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  • 1.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Swedish Univ Agr Sci, Sweden.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Univ Rwanda, Rwanda.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Mean-Squared errors of small area estimators under a multivariate linear model for repeated measures data2019In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 48, no 8, p. 2060-2073Article in journal (Refereed)
    Abstract [en]

    In this paper, we discuss the derivation of the first and second moments for the proposed small area estimators under a multivariate linear model for repeated measures data. The aim is to use these moments to estimate the mean-squared errors (MSE) for the predicted small area means as a measure of precision. At the first stage, we derive the MSE when the covariance matrices are known. At the second stage, a method based on parametric bootstrap is proposed for bias correction and for prediction error that reflects the uncertainty when the unknown covariance is replaced by its suitable estimator.

  • 2.
    John Mwakisisile, Andongwisye
    et al.
    Department of Mathematics, University of Dar es Salaam, Dar es Salaam, Tanzania.
    Larsson, Torbjörn
    Linköping University, Department of Mathematics, Optimization . Linköping University, Faculty of Science & Engineering.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Mushi, Allen
    Department of Mathematics, University of Dar es Salaam, Dar es Salaam, Tanzania.
    Asset liability management for Tanzania pension funds by stochastic programming2018In: Afrika Statistika, ISSN 2316-090XArticle in journal (Refereed)
  • 3.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. University of Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Mean-Squared errors of small area estimators under a multivariate linear model for repeated measures data2018In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, p. 1-23Article in journal (Refereed)
  • 4.
    Pielaszkiewicz, Jolanta
    et al.
    Linnaeus University, Växjö, Sweden.
    von Rosen, Dietrich
    Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    On n/p-Asymptotic Distribution of Vector of Weighted Traces of Powers of Wishart Matrices2018In: The Electronic Journal of Linear Algebra, ISSN 1537-9582, E-ISSN 1081-3810, Vol. 33, p. 24-40Article in journal (Refereed)
    Abstract [en]

    The joint distribution of standardized traces of $\frac{1}{n}XX'$ and of $\Big(\frac{1}{n}XX'\Big)^2$, where the matrix $X:p\times n$ follows a matrix normal distribution is proved asymptotically to be multivariate normal under condition $\frac{{n}}{p}\overset{n,p\rightarrow\infty}{\rightarrow}c>0$. Proof relies on calculations of asymptotic moments and cumulants obtained using a recursive formula derived in Pielaszkiewicz et al. (2015). The covariance matrix of the underlying vector is explicitely given as a function of $n$ and $p$.

  • 5.
    Ngaruye, Innocent
    et al.
    Department of Mathematics, University of Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Small area estimation with missing data using a multivariate linear random effects model2018In: Japanese Journal of Statistics and Data Science, ISSN 2520-8756Article in journal (Refereed)
    Abstract [en]

    In this article small area estimation with multivariate data that follow a monotonic missing sample pattern is addressed. Random effects growth curve models with covariates are formulated. A likelihood based approach is proposed for estimation of the unknown parameters. Moreover, the prediction of random effects and predicted small area means are also discussed.

  • 6.
    Evarest Sinkwembe, Emanuel
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics .
    Berntsson, Fredrik
    Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Yang, Xiangfeng
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Weather Derivatives Pricing Using Regime Switching Model2018In: Monte Carlo Methods and Applications, ISSN 0929-9629, Vol. 24, no 1, p. 13-27Article in journal (Refereed)
    Abstract [en]

    In this study we discuss the pricing of weather derivatives whose underlying weather variable is temperature. The dynamics of temperature in this study follows a two state regime switching model with a heteroskedastic mean reverting process as the base regime and a shifted regime defined by Brownian motion with nonzero drift. We develop mathematical formulas for pricing futures and option contracts on heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. The local volatility nature of the model in the base regime captures very well the dynamics of the underlying process, thus leading to a better pricing processes for temperature derivatives contracts written on various index variables. We use the Monte Carlo simulation method for pricing weather derivatives call option contracts.

  • 7.
    Habyarimana, Cassien
    et al.
    Integrated Polytechnic Regional Centre, Rwanda.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Nzabanita, Joseph
    University of Rwanda, Rwanda.
    Estimation of Parameters in the Growth Curve Model with a Linearly Structured Covariance Matrix: A Simulation Study2017In: International Journal of Scientific Engineering and Technology, ISSN 2277-1581, Vol. 6, no 1, p. 45-49Article in journal (Refereed)
    Abstract [en]

    In this paper, the implementation of algorithm proposed in (Nzabanita, J., et al. 2012) for some known linear structures on the covariance matrix Σ is performed and simulations for different sample sizes are repeated many times. For these simulations, the percentages of non positive definite estimates are produced, and the linear structures are identified and classified. 

