Asymptotic Mean Research Articles

On the cluster of the families of hybrid polynomial kernels in kernel density estimation

This study introduces a novel cluster of hybrid polynomial kernel families, designed to achieve significantly lower asymptotic mean integrated squared error compared to traditional kernels. These hybrid kernels are developed by heuristically combining classical polynomial kernels using probability axioms. An in-depth analysis of error propagation within these kernels is conducted, utilizing both simulation experiments and real-life datasets, including the Life Span of Batteries and COVID-19 datasets. The findings consistently demonstrate that the proposed hybrid kernels outperform their classical counterparts in various density estimation tasks across different distribution types and sample sizes. This research highlights the potential of hybrid polynomial kernels to enhance accuracy in density estimation, advocating for their adoption in statistical modelling and analysis.

Stability of stochastic difference equations with multiplicative and additive fading noise

In this paper, the effects of multiplicative and additive fading stochastic perturbations on the solutions of stochastic difference equations are studied, in which the strength of fading stochastic perturbations is square summable. Different from the existing research, this paper mainly studies the influence of two kinds of stochastic perturbations on the stability of the system, and applies the Lyapunov functional method, the asymptotic mean square trivial sufficiency conditions are obtained for the solutions of stochastic difference equations which based on the influence of multiplicative and additive fading noises. At the same time, the conditions of stochastic perturbation fading rate are obtained. Finally, the above conditions are verified by numerical simulation examples, and the results of numerical simulation show that: (1) the additive perturbations have less influence on the system than the multiplicative perturbations; (2) the fading stochastic perturbations can make the system reach a stable state in a faster time.

Asymptotic properties for generalized edge frequency polygon of nonparametric density estimation

This article pays attention to the generalized edge frequency polygon. By taking weighted averages of the heights in the neighbouring 2 k ( k ≥ 1 ) bins, we can reduce the asymptotic mean integrated squared error than that of the frequency polygon estimator. As a density estimator based on histogram technique, the generalized edge frequency polygon has the advantage of computational simplicity and has been widely used in many fields. The purpose of this article is to investigate the weak consistency, the uniformly weak consistency and the rate of the uniformly weak consistency for generalized edge frequency polygon of density function under α-mixing samples, which improve and extend those of frequency polygon in the literature. In particular, the simulation study and real data analysis based on finite samples are performed to verify the validity of the theoretical results.

Asynchronous sliding‐mode control for two‐dimensional nonlinear Markov jump systems with time‐varying delays

AbstractBased on the Roesser model, the asynchronous sliding‐mode control (SMC) problem for two‐dimensional (2‐D) Markov jump systems (MJSs) with time‐varying delays is studied in this article. Since the controller mode cannot always access the system mode, the asynchronous phenomenon between the system mode and the controller mode will be described by the hidden Markov model (HMM). First, under the framework of HMM, the asynchronous 2D‐SMC law is designed based on 2‐D sliding surface function to ensure closed‐loop 2‐D discrete MJSs asymptotic mean square stability and the reachability of sliding regions around specific sliding surfaces. Second, an algorithm for deducing the law of 2‐D asynchronous SMC is presented. Finally, a numerical example is given to verify the effective of the results.

Stability of equilibrium states for a stochastic difference equation of exponential form

