Conditional Maximum Likelihood Estimator Research Articles

Efficient direction-of-arrival estimation via annihilating-based denoising with coprime array

Although the coprime array provides the possibility for performing underdetermined direction-of-arrival (DOA) estimation, its applicable high-performance algorithm is still in demand. In this paper, we propose a new DOA estimation method for coprime array. This method is motivated by the possibility of applying the annihilating filter theory to the non-uniform samples of the complex exponential sum. The non-uniform coarray array is transformed into a uniform linear array by introducing the concept of interpolating via denoising. The model noise caused by finite snapshots is taken into account, and the array noise variance is included as an unknown variable. The annihilating filter is designed by forming a nonlinear annihilating relation constrained least squares problem, which is solved by sequential quadratic programming. The final DOA can be obtained by the rooting method or spectral method, based on the designed filter. This method makes full use of the degree of freedom and signal information and is proved to be an asymptotic conditional maximum likelihood estimator, which leads to high accuracy under both underdetermined and overdetermined scenarios. It is gridless, free of regularization parameter, and even more computationally efficient than the coarray MUSIC method. Its performances are verified by simulations and compared with representative algorithms.

Testing the binomial fixed effects logit model, with an application to female labour supply

Regression models for proportions are frequently encountered in applied work. The conditional expectation function is bounded between 0 and 1 and therefore must be nonlinear, requiring nonstandard panel data extensions. One possible approach is the binomial panel logit model with fixed effects (Machado in J Econom 119:73–98, 2004). We propose a new and simple implementation of this conditional maximum likelihood estimator for standard software. We investigate the properties of the estimator under misspecification and derive a new test for overdispersion. Estimator and test are applied in a study of contracted working volumes, measured as proportion of full-time work, for women in Switzerland.

Modelling and monitoring of INAR(1) process with geometrically inflated Poisson innovations

ABSTRACT To analyse count time series data inflated at the r + 1 values , we propose a new first-order integer-valued autoregressive process with r-geometrically inflated Poisson innovations. Some statistical properties together with conditional maximum likelihood estimate are provided. For the purpose of statistical monitoring, we focus on the cumulative sum chart, exponentially weighted moving average chart and combined jumps chart towards the proposed process. Numerical simulations indicate that the conditional maximum likelihood estimator is unbiased. Moreover, the cumulative sum chart is the best choice to monitor our model in practice. Some applications about telephone complaints data are provided to illustrate the proposed methods.

Improving the Efficiency of Robust Estimators for the Generalized Linear Model

The distance constrained maximum likelihood procedure (DCML) optimally combines a robust estimator with the maximum likelihood estimator with the purpose of improving its small sample efficiency while preserving a good robustness level. It has been published for the linear model and is now extended to the GLM. Monte Carlo experiments are used to explore the performance of this extension in the Poisson regression case. Several published robust candidates for the DCML are compared; the modified conditional maximum likelihood estimator starting with a very robust minimum density power divergence estimator is selected as the best candidate. It is shown empirically that the DCML remarkably improves its small sample efficiency without loss of robustness. An example using real hospital length of stay data fitted by the negative binomial regression model is discussed.

Diagnostic test meta-analysis by empirical likelihood under a Copas-like selection model

The validation of diagnostic test meta-analysis is often threatened by publication bias, which can be commonly characterized by the Copas selection model. Under this model, conventional approaches to diagnostic meta-analysis are based on conditional likelihood. Since they may have efficiency loss, we propose a full likelihood diagnostic meta-analysis method by integrating the usual conditional likelihood and a marginal semi-parametric empirical likelihood. We show that the resulting maximum likelihood estimators (MLEs) have a jointly normal limiting distribution, and the resulting likelihood ratio follows a central chisquare limiting distribution. Our numerical studies indicate that the proposed MLEs often have smaller mean square errors than the conditional likelihood MLEs. The full likelihood ratio interval estimators generally have more accurate coverage probabilities than the conditional-likelihood-based Wald intervals. We re-study two real meta analyses on influenza and mental health respectively for illustration.