  • 8.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Mathematics, College of Science and Technology, University of Rwanda, Kigali, Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Energy and Technology, Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Energy and Technology, Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Mean-squared errors of small area estimators under a multivariate linear model for repeated measures data2017Report (Other academic)
    Abstract [en]

    In this paper, we discuss the derivation of the first and second moments for the proposed small area estimators under a multivariate linear model for repeated measures data. The aim is to use these moments to estimate the mean-squared errors (MSE) for the predicted small area means as a measure of precision. A two stage estimator of MSE is obtained. At the first stage, we derive the MSE when the covariance matrices are known. To obtain an unbiased estimator of the MSE, at the second stage, a method based on parametric bootstrap is  proposed for bias correction and for prediction error that reects the uncertainty when the unknown covariance is replaced by its suitable estimator.

  • 9.
    Berntsson, Fredrik
    et al.
    Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    More on Estimation of Banded and Banded Toeplitz Covariance Matrices2017Report (Other academic)
    Abstract [en]

    In this paper we consider two different linear covariance structures, e.g., banded and bended Toeplitz, and how to estimate them using different methods, e.g., by minimizing different norms.

    One way to estimate the parameters in a linear covariance structure is to use tapering, which has been shown to be the solution to a universal least squares problem. We know that tapering not always guarantee the positive definite constraints on the estimated covariance matrix and may not be a suitable method. We propose some new methods which preserves the positive definiteness and still give the correct structure.

    More specific we consider the problem of estimating parameters of a multivariate normal p–dimensional random vector for (i) a banded covariance structure reflecting m–dependence, and (ii) a banded Toeplitz covariance structure.

  • 10.
    Pielaszkiewicz, Jolanta
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    On E [Pi(k)(i=0) Tr{W-mi}], where W similar to Wp (l, n)2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 6, p. 2990-3005Article in journal (Refereed)
    Abstract [en]

    In this paper, we give a general recursive formula for , where  denotes a real Wishart matrix. Formulas for fixed n, p  are presented as well as asymptotic versions when i.e. when the so called Kolmogorov condition holds. Finally, we show  application of the asymptotic moment relation when deriving moments for the Marchenko-Pastur distribution (free Poisson law). A numerical  illustration using implementation of the main result is also performed.

  • 11.
    John Mwakisisile, Andongwisye
    et al.
    Department of Mathematics, University of Dar es Salaam, Dar es Salaam, Tanzania.
    Larsson, Torbjörn
    Linköping University, Department of Mathematics, Optimization . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Mushi, Allen
    Department of Mathematics, University of Dar es Salaam, Dar es Salaam, Tanzania.
    Projecting Tanzania Pension Fund System2017In: African Journal of Applied Statistics, ISSN 2316-0861, Vol. 4, no 1, p. 193-218Article in journal (Refereed)
    Abstract [en]

    A mandatory Tanzania pension fund with a final salary defined benefit is analyzed. This fund is a contributory pay-as-you-go defined benefit pension system which is much affected by the change in demography. Two kinds of pension benefit, a commuted (at retirement) and a monthly (old age) pension are considered. A decisive factor in the analysis is the increased life expectancy of members of the fund. The projection of the fund’s future members and retirees is done using expected mortality rates of working population and expected longevity. The future contributions, benefits, asset values and liabilities are analyzed. The projection shows that the fund will not be fully sustainable on a long term due to the increase in life expectancy of its members. The contributions will not cover the benefit payouts and the asset value will not fully cover liabilities. Evaluation of some possible reforms of the fund shows that they cannot guarantee a long-term sustainability. Higher returns on asset value will improve the funding ratio, but contributions are still insufficient to cover benefit payouts.

  • 12.
    Evarest, Emanuel
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Berntsson, Fredrik
    Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Charles, Wilson M.
    Department od Mathematics, University of Dar el Salaam, Tanzania.
    Regime Switching models on Temperature Dynamics2017In: International Journal of Applied Mathematics and Statistics, ISSN 0973-1377, E-ISSN 0973-7545, Vol. 56, no 2Article in journal (Refereed)
    Abstract [en]

    Two regime switching models for predicting temperature dynamics are presented in this study for the purpose to be used for weather derivatives pricing. One is an existing model in the literature (Elias model) and the other is presented in this paper. The new model we propose in this study has a mean reverting heteroskedastic process in the base regime and a Brownian motion in the shifted regime. The parameter estimation of the two models is done by the use expectation-maximization (EM) method using historical temperature data. The performance of the two models on prediction of temperature dynamics is compared using historical daily average temperature data from five weather stations across Sweden. The comparison is based on the heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. The expected HDDs, CDDs and CAT of the models are compared to the true indices from the real data. Results from the expected HDDs, CDDs and CAT together with their corresponding daily average plots demonstrate that, our model captures temperature dynamics relatively better than Elias model.

  • 13.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Mathematics, College of Science and Technology, University of Rwanda, Kigali, Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Energy and Technology, Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Small area estimation under a multivariate linear model for incomplete repeated measures data2017Report (Other academic)
    Abstract [en]

    In this paper, the issue of analysis of multivariate repeated measures data that follow a monotonic sample pattern for small area estimation is addressed. Random effects growth curve models with covariates for both complete and incomplete data are formulated. A conditional likelihood based approach is proposed for estimation of the mean parameters and covariances. Further, the prediction of random effects and predicted small area means are also discussed. The proposed techniques may be useful for small area estimation under longitudinal surveys with grouped response units and drop outs.

