摘要:

The future of statistics as a discipline is discussed as are ways to enhance that future. The presentation includes sections on statistics as a discipline, recruitment into the discipline, training in statistics, the unification of statistics, and concluding remarks. The nature of statistics is reviewed with reference to the views of various practitioners of statistics. It is noted that public attitudes toward science and statistics are not conducive to the recruitment of students to the discipline and that anticipated shortages of personnel must be met by vigorous efforts to attract the best young people to statistics. Suggestions are made for improved training in statistics and for broader programs in continuing education. It is noted that research in statistics should deal both with topics motivated by problems of the real world and with the foundations of statistical inference. Specific recommendations are made that should strengthen statistics in the future and lead to its continued unification.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477760

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

Bivariate time series models have been used extensively to analyze the relationship between pairs of economic variables. Various tests have been proposed that can be used to examine the adequacy of specific models. The empirical literature is noteworthy for the frequency with which different authors using different tests reach different conclusions, and for the apparent lack of evidence for certain relationships strongly suggested by economic theory. The objective of this study is to use Monte Carlo methods to examine the size and power of alternative tests, and to relate these findings to the analytical structure of the tests.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477761

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

This article explores the identical distribution hypothesis for stock-price changes through a set of optimum non-parametric tests for randomness against location- and scale-shift alternatives. An application of these tests to the daily, weekly, monthly, and quarterly rates of return from 1966 through 1976 for each of the first 15 stocks in the Dow Jones Industrial Average reveals that these series may have constant location parameters throughout the sample period, but the stability of their scale parameters is questionable.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477762

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

In this article we provide a statistical procedure for the analysis of stock market prices that is robust toward departures from the normal distribution assumption and that can detect and evaluate a shift of parameters at an unknown time point. The method is an adaptation of a Bayesian inferential procedure developed by Box and Tiao that allows data to deviate moderately from the normal distribution model. It is applied to a set of U.S. stock market prices for 1971–1974. In addition to the detection of shift in distribution parameters, the procedure is also applied to the examination of shift of the “beta coefficients” that represent the degree of undiversifiable (systematic) risk of individual securities. Implications of the empirical findings for financial theories and their applications are sketched.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477763

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

Although rank tests for randomness were proposed in the literature as early as 1943, no such test has gained wide acceptance comparable to, say, Spearman's rho test. This may be due to the lack of small-sample theory and of tables of critical values to enable such a test to be carried out on small samples. In this article, we consider the rank version of the von Neumann ratio statistic and we obtain the critical values of this statistic under the randomization hypothesis. In a Monte Carlo experiment we then show that the resulting nonparametric test for randomness has far greater power than the test based on the number of runs up and down. Moreover, under normality, its power vis-a-vis the normal theory von Neumann ratio test is also very good. It is therefore suggested that with the tables presented in this article, the rank von Neumann ratio test for randomness provides an easy and powerful alternative to nonparametric tests now in common use.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477764

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

We propose a simple nonparametric statistic using sample quartiles to test differences in distribution. Simulation results suggest that the test is about equal in power over a wide range of alternatives to the familiar procedure of Kolmogorov and Smirnov. When the two distributions compared differ in both location and dispersion, the quartile test may be more sensitive than the Kolmogorov-Smirnov, Wilcoxon rank-sum, Siegel-Tukey, and runs tests.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477765

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

Graphical displays deserve to be a routine part of seasonal adjustment, and their routine use is now feasible because of the current revolution in computer graphical hardware and software. We present and illustrate seven graphical displays that provide powerful tools for judging the adequacy of the seasonal adjustment of a series and for understanding the behavior of the trend, seasonal, and irregular components.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477766

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

This article proposes a model-based procedure to decompose a time series uniquely into mutually independent additive seasonal, trend, and irregular noise components. The series is assumed to follow the Gaussian ARIMA model. Properties of the procedure are discussed and an actual example is given.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477767

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

The estimator holding the central place in the theory of the multivariate “errors-in-the-variables” (EV) model results from performing orthogonal regression on variables rescaled according to the covariance matrix of the errors. Our simulations on the univariate model essentially relegate this estimator to use only in large samples on data with no trace of outlier contamination. A modification requiring a robust preliminary slope is proposed that essentially sets out the generalization to EV of the robustw-estimator in regression. It is demonstrated that the modification is robust to outlier contamination even in small samples, given a sufficiently good preliminary estimator. Candidates for a preliminary slope estimator based on the data are discussed and the performance of one under simulation is examined.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477768

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor

摘要:

We consider the use of interval-valued probabilities to represent the support lent to the hypothesis that the parameter value θ lies in a subsetAof the parameter set Θ when we observex, know the likelihoods {fΘ: θεΘ}, and have some prior information concerning the parameter. Our model for prior information is that of a salient prior distribution in which we have little confidence, although we have much less confidence in any alternative prior. We consider notions of acceptable and coherent decision making as well as notions of being able to achieve a Bayes rule and least commitment. Throughout we are motivated to preserve some of the elements of Bayesian decision making without thereby committing ourselves to unwarranted claims of knowledge.

ISSN:0162-1459    

DOI:10.1080/01621459.1982.10477769

出版商:Taylor & Francis Group    

年代:1982

数据来源: Taylor