It is well know that many process and problems in different fields of sciences and engineering can be modelled by linear and nonlinear difference equations. Particularly, in case of systems biology, ecology, biochemistry, genetics and physiology dynamics, many population models are governed by exponential difference equations, and lot of papers were published in this matter. The goal of this work is to study a nonlinear second order difference equation of exponential form: Xn+1 = bXn + cXne−σXn−1, n ≥ 0 where the parameters b, c have arbitrary values, σ > 0 and the initial values, X0, X−1 are arbitrary positive numbers. Our equation has an equilibrium points and is exposed to additive stochastic perturbations that are assumed a sequence of independent random variables with zero mean, unit variance and these perturbations are proportional to the deviation of the system state Xn from equilibrium points, and the result is stochastic difference equation. We cannot find the solutions of nonlinear stochastic difference equations of exponential form in all cases. So, one can study the behavior of solutions by asymptotic stability of equilibrium points. Additionally, with the general method of Lyapunov functional constructions for stochastic difference equations with discrete time, we provide the necessary and sufficient conditions for the asymptotic mean square stability of the two equilibrium points (zero and positive) within the linear approximation of the stochastic difference equation. These conditions also serve as sufficient conditions for the stability in probability of the equilibrium points of the initial nonlinear equation. Finally, to demonstrate the validity of the obtained results, some numerical examples and simulations of equations solutions are made and numerous graphical illustrations of stability trajectories of solutions are plotted.

Asynchronous Control of 2-D Markov Jump Roesser Systems With Nonideal Transition Probabilities.

This article intends to study the asynchronous control problem for 2-D Markov jump systems (MJSs) with nonideal transition probabilities (TPs) under the Roesser model. Two practical considerations motivate the current work. First, considering that the system mode cannot always be observed accurately, a hidden Markov model (HMM) is adopted to describe the relationship between the mismatched modes. Second, considering that the TPs information related to the Markov process and the observation process is difficult to obtain, the nonideal TPs (unknown or uncertain) are simultaneously considered on the two processes. Under the considerations, several new sufficient conditions are developed for concerned closed-loop 2-D MJSs with nonideal TPs, by which the asymptotic mean square stability is ensured with an H∞ performance index. A nonconservative separation strategy is utilized to decouple the system mode TPs and the observation TPs to facilitate the analysis of nonideal TPs. An unified LMI-based condition is finally developed for the concerned closed-loop 2-D MJSs with/without nonideal TPs, showing more satisfactory conservatism than that in the literature. In the end, we present two examples to validate the superiority of the proposed design method.

Exogeneity tests and weak identification in IV regressions: Asymptotic theory and point estimation

This paper provides new insights on exogeneity tests in linear IV models and their use for estimation, when identification fails or may not be strong. We make two main contributions. First, we show that Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) exogeneity tests have correct level asymptotically, even when the first-stage coefficient matrix (which controls identification) is rank-deficient. We provide necessary and sufficient conditions under which these tests are consistent. In particular, we show that test consistency can hold even when identification fails, provided at least one component of the structural parameter vector is identifiable. Second, we study point estimation after estimator (or model) selection, when the outcome of a DWH/RH test determines whether OLS or an IV method is employed in the second-stage. For this purpose, we use (non-local) concepts of asymptotic bias, asymptotic mean squared error (AMSE), and asymptotic relative efficiency (ARE), which remain applicable even when the estimators considered do not have moments (as can happen for 2SLS) or may be inconsistent. We study the asymptotic properties of OLS, 2SLS, and pretest estimators which select OLS or 2SLS based on the outcome of a DWH/RH test. We show that: (i) OLS typically dominates 2SLS estimator asymptotically for MSE across a broad spectrum of cases, including weak identification and moderate endogeneity; (ii) exogeneity-pretest estimators exhibit consistently good performance and asymptotically dominate both OLS and 2SLS. The proposed theoretical findings are documented by Monte Carlo simulations.

Selecting Invalid Instruments to Improve Mendelian Randomization with Two-Sample Summary Data.

Mendelian randomization (MR) is a widely-used method to estimate the causal relationship between a risk factor and disease. A fundamental part of any MR analysis is to choose appropriate genetic variants as instrumental variables. Genome-wide association studies often reveal that hundreds of genetic variants may be robustly associated with a risk factor, but in some situations investigators may have greater confidence in the instrument validity of only a smaller subset of variants. Nevertheless, the use of additional instruments may be optimal from the perspective of mean squared error even if they are slightly invalid; a small bias in estimation may be a price worth paying for a larger reduction in variance. For this purpose, we consider a method for "focused" instrument selection whereby genetic variants are selected to minimise the estimated asymptotic mean squared error of causal effect estimates. In a setting of many weak and locally invalid instruments, we propose a novel strategy to construct confidence intervals for post-selection focused estimators that guards against the worst case loss in asymptotic coverage. In empirical applications to: (i) validate lipid drug targets; and (ii) investigate vitamin D effects on a wide range of outcomes, our findings suggest that the optimal selection of instruments does not involve only a small number of biologically-justified instruments, but also many potentially invalid instruments.

