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 Contents

List of Contributors vii

Preface x
1. Vic Harriett: Sample Ordering for Effective Statistical \
Inference with Particular Reference to Environmental Issues
2. David Bartholomew: A Unified Statistical Approach to Some 13
Measurement Problems in the Social Sciences
3. David R., Cox: Some Remarks on Statistical Aspects of 20
Econometrics
4. Bradley Efron: The Statistical Century 29
5. David Freedman: From Association to Causation: Some 45
Remarks on the History of Statistics
6. Joe Gani: Scanning a Lattice for a Particular Pattern 72
7. Dimitris Karlis & Evdokia Xekalaki: Mixtures Everywhere 78
8. Leslie Kish: New Paradigms (Models) for Probability 96
Sampling
9. Samuel Kotz & Norman L., Johnson: Limit Distributions of 103
Uncorrelated but Dependent Distributions on the Unit Square
10. Irini Moustaki: Latent Variable Models with Covariates 117
11. Saralees Nadarajah & Samuel Kotz: Some New Elliptical 129
Distributions
12. John Panaretos & Zoi Tsourti: Extreme Value Index 141
Estimators and Smoothing Alternatives: A Critical Review
13. Radhakrishna C., Rao, Bhaskara M., Rao & Damodar N., 161
Shanbhag: On Convex Sets of Multivariate Distributions and
Their Extreme Points
14. Jef Teugels: The Lifespan of a Renewal 167
15. Wolfgang Urfer & Katharina Emrich: Maximum Likelihood 179
Estimates of Genetic Effects
16. Evdokia Xekalaki, John Panaretos & Stelios Psarakis: A 188
Predictive Model Evaluation and Selection Approach—The
Correlated Gamma Ratio Distribution

17. Vladimir M., Zolotarev: Convergence Rate Estimates in 203

Functional Limit Theorems
Author Index 211
217
Subject Index
 List of Contributors

Vic Burnett, Department of Mathematics, University of Nottingham,

University Park, Nottingham NG7 2RD, England,
e-mail: [email protected]

David Bartholomew, The Old Manse Stoke Ash, Suffolk, IP23 7EN,
England.
e-mail: [email protected]

David, R. Cox (Sir), Department of Statistics, Nuffield College, Oxford,

OX1 INF, United Kindom.
e-mail: [email protected]

Bradley Efron, Department of Statistics, Stanford University, Sequoia Hall,

390 Serra Mall, Stanford, CA 94305-4065, USA.
e-mail: [email protected]

Katharina Emrich, Department of Statistics, University of Dortmund, D-

44221 Dortmund, Germany

David Freedman, Department of Statistics, University of California,

Berkeley, Berkeley, CA 94720-4735, USA.
e-mail: [email protected]

Joe Gani, School of Mathematical Sciences, Australian National

University, Canberra ACT 0200, Australia,
e-mail: [email protected]

Norman, L. Johnson, Department of Statistics, University of North

Carolina, Phillips Hall, Chapel Hill, NC, 27599-3260, USA.
e-mail: [email protected]

Dimitris Karlis, Department of Statistics, Athens University of Economics

& Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Leslie Kish, The University of Michigan, USA. f

Leslie Kish passed away on October 7, 2000.

vii
viii List of Contributors

Samuel Kotz, Department of Engineering Management and System

Analysis, The George Washington University, 619 Kenbrook drive, Silver
Spring, Maryland 20902, USA.
e-mail: [email protected]

Irini Moustaki, Department of Statistics, Athens University of Economics

& Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Saralees Nadarajah, Department of Mathematics, University of South

Florida, Tampa, Florida 33620, USA.
e-mail: [email protected]

John Panaretos, Department of Statistics, Athens University of Economics

& Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Stelios Psarakis, Department of Statistics, Athens University of Economics

& Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Bhaskara M. Rao, Department of Statistics, North Dakota State University,

1301 North University, Fargo, North Dakota 58105, USA.
e-mail: [email protected]

Radhakrishna C. Rao, Department of Statistics, Pennsylvania State

University, 326 Thomas Building, University Park, PA, USA 16802-2111,
USA.
e-mail: [email protected]

Damodar, N. Shanbhag, Statistics Division, Department of Mathematical

Sciences, University of Sheffield, Sheffield S3 7RH, England,
e-mail: [email protected]