  • 14.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Nzabanita, Joseph
    Department of Mathematics, University of Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Small Area Estimation under a Multivariate Linear Model for Repeated measures Data2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 21, p. 10835-10850Article in journal (Refereed)
    Abstract [en]

    In this article, Small Area Estimation under a Multivariate Linear model for repeated measures data is considered. The proposed model aims to get a model which borrows strength both across small areas and over time. The model accounts for repeated surveys, grouped response units and random effects variations. Estimation of model parameters is discussed within a likelihood based approach. Prediction of random effects, small area means across time points and per group units are derived. A parametric bootstrap method is proposed for estimating the mean squared error of the predicted small area means. Results are supported by a simulation study.

  • 15.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Mathematics, College of Science and Technology, University of Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Energy and Technology, Swedish University of Agricultural Sciences.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Small area estimation with missing data using a multivariate linear random effects model2017Report (Other academic)
    Abstract [en]

    In this article small area estimation with multivariate data that follow a monotonic missing sample pattern is addressed. Random effects growth curve models with covariates are formulated. A likelihood based approach is proposed for estimation of the unknown  parameters. Moreover, the prediction of random effects and predicted small area means are also discussed.

  • 16.
    Srivastava, Muni S.
    et al.
    University of Toronto, Department of Statistics, Canada.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Test for the mean matrix in a Growth Curve model for high dimensions2017In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 13, p. 6668-6683Article in journal (Refereed)
    Abstract [en]

    In this paper we consider the problem of testing (a) sphericity and (b) intraclass covariance structure under a Growth Curve model. The maximum likelihood estimator (MLE) for the mean in a Growth Curve model is a weighted estimator with the inverse of the sample covariance matrix which is unstable for large p close to N and singular for p larger than N. The MLE for the covariance matrix is based on the MLE for the mean, which can be very poor for p close to N. For both structures (a) and (b), we modify the MLE for the mean to an unweighted estimator and based on this estimator we propose a new estimator for the covariance matrix. This new estimator leads to new tests for (a) and (b). We also propose two other tests for each structure, which are just based on the sample covariance matrix.

    To compare the performance of all four tests we compute for each structure (a) and (b) the attained significance level and the empirical power. We show that one of the tests based on the sample covariance matrix is better than the likelihood ratio test based on the MLE. 

  • 17.
    Pielaszkiewicz, Jolanta
    et al.
    Linnaeus University, Växjö, Sweden.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Testing Independence via Spectral Moments2017In: Springer Proceedings in Mathematics & Statistics, ISSN 2194-1009, Vol. 192, p. 263-274Article in journal (Refereed)
    Abstract [en]

    Assume that a matrix X : p × n is matrix normally distributed and that the Kolmogorov condition, i.e., limn,p→∞ n = c > 0, holds. We propose a test for identity of the covariance matrix using a goodness-of-fit approach. Calculations are based on a recursive formula derived by Pielaszkiewicz et al. The test performs well regarding the power compared to presented alternatives, for both c < 1 or c ≥ 1. 

  • 18.
    Srivastava, Muni S.
    et al.
    Department of Statistics, University of Toronto, Toronto, Canada.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Testing sphericity and intraclass covariance structures under a Growth Curve model in high dimension2017In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 46, no 7, p. 5740-5751Article in journal (Refereed)
    Abstract [en]

    In this article, we consider the problem of testing (a) sphericity and (b) intraclass covariance structure under a growth curve model. The maximum likelihood estimator (MLE) for the mean in a growth curve model is a weighted estimator with the inverse of the sample covariance matrix which is unstable for large p close to N and singular for p larger than N. The MLE for the covariance matrix is based on the MLE for the mean, which can be very poor for p close to N. For both structures (a) and (b), we modify the MLE for the mean to an unweighted estimator and based on this estimator we propose a new estimator for the covariance matrix. This new estimator leads to new tests for (a) and (b). We also propose two other tests for each structure, which are just based on the sample covariance matrix.

    To compare the performance of all four tests we compute for each structure (a) and (b) the attained significance level and the empirical power. We show that one of the tests based on the sample covariance matrix is better than the likelihood ratio test based on the MLE.

  • 19.
    Evarest Sinkwembe, Emanuel
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Berntsson, Fredrik
    Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Yang, Xiangfeng
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Weather derivatives pricing using regim switching models2017Report (Other academic)
    Abstract [en]

    In this study we discuss the pricing of weather derivatives whose underlying weather variable is temperature. The dynamics of temperature in this study follows a two state regime switching model with a heteroskedastic mean reverting process as the base regime and a shifted regime defined by Brownian motion with mean different from zero. We develop the mathematical formulas for pricing futures contract on heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. We also present the mathematical expressions for pricing the corresponding options on futures contracts for the same temperature indices. The local volatility nature of the model in the base regime captures very well the dynamics of the underlying process, thus leading to a better pricing processes for temperature derivatives contracts written on various index variables. We provide the description of Montecarlo simulation method for pricing weather derivatives under this model and use it to price a few weather derivatives call option contracts.

