Statistical Inference, Econometric Analysis and Matrix Algebra: Festschrift in Honour of Gotz Trenkler PDF
Preview Statistical Inference, Econometric Analysis and Matrix Algebra: Festschrift in Honour of Gotz Trenkler
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 [email protected] [email protected] 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,[email protected] Oskar Maria Baksalary Faculty of Physics, Adam Mickiewicz University, ul. Umultowska85,61-614Poznan´,Poland,[email protected] Björn Bornkamp Fakultät Statistik, Technische Universität Dortmund, 44221 Dortmund,Germany,[email protected] HerbertBüningFreieUniversitätBerlin,14195Berlin,Germany, [email protected] Ka Lok Chu Department of Mathematics, Dawson College, 3040 ouest, rue Sherbrooke,Westmount,QC,CanadaH3Z1A4,[email protected] Richard William Farebrother 11 Castle Road, Bayston Hill, Shrewsbury SY3 0NF,UK,[email protected] Roland Fried Fakultät Statistik, Technische Universität Dortmund, 44221 Dortmund,Germany,[email protected] Arno Fritsch Fakultät Statistik, Technische Universität Dortmund, 44221 Dortmund,Germany,[email protected] Ursula Gather Fakultät Statistik, Technische Universität Dortmund, 44221 Dortmund,Germany,[email protected] Jürgen Groß Carl von Ossietzky Universität Oldenburg, Fakultät V, Institut für Mathematik,26111Oldenburg,Germany,[email protected] Christoph Hanck Department Quantitative Economics, Universiteit Maastricht, 6211LMMaastricht,TheNetherlands,[email protected] Joachim Hartung Fakultät Statistik, Technische Universität Dortmund, 44221 Dortmund,Germany,[email protected] xiii
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