Jef Teugels, Department of Mathematics, Katholieke Universiteit Leuven,

Cerestijnenlaan 200B, B-3030 Leuven, Belgium,
e-mail: [email protected]

Zoi Tsourti, Department of Statistics, Athens University of Economics &

Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Wolfgang Urfer, Department of Statistics, University of Dortmund, D-

44221 Dortmund, Germany.
e-mail: [email protected]
List of Contributors ix

Evdokia Xekalaki, Department of Statistics, Athens University of

Economics & Business, 76 Patision St. 104 34, Athens, Greece,
e-mail: [email protected]

Vladimir M. Zolotarev, Steklov Mathematical Institute, Russian Academy

of Sciences, Ulitza Vavilova 42, Moscow 333, Russia,
e-mail: [email protected]
This page intentionally left blank
 PREFACE
This volume is published in celebration of the 13 years of existence of the
Department of Statistics of the Athens University of Economics and Business
(www.stat-athens.aueb.gr). The Department was -and still is- the only
Department exclusively devoted to Statistics in Greece. The Department was set
up in 1989, when the Athens School of Economics and Business was renamed as
the Athens University of Economics and Business. Until then, Statistics was
part of the Department of Statistics and Informatics. In its 13 years of existence
the Department has grown to a center of Statistics in Greece, both applied and
theoretical, with many international links. As part of the 13th anniversary
celebration, it was decided to put together a volume with contributions from
scientists of international calibre as well as from faculty members of the
Department.
The goal of this volume is to bring together contributions by some of the leading
scientists in probability and statistics of the latter part of the 20th century who
are the pioneers in the respective fields. (David Cox writes on "Statistics and
Econometrics", C. R. Rao (with M. B. Rao & D. N. Shanbhag) on "Convex
Sets of Multivariate Distributions and Their Extreme Points", Bradley Efron on
"the Future of Statistics", David Freedman on "Regression Association and
Causation", Vic Barnett on "Sample Ordering for Effective Statistical Inference
with Particular Reference to Environmental Issues", David Bartholomew on "A
Unified Statistical Approach to Some Measurement Problems in the Social
Sciences", Joe Gani on "Scanning a Lattice for a Particular Pattern", Leslie
Kish on "New Paradigms (Models) for Probability Sampling" (his last paper),
Samuel Kotz & Norman L. Johnson on "Limit Distributions of Uncorrelated but
Dependent Distributions on the Unit Square", Jef Teugels on "The Lifespan of
a Renewal", Wolfgang Urfer (with Katharina Emrich) on "Maximum
Likelihood Estimates of Genetic Effects", and Vladimir M. Zolotarev on
"Convergence Rate Estimates in Functional Limit Theorems". The volume also
contains the contributions of faculty members of the Department. All the papers
in this volume appear for the first time in the present form and have been
refereed.
Academic and Professional Statisticians, Probabilists and students can benefit
from reading this volume because they can find in it not only new developments
in the area but also the reflections on the future directions of the discipline by
some of the pioneers of the late 20th century. Scientists and students in other
scientific areas related to Probability and Statistics, such as Biometry,
Economics, Physics and Mathematics could also benefit for the same reason.
The volume is dedicated to professors Constantinos Kevork and Panagiotis
Tzorzopoulos who were the first two professors of Statistics of the former
Athens School of Economics and Business who joined the newly established
Department in 1989. Professor Tzortzopoulos has also served as Rector of the
University.

xi
What relates the Department to this volume is that the international contributors,
all of them renowned academics, are connected to the Department, one way or
another. Some of them (e.g. L. Kish, D. R. Cox, C. R. Rao) have been awarded
honorary doctorate degrees by the Department. They, as well as the rest of the
contributors, have taught as distinguished visiting professors in the international
graduate program of the Department.

I am indebted to all the authors, especially those from abroad, for kindly
contributing to this volume but also for the help they have provided to the
Department. Finally, I would like to thank Lawrence Erlbaum Publishers for
kindly accepting to publish the volume and to make it as widely available as its
reputation guarantees.

