Quantitative portfolio allocation requires the accurate and tractable estimation of covariances between a large number of assets, whose histories can greatly vary in length. Such data are said to follow a monotone missingness pattern, under which the likelihood has a convenient factorization. Upon further assuming that asset returns are multivariate normally distributed, with histories at least...

The unit root tests based on the robust estimator for the first-order autoregressive process are proposed and compared with the unit root tests based on the ordinary least squares (OLS) estimator. The percentiles of the null distributions of the unit root test are also reported. The empirical probabilities of Type I error and powers of the unit root tests are estimated via Monte Carlo simulatio...

Quantitative portfolio allocation requires the accurate and tractable estimation of covariances between a large number of assets, whose histories can greatly vary in length. Such data are said to follow a monotone missingness pattern, under which the likelihood has a convenient factorization. Upon further assuming that asset returns are multivariate normally distributed, with histories at least...

Studies of urban ecological systems can be greatly enhanced by combining ecosystem modelling and remote sensing which often requires establishing statistical relationships between field and remote sensing data. At the Central Arizona–Phoenix Long-Term Ecological Research (CAPLTER) site in the southwestern USA, we estimated vegetation abundance from Landsat ETM + acquired at three dates by compu...

Approximate model equations often relate given measurements to unknown parameters whose estimate is sought. The Least-Squares (LS) estimation criterion assumes the measured data to be exact, and seeks parameters which minimize the model errors. Existing extensions of LS, such as the Total LS (TLS) and Constrained TLS (CTLS) take the opposite approach, namely assume the model equations to be exa...

For the family data from Genetic Analysis Workshop 17, we obtained heritability estimates of quantitative traits Q1 and Q4 using the ASSOC program in the S.A.G.E. software package. ASSOC is a family-based method that estimates heritability through the estimation of variance components. The covariate-adjusted mean heritability was 0.650 for Q1 and 0.745 for Q4. For the unrelated individuals data...