  • 20.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Crop yield estimation at district level for agricultural seasons 2014 in Rwanda2016In: African Journal of Applied Statistics, ISSN 2316-0861, Vol. 3, no 1, p. 69-90Article in journal (Refereed)
    Abstract [en]

    In this paper, we discuss an application of Small Area Estimation (SAE) tech- niques under a multivariate linear regression model for repeated measures data to produce district level estimates of crop yield for beans which comprise two varieties, bush beans and climbing beans in Rwanda during agricultural seasons 2014. By using the micro data of National Institute of Statistics of Rwanda (NISR) obtained from the Seasonal Agricul- tural Survey (SAS) 2014 we derive efficient estimates which show considerable gain. The considered model and its estimates may be useful for policy-makers or for further analyses. 

  • 21.
    Evarest, Emanuel
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Berntsson, Fredrik
    Linköping University, Department of Mathematics, Computational Mathematics. Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Charles, Wilson
    Department of Mathematics, University of Dar es Salaam, Tanzania.
    Regime Switching models on Temperature Dynamics2016Report (Other academic)
    Abstract [en]

    Two regime switching models for predicting temperature dynamics are presented in this study for the purpose to be used for weather derivatives pricing. One is an existing model in the literature (Elias model) and the other is presented in this paper. The new model we propose in this study has a mean reverting heteroskedastic process in the base regime and a Brownian motion in the shifted regime. The parameter estimation of the two models is done by the use expectation-maximization (EM) method using historical temperature data. The performance of the two models on prediction of temperature dynamics is compared using historical daily average temperature data from five weather stations across Sweden. The comparison is based on the heating degree days (HDDs), cooling degree days (CDDs) and cumulative average temperature (CAT) indices. The expected HDDs, CDDs and CAT of the models are compared to the true indices from the real data. Results from the expected HDDs, CDDs and CAT together with their corresponding daily average plots demonstrate that, our model captures temperature dynamics relatively better than Elias model.

  • 22.
    Nzabanita, Joseph
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Mathematics, University of Rwanda, Rwanda.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Bilinear regression model with Kronecker and linear structures for the covariance matrix2015In: Afrika Statistika, ISSN 2316-090X, Vol. 10, no 2, p. 827-837Article in journal (Refereed)
    Abstract [en]

    In this paper, the bilinear regression model based on normally distributed random matrix is studied. For these models, the dispersion matrix has the so called Kronecker product structure and they can be used for example to model data with spatio-temporal relationships. The aim is to estimate the parameters of the model when, in addition, one covariance matrix is assumed to be linearly structured. On the basis of n independent observations from a matrix normal distribution, estimating equations in a flip-flop relation are established and the consistency of estimators is studied.

  • 23.
    Pielaszkiewicz, Jolanta
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Closed Form of the Asymptotic Spectral Distribution of Random Matrices Using Free Independence2015Report (Other academic)
    Abstract [en]

    The spectral distribution function of random matrices is an information-carrying object widely studied within Random matrix theory. Random matrix theory is the main eld placing its research interest in the diverse properties of matrices, with a particular emphasis placed on eigenvalue distribution. The aim of this article is to point out some classes of matrices, which have closed form expressions for the asymptotic spectral distribution function. We consider matrices, later denoted by , which can be decomposed into the sum of asymptotically free independent summands.

    Let  be a probability space. We consider the particular example of a non-commutative space, where  denotes the set of all   random matrices, with entries which are com-plex random variables with finite moments of any order and  is tracial functional. In particular, explicit calculations are performed in order to generalize the theorem given in [15] and illustrate the use of asymptotic free independence to obtain the asymptotic spectral distribution for a particular form of matrix.

    Finally, the main result is a new theorem pointing out classes of the matrix  which leads to a closed formula for the asymptotic spectral distribution. Formulation of results for matrices with inverse Stieltjes transforms, with respect to the composition, given by a ratio of 1st and 2nd degree polynomials, is provided.

  • 24.
    Nzabanita, Joseph
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. University of Rwanda, PO.Box 3900 Kigali, Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Energy and Technology, Swedish University of Agricultural Sciences, SE–750 07 Uppsala, Sweden..
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Extended GMANOVA Model with a Linearly Structured Covariance Matrix2015Report (Other academic)
    Abstract [en]

    In this paper we consider the extended generalized multivariate analysis of variance (GMANOVA) with a linearly structured covariance matrix. The main theme is to find explicit estimators for the mean and for the linearly structured covariance matrix. We show how to decompose the residual space, the orthogonal complement to the mean space, into m + 1 orthogonal subspaces and how to derive explicit estimators of the covariance matrix from the sum of squared residuals obtained by projecting observations on those subspaces. Also an explicit estimator of the mean is derived and some properties of the proposed estimators are studied.