John Panaretos
Chairman of the Department
Athens, Greece

xn
 STOCHASTIC MUSINGS:
PERSPECTIVES FROM THE
PIONEERS OF THE LATE
20th CENTURY
This page intentionally left blank
 1
SAMPLE ORDERING FOR EFFECTIVE STATISTICAL
INFERENCE, WITH PARTICULAR REFERENCE TO
ENVIRONMENTAL ISSUES

Vic Barnett
Department of Computing and Mathematics
Nottingham Trent University, UK

1. Introduction

The random sample is the fundamental basis of statistical inference. The

idea of ordering the sample values and taking account both of value and order
for any observation has a long tradition. While it might seem strange that this
should add to our knowledge, the effects of ordering can be impressive in terms
of what aspects of sample behaviour can be usefully employed and in terms of
the effectiveness and efficiency of resulting inferences.
Thus, for any random sample x,, x2, ... xn of a random variable X, we have
the maximum x(n) or minimum x(I) (the highest sea waves or heaviest frost), the
range x(n) - x(l) (how widespread are the temperatures that a bridge must
withstand) or the median (as a robust measure of location) as examples using
the ordered sample. The concept of an outlier as a representation of extreme,
possibly anomalous, sample behaviour or of contamination, also depends on
ordering the sample and has played an important role since the earliest days of
statistical enquiry. Then again, linear combinations of all ordered sample values
have been shown to provide efficient estimators, particularly of location
parameters.
An interesting recent development has further enhanced the importance and
value of sample ordering. With particularly wide application in environmental
studies, it consists of setting up a sampling procedure specifically designed to
choose potential ordered sample values at the outset— rather than taking a
random sample and subsequently ordering it. An example of such an approach
is ranked set sampling which has been shown to yield high efficiency inferences
relative to random sampling. The basic approach is able to be readily and
profitably extended beyond the earlier forms of ranked set sampling. We shall
review the use of ordered data
• as natural expressions of sample information
• to reflect external influences
• to reflect atypical observations or contamination
• to estimate parameters in models
l
2 BARNETT

with some new thoughts on distribution-free outlier behavior, and a new

estimator (the memediari) for the mean of a symmetric distribution.

2. Inference from the Ordered Sample

We start with the random sample x,, x2 ... xn of n observations of a random

variable X describing some quantity of, say, environmental interest. If we
arrange the sample in increasing order of value as x(1), x(2) ... x(n) then these are
observations of the order statistics X(1), X(2) ... X(n) from a potential random
sample of size n. Whereas the x, (i — 1, 2 . . . n) are independent observations,
the order statistics X(i), X0), (z>y) are correlated. This often makes them more
difficult to handle in terms of distributional behaviour when we seek to draw
inferences about X from the ordered sample. (See David, 1981, for a general
treatment of ordering and order statistics).
At the descriptive level, the extremes x(1) and x(n), the range x(n) - x(l), the
mid-range(;tr/j + x{n))/2 and the median m (that is, x(fn+I]/2) if n is odd, or (x(n/2) +
x
(f,,+i]/:) )/2 if n is even) have obvious appeal and interpretation. In particular
the extremes and the median are frequently employed as basic descriptors in
exploratory data analysis, and modified order-based constructs such as the box
and whisker plot utilize the ordered sample as a succinct summary of a set of
data (see Tukey, 1977, for discussion of such a non-model-based approach).
More formally, much effort has gone into examining the distributional
behavior of the ordered sample values (again David, 1981, gives comprehensive
cover). As an example, we have an exact form for the probability density
function (pdf) of the range r as

where/00 is the pdf of A' (see Stuart and Ord, 1994, p.494).
But perhaps the most important and intriguing body of work on extremes
is to be found in their limit laws. Rather like the Central Limit Theorem for a
sample mean, which ensures convergence to normality from almost any
distributional starting point, so we find that whatever the distribution of X
(essentially), the quantities x(]) and x(n) tend as n increases to approach in
distribution one of only three possible forms. The starting point for this work is
long ago and is attributed by Lieblein (1954) to W. S. Chaplin in about 1860.
David (1981, Chapter 9) gives a clear overview of developments and research
continues apace to the present time (see, for example, Anderson, 1984; Gomes,
1994).
The three limits laws, are known as, and have distribution functions (df s)
in the forms:
1 . SAMPLE ORDERING FOR EFFECTIVE STATISTICAL INFERENCE

A: (Gumbel)

B : (Frechet)