Robust Modelling of Coronavirus Cases in Egypt: Poisson INARCH and Negative Binomial INARCH

This study compares robust Poisson INARCH(P) models (more briefly: RP-INARCH) and robust negative binomial INARCH(p) models (more briefly: RNB-INARCH) to fit the new daily confirmed cases for the first wave of COVID 19 in Egypt. The robust estimation of these models is based on some modifications of the Conditional Maximum Likelihood Estimates (CMLE). The simulation results show that RNB-INARCH is more robust than RP-INARCH, but less efficient if the data contain isolated or patched additive outliers in terms of the bias calculation, whereby the low-bias model is more robust. These results are confirmed by the application study on COVID-19 data. The Akaike Information Criterion (AIC) is also compared for these models.

Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model

Bias reduction of a conditional maximum likelihood estimator for a Gaussian second-order moving average model

A New Extension of Thinning-Based Integer-Valued Autoregressive Models for Count Data.

The thinning operators play an important role in the analysis of integer-valued autoregressive models, and the most widely used is the binomial thinning. Inspired by the theory about extended Pascal triangles, a new thinning operator named extended binomial is introduced, which is a general case of the binomial thinning. Compared to the binomial thinning operator, the extended binomial thinning operator has two parameters and is more flexible in modeling. Based on the proposed operator, a new integer-valued autoregressive model is introduced, which can accurately and flexibly capture the dispersed features of counting time series. Two-step conditional least squares (CLS) estimation is investigated for the innovation-free case and the conditional maximum likelihood estimation is also discussed. We have also obtained the asymptotic property of the two-step CLS estimator. Finally, three overdispersed or underdispersed real data sets are considered to illustrate a superior performance of the proposed model.

Holonomic gradient method for two-way contingency tables

The holonomic gradient method gives an algorithm to efficiently and accurately evaluate normalizing constants and their derivatives. We apply the holonomic gradient method in the case of the conditional Poisson or multinomial distribution on two way contingency tables. We utilize the modular method in computer algebra for an efficient and exact evaluation, and we discuss on complexities of these algorithms and their implementation. We also discuss on a theoretical aspect of the distribution from the viewpoint of the conditional maximum likelihood estimation.

Signal detection and inference based on the beta binomial autoregressive moving average model

This paper proposes the beta binomial autoregressive moving average model (BBARMA) for modeling quantized amplitude data and bounded count data. The BBARMA model estimates the conditional mean of a beta binomial distributed variable observed over the time by a dynamic structure including: (i) autoregressive and moving average terms; (ii) a set of regressors; and (iii) a link function. Besides introducing the new model, we develop parameter estimation, detection tools, an out-of-signal forecasting scheme, and diagnostic measures. In particular, we provide closed-form expressions for the conditional score vector and the conditional information matrix. The proposed model was submitted to extensive Monte Carlo simulations in order to evaluate the performance of the conditional maximum likelihood estimators and of the proposed detector. The derived detector outperforms the usual ARMA- and Gaussian-based detectors for sinusoidal signal detection. We also presented an experiment for modeling and forecasting the monthly number of rainy days in Recife, Brazil.

Analysis of progressive Type‐II censoring in presence of competing risk data under step stress modeling

In this article we consider the analysis of progressively censored competing risks data obtained from a simple step‐stress experiment. It is assumed that there are only two competing causes of failures at each stress level and the lifetime distribution of each one of them is one parameter exponential distribution. Based on the cumulative exposure model assumption, the conditional maximum likelihood estimators (MLEs) of the unknown parameters can be obtained in explicit forms. Confidence intervals of the unknown parameters based on the exact distributions of the conditional MLEs and percentile bootstrap method, are constructed. Further we obtain Bayes estimates and the associated credible intervals based on a very flexible Beta‐gamma prior on the unknown parameters. A simulation experiment has been performed to observe the performances of the different estimators.