  • 25.
    Nzabanita, Joseph
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. University of Rwanda, Department of Mathematics.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering. Department of Energy and Technology Swedish University of Agricultural Sciences Uppsala, Sweden..
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    Extended GMANOVA Model with a Linearly Structured Covariance Matrix2015In: Mathematical Methods of Statistics, ISSN 1066-5307, E-ISSN 1934-8045, Vol. 24, no 4, p. 280-291Article in journal (Refereed)
    Abstract [en]

    In this paper we consider the extended generalized multivariate analysis of variance (GMANOVA) with a linearly structured covariance matrix. The main theme is to find explicit estimators for the mean and for the linearly structured covariance matrix. We show how to decompose the residual space, the orthogonal complement to the mean space, into m + 1 orthogonal subspaces and how to derive explicit estimators of the covariance matrix from the sum of squared residuals obtained by projecting observations on those subspaces. Also an explicit estimator of the mean is derived and some properties of the proposed estimators are studied. 

  • 26.
    Nzabanita, Joseph
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. University of Rwanda, PO.Box 3900 Kigali, Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. bDepartment of Energy and Technology, Swedish University of Agricultural Sciences, SE–750 07 Uppsala, Sweden..
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Maximum Likelihood Estimation in the Tensor Normal Model with a Structured Mean2015Report (Other academic)
    Abstract [en]

    There is a growing interest in the analysis of multi-way data. In some studies the inference about the dependencies in three-way data is done using the third order tensor normal model, where the focus is on the estimation of the variance-covariance matrix which has a Kronecker product structure. Little attention is paid to the structure of the mean, though, there is a potential to improve the analysis by assuming a structured mean. In this paper, we introduce a 2-fold growth curve model by assuming a trilinear structure for the mean in the tensor normal model and propose an algorithm for estimating parameters. Also, some direct generalizations are presented.

  • 27.
    Karlsson, Emil
    et al.
    Linköping University, Department of Mathematics, Optimization . Linköping University, Faculty of Science & Engineering.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, Faculty of Science & Engineering.
    More on explicit estimators for a banded covariance matrix2015In: Acta et Commentationes Universitatis Tartuensis de Mathematica, ISSN 1406-2283, E-ISSN 2228-4699, Vol. 19, no 1, p. 49-62Article in journal (Refereed)
    Abstract [en]

    The problem of estimating mean and covariances of a multivariate normally distributed random vector has been studied in many forms. This paper focuses on the estimators proposed by Ohlson et al. (2011) for a banded covariance structure with m-dependence. We rewrite the estimator when m = 1, which makes it easier to analyze. This leads to an adjustment, and an unbiased estimator can be proposed. A new and easier proof of consistency is then presented.

    This theory is also generalized to a general linear model where the corresponding theorems and propositions are stated to establish unbiasedness and consistency.

  • 28.
    Pielaszkiewicz, Jolanta
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Energy and Technology, Swedish University of Agricultural Sciences, SE-750 07 Uppsala, Sweden..
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Recursive formula for E(∏i Tr{(WΣ-1)mi}), where W~Wp(∑; n) in finite and asymptotic regime2015Report (Other academic)
    Abstract [en]

    In this paper, we give a general recursive formula for E(∏i Tr{(WΣ-1)mi}), where W~Wp(∑; n) denotes a real Wishart matrix. Formulas for xed n; p are presented as well as asymptotic versions when n/p→c, when n,p→∞ i.e., when the so called Kolmogorov condition holds. Finally, we show application of the asymptotic moment relation when deriving moments for the Marchenko-Pastur distribution (free Poisson law). A numerical illustration using implementation of the main result is also performed.

  • 29.
    Ngaruye, Innocent
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Mathematics, College of Science and Technology, University of Rwanda, P.O. Box 3900 Kigali, Rwanda.
    Nzabanita, Joseph
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Mathematics, College of Science and Technology, University of Rwanda, P.O. Box 3900 Kigali, Rwanda.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Energy and Technology, Swedish University of Agricultural Sciences, SE- 750 07 Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Small Area Estimation under a Multivariate Linear Model for Repeated Measures Data2015Report (Other academic)
    Abstract [en]

    In this paper, we consider small area estimation under a multivariate linear regression model for repeated measures data. The aim of the proposed model is to get a model which borrows strength across small areas and over time, by incorporating simultaneously the area effects and time correlation. The model accounts for repeated surveys, group individuals and random effects variations. Estimation of model parameters is discussed within a restricted maximum likelihood based approach. Prediction of random e ects and the prediction of small area means across time points and per group units for all time points are derived. The results are supported by a simulation study.

