The estimation of genotype-phenotype relationships from family data and of animal abundance from capture-recapture data with frequent capture occasions: A semiparametric approach. Semiparametric statistical methods allow researchers to only model those features of their data that are of interest, but still allow standard statistical inferences to be made about these features. The aim here is to develop non standard applications of semiparametric statistical methods in the estimation of genotype ....The estimation of genotype-phenotype relationships from family data and of animal abundance from capture-recapture data with frequent capture occasions: A semiparametric approach. Semiparametric statistical methods allow researchers to only model those features of their data that are of interest, but still allow standard statistical inferences to be made about these features. The aim here is to develop non standard applications of semiparametric statistical methods in the estimation of genotype-phenotype relationships from family data and the estimation of animal abundance from capture-recapture data. The methods will be applied to real data and their theoretical properties developed. The practical significance of the project is the flexible new statistical methods that will become available to researchers. The theoretical significance will be the insights into semiparametric methods gained by developing these nonstandard applications. The expected outcomes are the new statistical procedures and the resulting theoretical insights into semiparametric statistics.Read moreRead less
Identification and inference in nonparametric models. This project will develop reliable methods for identification, estimation and inference of nonparametric models for the evaluation of economic policies on outcome variables of interest. This econometric methodology will allow a better understanding of the quantitative effects of an economic policy which will result in better informed policy decisions. The results will have applications to labour market policies, health care policies and educa ....Identification and inference in nonparametric models. This project will develop reliable methods for identification, estimation and inference of nonparametric models for the evaluation of economic policies on outcome variables of interest. This econometric methodology will allow a better understanding of the quantitative effects of an economic policy which will result in better informed policy decisions. The results will have applications to labour market policies, health care policies and education policies among others. The project will also provide national benefits in terms of building up the local stock of researchers trained in the area of identification and estimation of nonparametric models; it will further improve the international reputation that Australia has in econometric theory.Read moreRead less
Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The resea ....Non- and Semi-Parametric Panel Data Econometrics: Theory and Applications. This project proposes to tackle several very important and difficult issues in modelling general climatological, economic and financial panel data that involve possible trending components. This project seeks to establish some general asymptotic theory for model estimation and specification technologies that are suited to such general nonlinear panel data that may be stochastically non-stationary and endogenous. The research outcomes of this project are expected to be applicable in evaluating and improving empirical model building and forecasting from better models in climatology, economics and finance with possible endogeneity and nonlinearity and non-stationarity.Read moreRead less
Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions ....Stein's method for probability approximation. Data of counts in time, such as incoming calls in telecommunications and the clusters of palindromes in a family of herpes-virus genomes, arise in an extraordinarily diverse range of fields from science to business. These problems can be modelled by sums of random variables taking values 0 and 1 in probability theory, thus permitting approximate calculations which are often good enough in practice. This project will obtain such approximate solutions and estimate the errors involved. Applications include analysis of data in insurance, finance, flood prediction in hydrology.Read moreRead less
A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simul ....A Multivariate Dynamic Factor Model of the Australian Business Cycle: Specification, Estimation and Empirical Results. The project aims to extend greatly existing models of national and international business cycles by developing a general class of dynamic factor models for Australia. The project provides a significant contribution to business cycle modelling by solving the intractability problems common to existing classes of dynamic factor models. A key innovation is the development of a simulation based estimator to circumvent the statistical and computational problems associated with existing estimators. The expected outcome of the project will be a more reliable way to monitor the phases of the cycle and forecast turning points, which will be of substantial national benefit.Read moreRead less
Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theor ....Persistence in Economic Time Series: Interpretation, Measurement and Inference. An economic time series is said to be persistent if shocks to the series have a permanent effect. Accurate and unambiguous inferences regarding persistence are crucial to an understanding of the response of the variable to shocks, in particular to policy-induced shocks. In this project we will explore new ways of interpreting, measuring and conducting inference on persistence. The aim is to produce significant theoretical and methodological advances which, when applied to empirical problems, will enable reliable conclusions to be drawn regarding the propagation of shocks and, hence, the likely impact of interventionist government policies.Read moreRead less
Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innov ....Multifractal models in finance via the crossing tree. High level mathematical modelling is an established part of the modern finance industry, in particular the Black-Scholes option pricing formula is now an indispensable financial tool.
To remain competitive the Australian financial sector needs to keep up with developments in mathematical finance, which is only possible if the Australian academic community remains active in the field.
The work on multifractal modelling proposed here is innovative both in its theoretical aspects and its applied methodology, and will ensure that Australian research remains at the cutting edge of this highly competitive and fast moving field.Read moreRead less
Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting ....Econometric model building and estimation. This project aims to tackle issues in econometric model building and estimation under cross sectional dependence, heterogeneity and nonlinearity. This project will seek to establish flexible econometric models associated with estimation methods and user-friendly computational techniques to try to solve real world problems. The research outcomes are expected to be useful to empirical researchers in evaluating and improving model building and forecasting from better models in climatology, demography, economics, environment, finance, machine learning and neural networks.Read moreRead less
Theory and Applications of Computer-Intensive Statistical Methods. The availability of powerful computing equipment has had a dramatic impact on statistical methods and thinking. It has motivated development of novel approaches to data analysis, whose conception
and appreciation, even their application, often demand sophisticated and complex theoretical methods. In this context, the project will develop new approaches to solving non-standard statistical problems. These techniques will eithe ....Theory and Applications of Computer-Intensive Statistical Methods. The availability of powerful computing equipment has had a dramatic impact on statistical methods and thinking. It has motivated development of novel approaches to data analysis, whose conception
and appreciation, even their application, often demand sophisticated and complex theoretical methods. In this context, the project will develop new approaches to solving non-standard statistical problems. These techniques will either have direct application to solving practical problems of national or community concern, or provide a better understanding of the nature of such problems.Read moreRead less
Theory and application of computer-intensive, nonparametric statistical methods. The availability of increasingly powerful computing equipment continues to have a dramatic impact on statistical methods and thinking. These developments, combined with new technologies for generating data, are driving substantial changes in statistics, ranging from the types of problems being solved to the sorts of methods used to solve them. Both the problems and their solutions are of substantial national and c ....Theory and application of computer-intensive, nonparametric statistical methods. The availability of increasingly powerful computing equipment continues to have a dramatic impact on statistical methods and thinking. These developments, combined with new technologies for generating data, are driving substantial changes in statistics, ranging from the types of problems being solved to the sorts of methods used to solve them. Both the problems and their solutions are of substantial national and community benefit. They will be the subject of high-level research supported by this proposal. Read moreRead less