Kinetic modeling of a Sznajd opinion model on social networks

In this paper, we study a kinetic modeling of opinion formation on social networks in which the distribution function depends on both the opinion and the connectivity of the agents. The opinion exchange process is governed by a Sznajd-type model with three opinions, [Formula: see text], 0, and the social network is represented statistically with connectivity denoting the number of contacts of a given individual. It is commonly accepted that, in social networks, the opinion of the agents with a higher connectivity, i.e. a larger number of followers, is more convincing than that of the agents with a lower number of followers. By the kinetic modeling approach, we derived the asymptotic mean opinion of a social network in terms of the initial opinion and the connectivity of the agents. The present work extends the result in [N. Loy, M. Raviola and A. Tosin, Opinion polarisation in social networks, Phil. Trans. R. Soc. A 380, 20210158 (2021)] where only binary opinions, [Formula: see text], were considered, that indecisive people who cannot make a clear choice between [Formula: see text] are allowed in this study.

Improved estimators in bell regression model with application

In this paper, we propose the application of shrinkage strategies to estimate coefficients in the Bell regression models when prior information about the coefficients is available. The Bell regression models are well-suited for modelling count data with multiple covariates. Furthermore, we provide a detailed explanation of the asymptotic properties of the proposed estimators, including asymptotic biases and mean squared errors. To assess the performance of the estimators, we conduct numerical studies using Monte Carlo simulations and evaluate their simulated relative efficiency. The results demonstrate that the suggested estimators outperform the unrestricted estimator when prior information is taken into account. Additionally, we present an empirical application to demonstrate the practical utility of the suggested estimators.

Recursive generalized gamma kernel density estimation for nonnegative dependent data

In this article, we consider the recursive generalized gamma (GG) kernel density estimator (KDE) for nonnegative dependent data from stationary α-mixing process. Asymptotic bias, variance and mean integrated squared error are provided. Simulation experiments from an autoregressive conditional duration model and a stochastic volatility model are conducted to compare the recursive GG KDE with non-recursive GG KDE. Two applications are provided for nonnegative time series data.

Regression estimation for continuous-time functional data processes with missing at random response

In this paper, we are interested in nonparametric kernel estimation of a generalised regression function based on an incomplete sample ( X t , Y t , ζ t ) t ∈ [ 0 , T ] copies of a continuous-time stationary and ergodic process ( X , Y , ζ ) . The predictor X is valued in some infinite-dimensional space, whereas the real-valued process Y is observed when the Bernoulli process ζ = 1 and missing whenever ζ = 0 . Uniform almost sure consistency rate as well as the evaluation of the conditional bias and asymptotic mean square error are established. The asymptotic distribution of the estimator is provided with a discussion on its use in building asymptotic confidence intervals. To illustrate the performance of the proposed estimator, a first simulation is performed to compare the efficiency of discrete-time and continuous-time estimators. A second simulation is conducted to discuss the selection of the optimal sampling mesh in the continuous-time case. Then, a third simulation is considered to build asymptotic confidence intervals. An application to financial time series is used to study the performance of the proposed estimator in terms of point and interval prediction of the IBM asset price log-returns. Finally, a second application is introduced to discuss the usage of the initial estimator to impute missing household-level peak electricity demand.

