The exponentially weighted moving average (EWMA) is a well-known and popular statistic used for smoothing and forecasting time series and as a process mean estimator, due to its simplicity and ability to capture nonstationarity. The EWMA statistic has been shown to be an optimal mean estimator for a certain disturbance process and an effective estimator for various other processes. In this arti...

Various authors claim to have found evidence of stochastic long-memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemory parameter. Results based on these new methods...

Consider n players whose ‘‘scores’’ are independent and identically distributed values fXigi 1⁄4 1 from some discrete distribution F. We pay special attention to the cases where (i) F is geometric with parameter p-0 and (ii) F is uniform on f1;2; . . . ;Ng; the latter case clearly corresponds to the classical occupancy problem. The quantities of interest to us are, first, the U-statistic W whic...

Estimation of the effect size parameter, D, the standardized difference between population means, is sensitive to heterogeneity of variance (heteroscedasticity), which seems to abound in psychological data. Pooling s2s assumes homoscedasticity, as do methods for constructing a confidence interval for D, estimating D from t or analysis of variance results, formulas that adjust estimates for infl...

Recently, a technique based on pseudo-observations has been proposed to tackle the so called convex hull problem for the empirical likelihood statistic. The resulting adjusted empirical likelihood also achieves the highorder precision of the Bartlett correction. Nevertheless, the technique induces an upper bound on the resulting statistic that may lead, in certain circumstances, to worthless co...

Count data with extra zeros are common in many medical applications. The zero-inflated Poisson (ZIP) regression model is useful to analyse such data. For hierarchical or correlated count data where the observations are either clustered or represent repeated outcomes from individual subjects, a class of ZIP mixed regression models may be appropriate. However, the ZIP parameter estimates can be s...

We consider selection of nested and non-nested semiparametric models. Using profile likelihood we can define both a likelihood ratio statistic and an Akaike information for models with nuisance parameters. Asymptotic quadratic expansion of the log profile likelihood allows derivation of the asymptotic null distribution of the likelihood ratio statistic including the boundary cases, as well as u...

A new test procedure of independence in Copula models via χ 2 Abstract. We introduce a new test procedure of independence in the framework of para-metric copulas with unknown marginals. The method is based essentially on the dual representation of χ 2-divergence on signed finite measures. The asymptotic properties of the proposed estimate and the test statistic are studied under null and altern...

We introduce a family of statistics, based on the empirical moment generating function, for testing goodness of t to the two-parameter Weibull distribution or, equivalently, to the type I extreme value model. The asymptotic distribution of these statistics correspond to functionals of an appropriate gaussian limiting process. For one of the statistics considered, we estimate, via simulations, s...