C: (Weibull)

Which of these is approached by X(n) (and X(1) which is simply dual to X(n)
on a change of sign) is determined by the notion of zones of attraction, although
it is also affected by whether X is bounded below or above, or unbounded.
A key area of research is the rate of convergence to the limit laws as n
increases - the question of the so-called penultimate distributions. How rapidly,
and on what possible modelled basis, X(n) approaches a limit law L is of much
potential interest. What, in particular, can we say of how the distributions of X(n)
stand in relation to each other as n progresses from 40 to 100, 250 or 1000, say?
Little, in fact, is known but such knowledge is worth seeking! We shall
consider one example of why this is so in Section 3.
Consider the following random sample of 12 daily maximum wind speeds
(in knots) from the data of a particular meteorological station in the UK a few
years ago:
19, 14,25, 10, 11,22, 19, 17,49,23,31, 18

We have x(!J = 10, x(n) - x(12) = 49.

Not only is x(n) (obviously) the largest value - the upper extreme - but it
seems extremely extreme! This is the stimulus behind the study of outliers:
which are thought of as extreme observations which by the extent of their
extremeness lead us to question whether they really have arisen from the same
distribution as the rest of the data (i.e., from that of X). The alternative prospect,
of course, is that the sample is contaminated by observations from some other
source. An introductory study of the links between extremes, outliers, and
contaminants is given by Barnett (1983) - Barnett and Lewis (1994) provide an
encyclopaedic coverage of outlier concepts and methods, demonstrating the
great breadth of interest and research the topic now engenders.
Contamination can, of course, take many forms. It may be just a reading
or recording error - in which case rejection might be the only possibility
(supported by a test of discordancy). Alternatively, it might reflect low-
incidence mixing of X with another random variable Y whose source and
manifestation are uninteresting. If so, a robust inference approach which draws
inferences about the distribution of X while accommodating Y in an
uninfluential way might be what is needed. Then again, the contaminants may
reflect an exciting unanticipated prospect and we would be anxious to identify
its origin and probabilistic characteristics if at all possible. Accommodation,
identification, and rejection are three of the approaches to outlier study, which
must be set in terms of (and made conditional on) some model F for the
distribution of X. This is so whether we are examining univariate data, time
4_ BARNETT

series, generalized linear model outcomes, multivariate observations, or

whatever the base of our outlier interest within the rich field of methods now
available.
But what of our extreme daily wind speed of 49 in the above data? We
might expect the wind speeds to be reasonably modelled by an extreme value
distribution - perhaps of type B (Frechet) or A (Gumbel), since they are
themselves maxima over a 24-hour period. Barnett and Lewis (1994, Section
6.4.4) describe various statistics for examining an upper outlier in a sample from
a Gumbel distribution. One particular test statistic takes the form of a Dixon
statistic,

For our wind-speed data with n=l2, this takes the value H-046 which
39
according to Table XXV on page 507 of Barnett and Lewis (1994) is not
significant. (The 5% point is 0.53, so notice how critical is the value of t(n _1}
i.e., t(I1) . If instead of 31 it were 28, then x = 49 would have been a discordant
outlier at the 5% level. This illustrates dramatically how some outlier tests are
prone to 'masking': Barnett & Lewis, 1994, pp. 122-124.) Thus we conclude
that although 49 seems highly extreme it is not extreme enough to suggest
contamination (e.g., as a mis-reading or a mis-recording or due to freak
circumstances).
A fourth use of ordered data is in regard to basic estimation of the
parameters of the distribution F followed by X. Suppose X has df which takes
the form F [(x - fj. /a] where // reflects location and a scale or variation. If Xis
symmetric, fj. and a are its mean and standard deviation. Nearly 50 years ago,
Lloyd (1952) showed how to construct the BLUE or best linear unbiased
estimator of fj. and of a based on the order statistics, by use of the Gauss-
Markov theorem.
Suppose we write U(i) = (X(i) - p)/<j (i = 1,2... .n) as the reduced
(standardised) order statistics and let a and V denote the mean vector and
variance covariance matrix of U. Note that V is not diagonal since the U(i) and
U(i) (for / *j) are correlated. Using the principle of extended least squares we
obtain the BLUE 0* of 6 - where 0' = ( ju, d) - in the form

with variance/covariance matrix

where A - (1, a) with a' - {cCj} = (E(U(i))} = {E[(X(i) - n}ld\] and V = {u&-} is
the variance/covariance matrix of the reduced order statistics

This can be readily separated to yield the individual BLUE's, //* and o*.
(See David, 1981, for broader discussion of optimal and sub-optimal estimators
1. SAMPLE ORDERING FOR EFFECTIVE STATISTICAL INFERENCE 5_

based on order statistics and of how they compare with estimators based on the
unordered sample.)
This approach is central to the more modern environmentally important
principles of ranked set sampling, which we consider briefly in Section 3.

