Bård Støve

NONPARAMETRIC ADDITIVE MODELS FOR PANELS OF TIME SERIES

This paper discusses nonparametric models for panels of time series. There is already a substantial literature on nonlinear models and nonparametric methods in a regression and time series setting. But almost without exception these developments have been limited to univariate and multivariate models of moderate dimensions. Very little has been done for panels, where the dimension, often corresponding to a number of individuals, typically is very large but where the number of observations for each individual may be small or moderate. It is the aim of this paper to start a systematic theoretical treatment of nonparametric models for panels of time series, in particular on additive models. Extending existing methodology to the panel situation is by no means trivial because already for the parametric case many problems are unsolved. Our estimation approach is based on backfitting methods.

Biological Variation: The Effect of Different Distributions on Estimated Within-Person Variation and Reference Change Values

BACKGROUND Good estimates of within-person biological variation, CVI, are essential for diagnosing and monitoring patients and for setting analytical performance specifications. The aim of the present study was to use computer simulations to evaluate the impact of various measurement distributions on different methods for estimating CVI and reference change value (RCV). METHOD Data were simulated on the basis of 3 models for distributions of the within-person effect. We evaluated 3 different methods for estimating CVI: standard ANOVA, ln-ANOVA, and CV-ANOVA, and 3 different methods for calculating RCV: classic, ln-RCV, and a nonparametric method. We estimated CVI and RCV with the different methods and compared the results with the true values. RESULTS The performance of the methods varied, depending on both the size of the CVI and the type of distributions. The CV-ANOVA model performed well for the estimation of CVI with all simulated data. The ln-RCV method performed best if data were ln-normal distributed or CVI was less than approximately 12%. The nonparametric RCV method performed well for all simulated data but was less precise. CONCLUSIONS The CV-ANOVA model is recommended for both calculation of CVI and the step-by-step approach of checking for outliers and homogeneity in replicates and samples. The standard method for calculation of RCV should not be used when using CVs.

A Test for Nonlinearity in Temperature Proxy Records

Are temperature proxy records linear recorders of past temperature conditions? A statistical test for linearity is applied to 15 millennial-long proxy records with an annual resolution that was shown to significantly respond to Northern Hemisphere annual mean temperature selected from a collection of 30 proxies. The test, based on generalized additive modeling, shows that most of the proxies can indeed be shown to be linear functions of annual mean temperature, but two proxy records do not appear to have a linear relationship with temperature—thissupportstheassumptionoflinearityinmostclimatereconstructionwork.Themethodtests for nonlinearity in a proxy relative to the group of proxieswith which it is being used together. The robustness of theresultsis tested,and itwasfound thatthe resultsarestableto thechoiceof proxies.The linearity-testing method is quite general and could in the future be used for larger and more extensive sets of proxies.

Measuring Financial Contagion by Local Gaussian Correlation

This paper examines financial contagion, that is, whether the cross-market linkages in financial markets increases after a shock to a country. We introduce the use of a new measure of local dependence (introduced by Hufthammer and Tjostheim (2009)) to study the contagion effect. The central idea of the new approach is to approximate an arbitrary bivariate return distribution by a family of Gaussian bivariate distributions. At each point of the return distribution there is a Gaussian distribution that gives a good approximation at that point. The correlation of the approximating Gaussian distribution is taken as the local correlation in that neighbourhood. By examining the local Gaussian correlation before the shock (in a stable period) and after the shock (in the crisis period), we are able to test whether contagion has occurred by a proposed bootstrap testing procedure. Examining the Mexican crisis of 1994, the Asian crisis of 1997-1998 and the financial crisis of 2007-2009, we find some evidence of contagion based on our new procedure.

Biological variation: Evaluation of methods for constructing confidence intervals for estimates of within-person biological variation for different distributions of the within-person effect

BACKGROUND Precise estimates of the within-person biological variation, CVI, can be essential both for monitoring patients and for setting analytical performance specifications. The confidence interval, CI, may be used to evaluate the reliability of an estimate, as it is a good measure of the uncertainty of the estimated CVI. The aim of the present study is to evaluate and establish methods for constructing a CI with the correct coverage probability and non-cover probability when estimating CVI. METHOD Data based on 3 models for distributions for the within-person effect were simulated to assess the performance of 3 methods for constructing confidence intervals; the formula based method for the nested ANOVA, the percentile bootstrap and the bootstrap-t methods. RESULTS The performance of the evaluated methods for constructing a CI varied, both dependent on the size of the CVI and the type of distributions. The bootstrap-t CI have good and stable performance for the models evaluated, while the formula based are more distribution dependent. The percentile bootstrap performs poorly. CONCLUSION CI is an essential part of estimation of the within-person biological variation. Good coverage probability and non-cover probabilities for CI are achievable by using the bootstrap-t combined with CV-ANOVA. Supplemental R-code is provided online.