On the fourth-order hybrid beta polynomial kernels in kernel density estimation

This paper introduces a novel family of fourth-order hybrid beta polynomial kernels tailored for statistical analysis. The efficacy of these kernels is evaluated using two principal performance metrics: asymptotic mean integrated squared error (AMISE) and kernel efficiency. Comprehensive assessments were conducted using both simulated and real-world datasets, enabling a thorough comparison with conventional fourth-order polynomial kernels. The evaluation process entailed computing AMISE and efficiency metrics for both the hybrid and classical kernels. Consistently, the results illustrated the superior performance of the hybrid kernels over their classical counterparts across diverse datasets, underscoring the robustness and effectiveness of the hybrid approach. By leveraging these performance metrics and conducting evaluations on simulated and real world data, this study furnishes compelling evidence supporting the superiority of the proposed hybrid beta polynomial kernels. The heightened performance, evidenced by lower AMISE values and elevated efficiency scores, strongly advocates for the adoption of the proposed kernels in statistical analysis tasks, presenting a marked improvement over traditional kernels.

A reliable data-based smoothing parameter selection method for circular kernel estimation

A new data-based smoothing parameter for circular kernel density (and its derivatives) estimation is proposed. Following the plug-in ideas, unknown quantities on an optimal smoothing parameter are replaced by suitable estimates. This paper provides a circular version of the well-known Sheather and Jones bandwidths (J R Stat Soc Ser B Stat Methodol 53(3):683–690, 1991. https://doi.org/10.1111/j.2517-6161.1991.tb01857.x), with direct and solve-the-equation plug-in rules. Theoretical support for our developments, related to the asymptotic mean squared error of the estimator of the density, its derivatives, and its functionals, for circular data, are provided. The proposed selectors are compared with previous data-based smoothing parameters for circular kernel density estimation. This paper also contributes to the study of the optimal kernel for circular data. An illustration of the proposed plug-in rules is also shown using real data on the time of car accidents.

Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters

AbstractA pairs trading strategy (PTS) constructs a mean-reverting portfolio whose logarithmic value moves back and forth around a mean price level. It makes profits by longing (or shorting) the portfolio when it is underpriced (overpriced) and closing the portfolio when its value converges to the mean price level. The cointegration-based PTS literature uses the historical sample mean and variance to establish their open/close thresholds, which results in bias thresholds and less converged trades. We derive the asymptotic mean around which the portfolio value oscillates. Revised open/close thresholds determined by our asymptotic mean and standard derivations significantly improve PTS performance. The derivations of asymptotic means can be extended to construct a convergence rate filter mechanism to remove stock pairs that are unlikely to be profitable from trading to further reduce trading risks. Moreover, the PTS literature oversimplifies the joint problem of examining a stock pair’s cointegration property and selecting the fittest vector error correction model (VECM). We propose a two-step model selection procedure to determine the cointegration rank and the fittest VECM via the trace and likelihood ratio tests. We also derive an approximate simple integral trading volume ratio to meet no-odd-lot trading constraints. Experiments from Yuanta/P-shares Taiwan Top 50 Exchange Traded Fund and Yuanta/P-shares Taiwan Mid-Cap 100 Exchange Traded Fund constituent stock tick-by-tick backtesting during 2015–2018 show remarkable improvements by adopting our approaches.

Generalised local polynomial estimators of smooth functionals of a distribution function with nonnegative support

This paper introduces generalised smooth asymmetric kernel estimators for smooth functionals with non-negative support. More precisely, for x ∈ [ 0 , ∞ ) , and for a functional, Φ ( x , F ) of the distribution function F, we develop estimators of the functional Φ and its derivatives. The proposed estimator can be seen as the solution to a minimisation problem in the polynomial space L 2 ( q ) , where q is an asymmetric density function. The framework presented here covers several classical nonparametric functional estimators and is linked with estimation using hierarchical kernels. We establish the asymptotic properties of the proposed estimators in the general framework. Furthermore, special attention is paid to comparing the asymptotic mean integrated square error (AMISE) of the proposed estimator with that of other classical symmetric/asymmetric density estimators. Additionally, a comparison of finite sample behaviour is conducted for both density estimation and hazard rate estimation via simulation and real data application.

