Statistical Inference, Econometric Analysis and Matrix Algebra: Festschrift in Honour of Gotz Trenkler

423 Pages·2008·16.62 MB·English

by  Bernhard Schipp

Statistical Inference, Econometric Analysis
and Matrix Algebra
Bernhard Schipp (cid:129) Walter Krämer
Editors
Statistical Inference,
Econometric Analysis
and Matrix Algebra
Festschrift in Honour of Götz Trenkler
ABC
Editors
Prof.Dr.BernhardSchipp Prof.Dr.WalterKrämer
TUDresden TUDortmund
FakultätWirtschaftswissenschaften FakultätStatistik
ProfessurfürQuantitativeVerfahren,insb. LehrstuhlfürWirtschafts-
Ökonometrie undSozialstatistik
Mommsenstr.12 Vogelpothsweg78
01062Dresden 44221Dortmund
Germany Germany
[e-mail] [e-mail]
ISBN:978-3-7908-2120-8 e-ISBN:978-3-7908-2121-5
LibraryofCongressControlNumber:2008936140
(cid:2)c 2009Physica-VerlagHeidelberg
Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialis
concerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,
reproductiononmicrofilmorinanyotherway,andstorageindatabanks.Duplicationofthispublication
orpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,
1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.Violations
areliabletoprosecutionundertheGermanCopyrightLaw.
Theuseofgeneral descriptive names,registered names, trademarks, etc. inthis publication does not
imply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotective
lawsandregulationsandthereforefreeforgeneraluse.
Coverdesign:WMXDesignGmbH,Heidelberg
Printedonacid-freepaper
9 8 7 6 5 4 3 2 1
springer.com
Prof.Dr.GötzTrenkler
Preface
ThisFestschriftisdedicatedtoGötzTrenklerontheoccasionofhis65thbirthday.
As can be seen from the long list of contributions, Götz has had and still has
an enormous range of interests, and colleagues to share these interests with. He
is a leading expert in linear models with a particular focus on matrix algebra in
its relation to statistics. He has published in almost all major statistics and matrix
theoryjournals.Hisresearchactivitiesalsoincludeotherareas(likenonparametrics,
statistics and sports, combination of forecasts and magic squares, just to mention
afew).
GötzTrenklerwasborninDresdenin1943.AfterhisschoolyearsinEastGer-
manyandWest-Berlin,heobtainedaDiplomainMathematicsfromFreeUniversity
of Berlin (1970), where he also discovered his interest in Mathematical Statistics.
In1973,hecompletedhisPh.D.withathesistitled:Onadistance-generatingfunc-
tion of probability measures. He then moved on to the University of Hannover to
becomeLecturerandtowriteahabilitation-thesis(submitted1979)onalternatives
totheOrdinaryLeastSquaresestimatorintheLinearRegressionModel,atopicthat
wouldbecomehispredominantfieldofresearchintheyearstocome.
In1983GötzTrenklerwasappointedFullProfessorofStatisticsandEconomet-
ricsattheDepartmentofStatisticsattheUniversityofDortmund,wherehecontin-
uestoteachanddoresearchuntiltoday.Heservedasdeanofthedepartmentfrom
1987to1990anddeclinedanofferfromDresdenUniversityofTechnologyin1993.
HehasbeenvisitingProfessorattheUniversityofCaliforniaatBerkeley,USA,and
theUniversityofTampere,Finland,andisaregularcontributortointernationalcon-
ferencesonmatrixmethodsinstatistics.Currently,heistheCoordinatingEditorof
Statistical Papers, Associate Editor of several other international journals and re-
centlythetwice-in-a-rowrecipientofthebest-teacher-awardofthedepartment.
AmongGötzTrenkler’sextracurricularactivitiesaretennis,chessandthecom-
pilationofauniquecollectionofAphorismsinStatistics,samplesofwhichcanbe
foundatthebeginningofthechaptersofthisbook.Hecertainlywoulddothesci-
entificcommunityagreatservicebyhavingthempublishedatsometime.
Theeditorsaregratefultoallcontributors,manyofwhomarenotonlyscientific
colleaguesbutalsohispersonalfriends.
vii
viii Preface
We express our appreciation for editorial and LATEX-assistance to Sabine Hege-
wald, and in particular to Matthias Deutscher, who managed to edit successfully
almost30manuscriptsthatwerecharacterizedbyagreatvarietyofindividualpref-
erencesinstyleandlayout,andtoAliceBlanckandWernerA.MüllerfromSpringer
Publishingfortheirsupport.
DresdenandDortmund BernhardSchipp
July2008 WalterKrämer
Contents
ListofContributors ................................................ xiii
PartI NonparametricInference
AdaptiveTestsforthec-SampleLocationProblem.................... 3
HerbertBüning
OnNonparametricTestsforTrendDetectioninSeasonalTimeSeries ... 19
OliverMorellandRolandFried
NonparametricTrendTestsforRight-CensoredSurvivalTimes......... 41
SandraLeissen,UweLigges,MarkusNeuhäuser,andLudwigA.Hothorn
PenaltySpecialistsAmongGoalkeepers:ANonparametricBayesian
Analysisof44YearsofGermanBundesliga.......................... 63