  • 30.
    Srivastava, Muni S.
    et al.
    Department of Statistics, University of Toronto, 100 St. George Street, Toronto, Canada, M5S 3G3.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Testing Some Covariance Structures under a Growth Curve Model in High Dimension2015Report (Other academic)
    Abstract [en]

    fIn this paper we consider the problem of testing (a) sphericity and (b) intraclass covariance structure under a Growth Curve model. The maximum likelihood estimator (MLE) for the mean in a Growth Curve model is a weighted estimator with the inverse of the sample covariance matrix which is unstable for large p close to N and singular for p larger than N. The MLE for the covariance matrix is based on the MLE for the mean, which can be very poor for p close to N. or both structures (a) and (b), we modify the MLE for the mean to n unweighted estimator and based on this estimator we propose a new estimator for the covariance matrix. This new estimator leads to new tests for (a) and (b). We also propose two other tests for each structure, which are just based on the sample covariance matrix.    To compare the performance of all four tests we compute or each structure (a) and (b) the attained signicance level and the empirical power. We show that one of the tests based on the sample covariance matrix is better than the likelihood ratio test based on the MLE.

  • 31.
    Pielaszkiewicz, Jolanta
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Swedish University of Agricultural Sciences, Uppsala, Sweden.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Cumulant-moment relation in free probability theory2014In: Acta et Commentationes Universitatis Tartuensis de Mathematica, ISSN 1406-2283, E-ISSN 2228-4699, Vol. 18, no 2, p. 265-278Article in journal (Refereed)
    Abstract [en]

    The goal of this paper is to present and prove a cumulant-moment recurrent relation formula in free probability theory. It is convenient tool to determine underlying compactly supported distribution function. The existing recurrent relations between these objects require the combinatorial understanding of the idea of non-crossing partitions, which has been considered by Speicher and Nica. Furthermore, some formulations are given with additional use of the Möbius function. The recursive result derived in this paper does not require introducing any of those concepts. Similarly like the non-recursive formulation of Mottelson our formula demands only summing over partitions of the set. The proof of non-recurrent result is given with use of Lagrange inversion formula, while in our proof the calculations of the Stieltjes transform of the underlying measure are essential.

  • 32.
    Pielaszkiewicz, Jolanta
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology. Department of Energy and Technology, Swedish University of Agricultural Sciences, SE-750 07 Uppsala, Sweden..
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    On Free Moments and Free Cumulants2014Report (Other academic)
    Abstract [en]

    The concepts of free cumulants and free moments are indispensably related to the idea of freeness introduced by Voiculescu [Voiculescu, D., Proc. Conf., Buşteni/Rom., Lect. Notes Math. 1132(1985), pp. 556-588] and studied further within Free probability theory. Free probability theory is of great importance for both the developing mathematical theories as well as for problem solving methods in engineering.

     

    The goal of this paper is to present theoretical framework for free cumulants and moments, and then prove a new free cumulant-moment relation formula. The existing relations between these objects will be given. We consider as drawback that they require the combinatorial understanding of the idea of non--crossing partitions, which has been considered by Speicher [Speicher, R., Math. Ann., 298(1994), pp. 611-628] and then widely studied and developed by Speicher and Nica [Nica, A. and Speicher, R.:  Lectures on the Combinatorics of Free Probability, Cambridge University Press, Cambridge, United Kingdom, 2006]. Furthermore, some formulations are given with additional use of the Möbius function. The recursive result derived in this paper does not require introducing any of those concepts, instead the calculations of the Stieltjes transform of the underlying measure are essential.

     

    The presented free cumulant--moment relation formula is used to calculate cumulants of degree 1 to 5 as a function of the moments of lower degrees. The simplicity of the calculations can be observed by a comparison with the calculations performed in the classical way using non-crossing partitions. Then, the particular example of non-commutative space i.e., space of p×p matrices X=(Xij)ij, where Xij has finite moments, equipped with functional E(TrX)∕p is investigated.

  • 33.
    Srivastava, Muni S.
    et al.
    Department of Statistics, University of Toronto, 100 St. George Street, Toronto, Canada, M5S 3G3.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Test for the mean matrix in a Growth Curve model for high dimensions2014Report (Other academic)
  • 34.
    Ahmad, M. Rauf
    et al.
    Swedish University of Agricultural Sciences, Uppsala, Sweden and Department of Statistics, Uppsala University, Sweden.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    A note on mean testing for high dimensional multivariate data under non-normality2013In: Statistica neerlandica (Print), ISSN 0039-0402, E-ISSN 1467-9574, Vol. 67, no 1, p. 81-99Article in journal (Refereed)
    Abstract [en]

    A test statistic is considered for testing a hypothesis for the mean vector for multivariate data, when the dimension of the vector, p, may exceed the number of vectors, n, and the underlying distribution need not necessarily be normal. With n,p→∞, and under mild assumptions, but without assuming any relationship between n and p, the statistic is shown to asymptotically follow a chi-square distribution. A by product of the paper is the approximate distribution of a quadratic form, based on the reformulation of the well-known Box's approximation, under high-dimensional set up. Using a classical limit theorem, the approximation is further extended to an asymptotic normal limit under the same high dimensional set up. The simulation results, generated under different parameter settings, are used to show the accuracy of the approximation for moderate n and large p.

  • 35.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ahmad, M. Rauf
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    The Multilinear Normal Distribution: Introduction and Some Basic Properties2013In: Journal of Multivariate Analysis, ISSN 0047-259X, E-ISSN 1095-7243, Vol. 113, no S1, p. 37-47Article in journal (Refereed)
    Abstract [en]

    In this paper, the multilinear normal distribution is introduced as an extension of the matrix-variate normal distribution. Basic properties such as marginal and conditional distributions, moments, and the characteristic function, are also presented.