Nonlinear asymptotic mean value characterizations of holomorphic functions

Starting from a characterization of holomorphic functions in terms of a suitable mean value property, we build some nonlinear asymptotic characterizations for complex-valued solutions of certain nonlinear systems, which have to do with the classical Cauchy-Riemann equations. From these asymptotic characterizations, we derive suitable asymptotic mean value properties, which are used to construct appropriate vectorial dynamical programming principles. The aim is to construct approximation schemes for the so-called contact solutions, recently introduced by N. Katzourakis, of the nonlinear systems here considered.

A brief review on stability investigations of numerical methods for systems of stochastic differential equations

<abstract><p>A modest review on stability investigations of numerical methods for systems of Itô-interpreted stochastic differential equations (SDEs) driven by $ m $-dimensional Wiener processes $ W = (W^1, W^2, ..., W^m) $ is presented in $ \mathbb{R}^d $. Since the problem of relevance of 1D test equations for multidimensional numerical methods has not completely been solved so far, we suggest to use the Krein-Perron-Frobenius theory of positive operators on positive cones of $ \mathbb{R}^{d \times d} $, instead of classic stability functions with values in $ \mathbb{C}^1 $, which is only relevant for the very restricted case of "simultaneously diagonalizable" SDEs. Our main focus is put on the concept of asymptotic mean square and almost sure (a.s.) stability for systems with state-dependent noise (multiplicative case), and the concept of exact preservation of asymptotic probabilistic quantities for systems with state-independent noise (additive case). The asymptotic exactness of midpoint methods with any equidistant step size $ h $ is worked out in order to underline their superiority within the class of all drift-implicit, classic theta methods for multidimensional, bilinear systems of SDEs. Balanced implicit methods with appropriate weights can also provide a.s. exact, asymptotically stable numerical methods for pure diffusions. The review on numerical stability is based on "major breakthroughs" of research for systems of SDEs over the last 35 years, with emphasis on applicability to all dimensions $ d \ge 1 $.</p></abstract>

Optimal subsampling for the Cox proportional hazards model with massive survival data

Massive survival data has become common in survival analysis. In this study, a subsampling algorithm is proposed for Cox proportional hazards model with time-dependent covariates when the sample size is extraordinarily large but the computing resources are relatively limited. A subsample estimator is developed by maximizing a weighted partial likelihood, and shown to have consistency and asymptotic normality. By minimizing the asymptotic mean squared error of the subsample estimator, the optimal subsampling probabilities are formulated with explicit expression. Simulation studies show that the proposed method has satisfactory performances in approximating the full data estimator. The proposed method is applied to the corporate loan data and breast cancer data, with different censoring rates, and the outcome also confirms the practical advantages.

Multistep Forecast Averaging with Stochastic and Deterministic Trends

This paper presents a new approach to constructing multistep combination forecasts in a nonstationary framework with stochastic and deterministic trends. Existing forecast combination approaches in the stationary setup typically target the in-sample asymptotic mean squared error (AMSE), relying on its approximate equivalence with the asymptotic forecast risk (AFR). Such equivalence, however, breaks down in a nonstationary setup. This paper develops combination forecasts based on minimizing an accumulated prediction errors (APE) criterion that directly targets the AFR and remains valid whether the time series is stationary or not. We show that the performance of APE-weighted forecasts is close to that of the optimal, infeasible combination forecasts. Simulation experiments are used to demonstrate the finite sample efficacy of the proposed procedure relative to Mallows/Cross-Validation weighting that target the AMSE as well as underscore the importance of accounting for both persistence and lag order uncertainty. An application to forecasting US macroeconomic time series confirms the simulation findings and illustrates the benefits of employing the APE criterion for real as well as nominal variables at both short and long horizons. A practical implication of our analysis is that the degree of persistence can play an important role in the choice of combination weights.