
Jinge Yu, Xiangyu Luo
Summary: This study developed a new statistical method CTS-V to detect cell-type-specific spatially variable genes. By considering zero-inflation and overdispersion, CTS-V outperforms competing methods at both the aggregated level and the cell-type level. Through simulation studies and analysis of pancreatic ductal adenocarcinoma data, CTS-V reveals biological insights and demonstrates higher power.
Article
Statistics & Probability
Esmeralda A. Ramalho, Joaquim J. S. Ramalho, Rui Evangelista
STATISTICAL METHODS AND APPLICATIONS
(2017)
Article
Economics
Esmeralda A. Ramalho, Joaquim J. S. Ramalho
ECONOMETRIC REVIEWS
(2017)
Article
Economics
Zheng Hou, Catarina Roseta-Palma, Joaquim Jose dos Santos Ramalho
Summary: The study finds that technological change is not necessarily biased towards energy, but rather towards labor. Different economic subsectors demonstrate varying levels of technical inefficiency, primarily influenced by capital deepening and the proportion of financial income.
Article
Business
Flavio Morais, Zelia Serrasqueiro, Joaquim J. S. Ramalho
Summary: The study found heterogeneous effects of country governance mechanisms on zero leverage, with higher quality mechanisms increasing zero-leverage propensity in bank-based countries and decreasing it in market-based countries. Board characteristics and independence had no impact on zero leverage, while higher ownership concentration decreased the propensity for zero-leverage policies in bank-based countries.
CORPORATE GOVERNANCE-THE INTERNATIONAL JOURNAL OF BUSINESS IN SOCIETY
(2022)
Article
Business, Finance
Catarina Proenca, Mario Augusto, Jose Murteira
Summary: This study investigates the impact of earnings management on the efficiency of Eurozone banks. The results show that earnings management, defined as discretionary loan loss provisions, has a negative impact on efficiency. However, when non-discretionary provisions are considered, loan provisions have a positive impact on allocative efficiency.
FINANCE RESEARCH LETTERS
(2023)
Article
Business, Finance
Flavio Morais, Zelia Serrasqueiro, Joaquim J. S. Ramalho
Summary: This paper investigates whether leveraged and zero-leverage firms have a debt target level and if they actively adjust to that target, as well as how the influence of firms' debt policy on capital structure speed of adjustment (SOA) changes with different financial systems, macroeconomic conditions, financial constraints, and financial flexibility levels. Using a sample of European listed firms for the period 1995-2016 and the dynamic panel fractional estimator, the study finds that both zero-leverage and leveraged firms actively adjust to a target debt ratio. It also shows that, in general, leveraged firms have a significantly higher SOA compared to zero-leverage firms, with exceptions during financially constrained periods and the 2008 financial crisis when zero-leverage firms adjusted faster than leveraged firms.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2022)
Article
Business, Finance
Cristina Pereira Pedro, Joaquim J. S. Ramalho, Jacinto Vidigal da Silva
Summary: This paper uses data from 141 countries to identify the variables that best characterize worldwide banking regulation and supervision practices. It finds that deposit insurance, liquidity, diversification requirements, complementary banking activities, and market discipline are reliable indicators to measure regulation, while resolution activities, the mandate of the head of the supervisory agency, and the report of prudential regulation infractions are important for banking supervision. Capital requirements and ownership are of minor relevance and are sensitive to a country's development level. China and Germany have distinct regulation practices, while China and the UK adopt the most stringent supervision policies.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2023)
Article
Business
Flavio Morais, Zelia Serrasqueiro, Joaquim J. S. Ramalho
Summary: This article provides empirical evidence on the zero-leverage phenomenon for European listed firms from 1995 to 2016. It shows that there are two types of firms with zero leverage: financially constrained firms and financially unconstrained firms, influenced by the financial system and macroeconomic conditions. The financial flexibility hypothesis seems to be more important in market-based systems.
BRQ-BUSINESS RESEARCH QUARTERLY
(2021)
Article
Business
Ute Stephan, Susana M. Tavares, Helena Carvalho, Joaquim J. S. Ramalho, Susana C. Santos, Marc van Veldhoven
JOURNAL OF BUSINESS VENTURING
(2020)
Article
Economics
Zheng Hou, Catarina Roseta-Palma, Joaquim J. S. Ramalho
ENVIRONMENT AND DEVELOPMENT ECONOMICS
(2020)
Article
Business, Finance
Flavio Morais, Zelia Serrasqueiro, Joaquim J. S. Ramalho
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2020)
Article
Economics
Cristina Pereira Pedro, Joaquim J. S. Ramalho, Jacinto Vidigal da Silva
REVIEW OF WORLD ECONOMICS
(2018)
Article
Development Studies
Ana Paula Barreira, Joaquim J. S. Ramalho, Thomas Panagopoulos, Maria Helena Guimaraes
Article
Economics
Jose M. R. Murteira, Mario A. G. Augusto
EMPIRICAL ECONOMICS
(2017)
Article
Business
Joaquim J. S. Ramalho, Rui M. S. Rita, Jacinto Vidigal da Silva
INTERNATIONAL SMALL BUSINESS JOURNAL-RESEARCHING ENTREPRENEURSHIP
(2018)