BjörnBornkamp,ArnoFritsch,OliverKuss,andKatjaIckstadt
PermutationTestsforValidatingComputerExperiments .............. 77
ThomasMühlenstädtandUrsulaGather
PartII ParametricInference
Exact and Generalized Confidence Intervals in the Common Mean
Problem ....................................................... 85
JoachimHartungandGuidoKnapp
Locally Optimal Tests of Independence for Archimedean Copula
Families ....................................................... 103
JörgRahnenführer
ix
x Contents
PartIII DesignofExperimentsandAnalysisofVariance
OptimalDesignsforTreatment-ControlComparisonsinMicroarray
Experiments.................................................... 115
JoachimKunert,R.J.Martin,andSabineRothe
ImprovingHenderson’sMethod3ApproachwhenEstimatingVariance
ComponentsinaTwo-wayMixedLinearModel...................... 125
RazawalSarrajandDietrichvonRosen
ImplicationsofDimensionalityonMeasurementReliability ............ 143
KimmoVehkalahti,SimoPuntanen,andLauriTarkkonen
PartIV LinearModelsandAppliedEconometrics
Robust Moment Based Estimation and Inference: The Generalized
Cressie–ReadEstimator.......................................... 163
RonC.MittelhammerandGeorgeG.Judge
MoreontheF-testunderNonsphericalDisturbances ................. 179
WalterKrämerandChristophHanck
OptimalEstimationinaLinearRegressionModelusingIncomplete
PriorInformation ............................................... 185
HelgeToutenburg,Shalabh,andChristianHeumann
MinimumDescriptionLengthModelSelectioninGaussianRegression
underDataConstraints .......................................... 201
ErkkiP.LiskiandAnttiLiski
Self-excitingExtremeValueModelsforStockMarketCrashes ......... 209
RodrigoHerreraandBernhardSchipp
ConsumptionandIncome:ASpectralAnalysis ...................... 233
D.S.G.Pollock
PartV StochasticProcesses
ImprovedEstimationStrategyinMulti-FactorVasicekModel.......... 255
S.EjazAhmed,SévérienNkurunziza,andShuangzheLiu
BoundsonExpectedCouplingTimesinaMarkovChain .............. 271
JeffreyJ.Hunter
MultipleSelf-decomposableLawsonVectorSpacesandonGroups:
TheExistenceofBackgroundDrivingProcesses...................... 295
WilfriedHazod
Contents xi
PartVI MatrixAlgebraandMatrixComputations
FurtherResultsonSamuelson’sInequality .......................... 311
RichardWilliamFarebrother
RevisitationofGeneralizedandHypergeneralizedProjectors .......... 317
OskarMariaBaksalary
OnSingularPeriodicMatrices .................................... 325
JürgenGroß
TestingNumericalMethodsSolvingtheLinearLeastSquaresProblem .. 333
ClausWeihs
On the Computation of the Moore–Penrose Inverse of Matrices
withSymbolicElements .......................................... 349
KarstenSchmidt
OnPermutationsofMatrixProducts ............................... 359
HansJoachimWernerandIngramOlkin
PartVII SpecialTopics
SomeCommentsonFisher’sαααIndexofDiversityandontheKazwini
Cosmography ................................................... 369
OskarMariaBaksalary,KaLokChu,SimoPuntanen,andGeorgeP.H.
Styan
UltimatumGamesandFuzzyInformation .......................... 395
PhilipSanderandPeterStahlecker
AreBernstein’sExamplesonIndependentEventsParadoxical? ........ 411
CzesławSte˛pniakandTomaszOwsiany
AClassroomExampletoDemonstrateStatisticalConcepts ............ 415
DietrichTrenkler
SelectedPublicationsofGötzTrenkler................................425
List of Contributors
S.EjazAhmedDepartmentofMathematicsandStatistics,UniversityofWindsor,
401SunsetAvenue,Windsor,ON,CanadaN9B3P4,[e-mail]
Oskar Maria Baksalary Faculty of Physics, Adam Mickiewicz University, ul.
Umultowska85,61-614Poznan´,Poland,[e-mail]
Björn Bornkamp Fakultät Statistik, Technische Universität Dortmund, 44221
Dortmund,Germany,[e-mail]
HerbertBüningFreieUniversitätBerlin,14195Berlin,Germany,
[e-mail]
Ka Lok Chu Department of Mathematics, Dawson College, 3040 ouest, rue
Sherbrooke,Westmount,QC,CanadaH3Z1A4,[e-mail]
Richard William Farebrother 11 Castle Road, Bayston Hill, Shrewsbury SY3
0NF,UK,[e-mail]
Roland Fried Fakultät Statistik, Technische Universität Dortmund, 44221
Dortmund,Germany,[e-mail]
Arno Fritsch Fakultät Statistik, Technische Universität Dortmund, 44221
Dortmund,Germany,[e-mail]
Ursula Gather Fakultät Statistik, Technische Universität Dortmund, 44221
Dortmund,Germany,[e-mail]
Jürgen Groß Carl von Ossietzky Universität Oldenburg, Fakultät V, Institut für
Mathematik,26111Oldenburg,Germany,[e-mail]
Christoph Hanck Department Quantitative Economics, Universiteit Maastricht,
6211LMMaastricht,TheNetherlands,[e-mail]
Joachim Hartung Fakultät Statistik, Technische Universität Dortmund, 44221
Dortmund,Germany,[e-mail]
xiii