    The estimation of parameters using a flip-flop algorithm is also briefly discussed.

  • 36.
    Nzabanita, Joseph
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Swedish University of Agricultural Sciences.
    Estimation of parameters in the extended growth curve model with a linearly structured covariance matrix2012In: Acta et Commentationes Universitatis Tartuensis de Mathematica, ISSN 1406-2283, E-ISSN 2228-4699, Vol. 16, no 1, p. 13-32Article in journal (Refereed)
    Abstract [en]

    In this paper the extended growth curve model with two terms and a linearly structured covariance matrix is considered. We propose an estimation procedure that handles linear structured covariance matrices. The idea is first to estimate the covariance matrix when it should be used to define an inner product in a regression space and thereafter reestimate it when it should be interpreted as a dispersion matrix. This idea is exploited by decomposing the residual space, the orthogonal complement to the design space, into three orthogonal subspaces. Studying residuals obtained from projections of observations on these subspaces yields explicit consistent estimators of the covariance matrix. An explicit consistent estimator of the mean is also proposed and numerical examples are given.

  • 37.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ahmad, M. Rauf
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    More on the Kronecker Structured Covariance Matrix2012In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 13-14, p. 2512-2523Article in journal (Refereed)
    Abstract [en]

    In this paper, the multivariate normal distribution with a Kronecker product structured covariance matrix is studied. Particularly focused is the estimation of a Kronecker structured covariance matrix of order three, the so called double separable covariance matrix. The suggested estimation generalizes the procedure proposed by Srivastava et al. (2008) for a separable covariance matrix. The restrictions imposed by separability and double separability are also discussed.

  • 38.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Koski, Timo
    Royal Institute of Technology, Sweden.
    On the Distribution of Matrix Quadratic Forms2012In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 41, no 18, p. 3403-315Article in journal (Refereed)
    Abstract [en]

    A characterization of the distribution of the multivariate quadratic form given by XAX′, where X is a p×n normally distributed matrix and A is an n×n symmetric real matrix, is presented. We show that the distribution of the quadratic form is the same as the distribution of a weighted sum of noncentralWishart distributed matrices. This is applied to derive the distribution of the sample covariance between the rows of X when the expectation is the same for every column and is estimated with the regular mean.

  • 39.
    Srivastava, Muni S.
    et al.
    University of Toronto, Department of Statistics.
    Singull, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Profile Analysis with Random-Effects Covariance Structure2012In: Journal of the Japan Statistical Society, ISSN 1882-2754, E-ISSN 1348-6365, Vol. 42, no 2, p. 145-164Article in journal (Refereed)
    Abstract [en]

    In this paper, we consider a parallel profile model for several groups. Given the parallel profile model we construct tests based on the likelihood ratio, without any restrictions on the parameter space, testing the covariance matrix for random-effects structure or sphericity. Furthermore, given both the parallel profile and random- effects covariance structure the level hypothesis is tested. The attained significance levels and the empirical powers for the given tests in this paper are compared with the tests given by Yokoyama and Fujikoshi (1993) and Yokoyama (1995). 

  • 40.
    Ahmad, M. Rauf
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    A U-statistics Based Approach to Mean Testing for High Dimensional Multivariate Data Under Non-normality2011Report (Other academic)
    Abstract [en]

    A test statistic is considered for testing a hypothesis for the mean vector for multivariate data, when the dimension of the vector, p, may exceed the number of vectors, n, and the underlying distribution need not necessarily be normal. With n, p large, and under mild assumptions, the statistic is shown to asymptotically follow a normal distribution. A by product of the paper is the approximate distribution of a quadratic form, based on the reformulation of well-known Box's approximation, under high-dimensional set up.

  • 41.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Andrushchenko, Zhanna
    Department of Energy and Technology, Swedish University of Agricultural Sciences, Box 7032, SE–750 07 Uppsala, Sweden.
    von Rosen, Dietrich
    Department of Energy and Technology, Swedish University of Agricultural Sciences, Box 7032, SE–750 07 Uppsala, Sweden.
    Explicit Estimators under m-Dependence for a Multivariate Normal Distribution2011In: Annals of the Institute of Statistical Mathematics, ISSN 0020-3157, E-ISSN 1572-9052, Vol. 63, no 1, p. 29-42Article in journal (Refereed)
    Abstract [en]

    The problemof estimating parameters of amultivariate normal p-dimensional random vector is considered for a banded covariance structure reflecting mdependence. A simple non-iterative estimation procedure is suggested which gives an explicit, unbiased and consistent estimator of the mean and an explicit and consistent estimator of the covariance matrix for arbitrary p and m.