Maximum information per time unit designs for continuous online item calibration.

Previous designs for online calibration have only considered examinees' responses to items. However, the use of response time, a useful metric that can easily be collected by a computer, has not yet been embedded in calibration designs. In this article we utilize response time to optimize the assignment of new items online, and accordingly propose two new adaptive designs. These are the D-optimal per expectation time unit design (D-ET) and the D-optimal per time unit design (D-T). The former method uses the conditional maximum likelihood estimation (CMLE) method to estimate the expected response times, while the latter employs the nonparametric k-nearest-neighbour method to predict the response times. Simulations were conducted to compare the two new designs with the D-optimal online calibration design (D design) in the context of continuous online calibration. In addition, a preliminary study was carried out to evaluate the performance of CMLE prior to its application in D-ET. The results showed that, compared to the D design, the D-ET and D-T designs saved response time and accrued larger calibration information per time unit, without sacrificing item calibration precision.

A new mixed first-order integer-valued autoregressive process with Poisson innovations

Integer-valued time series, seen as a collection of observations measured sequentially over time, have been studied with deep notoriety in recent years, with applications and new proposals of autoregressive models that broaden the field of study. This work proposes a new mixed integer-valued first-order autoregressive model with Poisson innovations, denoted POMINAR(1), mixing two operators known as binomial thinning and Poisson thinning. The proposed process presents some advantages in relation to the most common Poisson innovation processes: (1) this new process allows to capture structural changes in the data; (2) if there are no structural changes, the most common processes with Poisson innovations are particular cases of POMINAR(1). Another important contribution of this work is the establishment of the POMINAR(1) theoretical results, such as the marginal expectation, marginal variance, conditional expectation, conditional variance, transition probabilities. Moreover, the Conditional Maximum Likelihood (CML) and Yule-Walker (YW) estimators for the process parameters are studied. We also present three techniques for one-step-ahead forecasting, the nearest integer of the conditional expectation, conditional median and mode. A simulation study of the forecasting procedures, considering the two estimators, CML and YW methods, is performed, and prediction intervals are presented. Finally, we show an application of the proposed process to a real dataset, referred here as larceny data, including a residual analysis.

Random coefficients integer-valued threshold autoregressive processes driven by logistic regression

In this article, we introduce a new random coefficients self-exciting threshold integer-valued autoregressive process. The autoregressive coefficients are driven by a logistic regression structure, so that the explanatory variables can be included. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators, as well as the asymptotic properties of the estimators, are discussed. The nonlinearity test of the model and existence test of explanatory variables are also addressed. As an illustration, we evaluate our estimates through a simulation study. Finally, we apply our method to the data sets of sexual offences in Ballina, New South Wales (NSW), Australia, with two covariates of temperature and drug offences. The result reveals that the proposed model fits the data sets well.

Two classes of dynamic binomial integer-valued ARCH models

This paper introduces two classes of binomial integer-valued ARCH models with dynamic survival probabilities, each of which is controlled by a stochastic recurrence equation. Stationarity and ergodicity of the process are established, and stochastic properties are given. Conditional least squares and conditional maximum likelihood estimators for the parameters of interest are considered, and their large-sample properties are established. The performances of these estimators are compared via simulation studies. Finally, we demonstrate the usefulness of the proposed models by analyzing real datasets.

Empirical and conditional likelihoods for two‐phase studies

AbstractTwo‐phase, response‐dependent sampling is often used in regression settings that involve expensive covariate measurements. Conditional maximum likelihood (CML) is an attractive approach in many cases as it avoids modelling of the covariate distribution, unlike full maximum likelihood. Scott & Wild (2011) introduced an augmented CML approach which is semi‐parametric efficient in certain settings with a discrete response variable. We consider general regression models and show the Scott–Wild estimator of covariate effects has the same asymptotic efficiency as two empirical likelihood estimators, and that these estimators dominate the CML estimator. We compare the efficiencies of various estimators in simulation studies and illustrate the methodology in a two‐phase genetics study.

Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data

In this work, we propose a dynamic regression model based on the ConwayŮMaxwell–Poisson (CMP) distribution with time‐varying conditional mean depending on covariates and lagged observations. This new class of ConwayŮMaxwell–Poisson autoregressive moving average (CMP‐ARMA) models is suitable for the analysis of time series of counts. The CMP distribution is a two‐parameter generalization of the Poisson distribution that allows the modeling of underdispersed, equidispersed, and overdispersed data. Our main contribution is to combine this dispersion flexibility with the inclusion of lagged terms to model the conditional mean response, inducing an autocorrelation structure, usually relevant in time series. We present the conditional maximum likelihood estimation, hypothesis testing inference, diagnostic analysis, and forecasting along with their asymptotic properties. In particular, we provide closed‐form expressions for the conditional score vector and conditional Fisher information matrix. We conduct a Monte Carlo experiment to evaluate the performance of the estimators in finite sample sizes. Finally, we illustrate the usefulness of the proposed model by exploring two empirical applications.

Network traffic prediction based on INGARCH model

In this paper, we introduce the integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) as a network traffic prediction model. As the INGARCH is known as a non-linear analytical model that could capture the characteristics of network traffic such as Poisson packet arrival and long-range dependence property, INGARCH seems to be an adequate model for network traffic prediction. Based on the investigation for the traffic arrival process in various network topologies including IoT and VANET, we could confirm that assuming the Poisson process as packet arrival works for some networks and environments of networks. The prediction model is generated by estimating parameters of the INGARCH process and predicting the Poisson parameters of future-steps ahead process using the conditional maximum likelihood estimation method and prediction procedure, respectively. Its performance is compared with those of three different models; autoregressive integrated moving average, GARCH, and long short-term memory recurrent neural network. Anonymized passive traffic traces provided by the Center for Applied Internet Data Analysis are used in the experiment. Numerical results show that the proposed model predicts better than the three models in terms of measurements used in prediction models. Based on the study, we can conclude the followings: INGARCH can capture the characteristics of network traffic better than other statistic models, it is more tractable than neural networks (NNs) overcoming the black-box nature of NNs, and the performances of some statistical models are comparable or even superior to those of NNs, especially when the data is insufficient to apply deep NNs.

On Asymmetric Regression Models with Allowance for Temporal Dependence

Log-symmetric regression models are particularly useful when the response variable is continuous, strictly positive and asymmetric. In this paper, we proposed a class of log-symmetric regression models in the context of correlated errors. The proposed models provide a novel alternative to the existing log-symmetric regression models due to its flexibility in accommodating correlation. We discuss some properties, parameter estimation by the conditional maximum likelihood method and goodness of fit of the proposed model. We also provide expressions for the observed Fisher information matrix. Two Monte Carlo simulation studies are presented to evaluate the performance of the conditional maximum likelihood estimators and two types of residuals. Finally, a full analysis of a real-world environmental data set is presented to illustrate the proposed approach.

Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal

To predict time series of counts with small values and remarkable fluctuations, an available model is the $r$ states random environment process based on the negative binomial thinning operator and the geometric marginal. However, we argue that the aforementioned model may suffer from the following two drawbacks. First, under the condition of no prior information, the overdispersed property of the geometric distribution may cause the predictions fluctuate greatly. Second, because of the constraints on the model parameters, some estimated parameters are close to zero in real-data examples, which may not objectively reveal the correlation relationship. For the first drawback, an $r$ states random environment process based on the binomial thinning operator and the Poisson marginal is introduced. For the second drawback, we propose a generalized $r$ states random environment integer-valued autoregressive model based on the binomial thinning operator to model fluctuations of data. Yule–Walker and conditional maximum likelihood estimates are considered and their performances are assessed via simulation studies. Two real-data sets are conducted to illustrate the better performances of the proposed models compared with some existing models.