  • 42.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics. Linköping University, The Institute of Technology. Linköping University, Department of Mathematics, Mathematical Statistics .
    Ahmad, M. Rauf
    Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
    More on the Kronecker Structured Covariance Matrix2011Report (Other academic)
    Abstract [en]

    In this paper the multivariate normal distribution with a Kronecker product structured covariance matrix is studied. Particularly, estimation of a Kronecker structured covariance matrix of order three, the so called double separable covariance matrix. The estimation procedure, suggested in this paper, is a generalization of the procedure derived by Srivastava et al. (2008), for a separable covariance matrix.

    Furthermore, the restrictions imposed by separability and double separability are discussed.

  • 43.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Srivastava, Muni S.
    University of Toronto, Department of Statistics.
    Profile Analysis for a Growth Curve Model2011Conference paper (Other academic)
    Abstract [en]

    In this talk, we consider profile analysis of several groups where subvectors of the mean vectors are equal. This leads to a profile analysis in a growth curve model. The likelihood ratio statistics are given for the three hypotheses known in literature as parallelism, level hypothesis and flatness. Furthermore, exact and asymptotic distributions are given in the relevant cases. 

  • 44.
    Ahmad, M. Rauf
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ohlson, Martin
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Department of Energy and Technology, Swedish Univerity of Agricultural Sciences, SE-750 07 Uppsala, Sweden.
    Some Tests of Covariance Matrices for High Dimensional Multivariate Data2011Report (Other academic)
    Abstract [en]

    Test statistics for sphericity and identity of the covariance matrix are presented, when the data are multivariate normal and the dimension, p, can exceed the sample size, n. Using the asymptotic theory of U-statistics, the test statistics are shown to follow an approximate normal distribution for large p, also when p >> n. The statistics are derived under very general conditions, particularly avoiding any strict assumptions on the traces of the unknown covariance matrix. Neither any relationship between n and p is assumed. The accuracy of the statistics is shown through simulation results, particularly emphasizing the case when p can be much larger than n. The validity of the commonly used assumptions for high-dimensional set up is also briefly discussed.

  • 45.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics. Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Ahmad, M. Rauf
    Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics. Linköping University, The Institute of Technology.
    The Multilinear Normal Distribution:Introduction and Some Basic Properties2011Report (Other academic)
    Abstract [en]

    In this paper, the multilinear normal distribution is introduced as an extension of the matrix-variate normal distribution. Basic properties such as marginal and conditional distributions, moments, and the characteristic function, are also presented. The estimation of parameters using a flip-flop algorithm is also briefy discussed.

  • 46.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Department of Energy and Technology, Swedish University of Agricultural Sciences, Box 7032, SE–750 07 Uppsala, Sweden.
    Explicit Estimators of Parameters in the Growth Curve Model with Linearly Structured CovarianceMatrices2010In: Journal of Multivariate Analysis, ISSN 0047-259X, E-ISSN 1095-7243, Vol. 101, no 5, p. 1284-1295Article in journal (Refereed)
    Abstract [en]

    Estimation of parameters in the classical Growth Curve model when the covariance matrix has some specific linear structure is considered. In our examples maximum likelihood estimators can not be obtained explicitly and must rely on optimization algorithms. Therefore explicit estimators are obtained as alternatives to the maximum likelihood estimators. From a discussion about residuals, a simple non-iterative estimation procedure is suggested which gives explicit and consistent estimators of both the mean and the linear structured covariance matrix.

  • 47.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    More on the Kronecker structured covariance matrix2010Conference paper (Other academic)
    Abstract [en]

    The Kronecker structured covariance matrix in multivariate normal distribution will be studied. Particularly, the mapping and parametrization which are induced by the Kronecker product are considered.

    Furthermore, estiamtion and the uniqueness of the estimators will be discussed in the case of a covariance matrix which is a Kronecker product of several matrices.

  • 48.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Srivastava, Muni S.
    University of Toronto, Department of Statistics.
    Profile Analysis for a Growth Curve Model2010Conference paper (Other academic)
    Abstract [en]

    In this talk, we consider profile analysis of several groups where the groups have partly equal means. This leads to a profile analysis for a growth curve model. The likelihood ratio statistics are given for the three hypotheses known in literature as parallelism, level hypothesis and flatness. Furthermore, exact and asymptotic distributions are given in the relavant cases.

     

  • 49.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Srivastava, Muni S.
    Univerity of Toronto, Department of Statistics.
    Profile Analysis for a Growth Curve Model2010In: Journal of the Japan Statistical Society, ISSN 1882-2754, E-ISSN 1348-6365, Vol. 40, no 1, p. 1-21Article in journal (Refereed)
    Abstract [en]

    In this paper, we consider profile analysis of several groups where the groups have partly equal means. This leads to a profile analysis for a growth curve model. The likelihood ratio statistics are given for the three hypotheses known in literature as parallelism, level hypothesis and flatness. Furthermore, exact and asymptotic distributions are given in the relevant cases.

  • 50.
    Ohlson, Martin
    et al.
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    von Rosen, Dietrich
    Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.
    Explicit Estimators of Parameters in the Growth Curve Model with Linearly Structured Covariance Matrices2009Report (Other academic)
12 1 - 50 of 62
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