3. Possible New Routes for Outliers and for Order-Based Samples

Some of the principles reviewed suggest possible developments in outlier

methodology on the one hand and in order-based estimation on the other.

3.1 A Distribution-Free Approach to Outliers

It is clear from the above outline, that the methodology of outliers depends
crucially on the form of the null (no-contamination) model. Thus, for example,
even a discordancy test of a single upper outlier x(n) based on the statistic t = (x(n)
- xfn _!)) I (x(n) - x(I)) is constrained in this way - since the null distribution of t
(and its critical values) depends vitally on the form of F. The distribution of t
and its percentage points will obviously be different if F is normal, exponential,
Gumbel, etc. Yet we may not have any sound basis for assuming a particular
form of F, especially if the only evidence is the single random sample in which
we have observed an outlier. This is the fundamental problem of outlier study.
In practice, this dilemma is well-recognized and is usually resolved by a
judicious mix of historical precedent, broad principle, association and wishful
thinking (as in all areas of model-based statistics).
Thus it may be that a previous related study, and general scientific or
structural features of the practical problem, link with formal statistical
considerations (e.g., the Central Limit Law, characteristics of extremal
processes) to support a form for F, such as a normal distribution or an
exponential distribution. We then relate our inferences to appropriate null (no-
outlier) distributions for that particular F.
But we are concerned, of course, in studying outliers which as extremes
must have the distributional behaviour of extremes, which we have just seen to
be essentially distributionally independent of the family F from which the
sample has been chosen - in view of the limit laws. So in principle it seems that
we might essentially ignore F and examine outlier behavior in terms of
properties of the extreme value distribution which is being approached by x(l)
or x(n) (or by some appropriate outlier function of them). This is an attractive
prospect: a distribution-free and hence highly robust alternative to the usual
model-based methods.
So what is the difficulty? Precisely the following. Although x(n)
approaches A, B or C, we have to deal with finite samples and not enough is
known in detail about how quickly and in what manner the forms A or B or C
are approached as n progresses from, say 40 to 100 to 250, etc. The study of
convergence to the limit laws and of 'penultimate distributions' is not yet
6 BARNETT

sufficiently refined for our purpose (See Gomes, 1994, for some of the latest
developments).
To consolidate this point consider Table 1.1 which shows samples of
maximum daily, 3-daily, weekly, fortnightly, and monthly wind speeds (in
knots) at a specific location in the UK.

Daily
36 46 13 18 34 19 23 15 18 14 28 10 31 28 22 40 20 23 28
3-Daily
33 31 21 19 22 28 29 25 36 41 16 24 43 20 38 51 34 20 31
Weekly
40 36 47 21 41 27 34 32 45 42 54 19 30 31 24 31 33 34 36
Fortnightly
35 32 45 37 39 31 34 28 47 58 31 33 51 42 50 47 40 41 52
Monthly
40 44 39 32 48 36 51 40 38 52 62 51 39 50 42 56 29 36 45

Table 1.1: Samples of maximum windspeeds (in knots) at a single UK location

over days, 3-days, weeks, fortnights, and months.

Assuming (reasonably) that these approach the limit law A (they are all
maxima) we would expect to find that plots of In ln[(« + I)//] against x(i) in each
case, will yield approximately linear relationships. It is interesting to confirm
from the data that this is indeed so. We will further see that we obtain the
natural temporal ordering we would expect (reflected, particularly, in the
implied differences in the values of, particularly, X) in the approximating
extreme value distribution in each case. Essentially the plots are parallel with
intercepts increasing with the lengths of the periods over which the maximum is
taken.
Davies (1998) also carried out an empirical study of limiting distributions
of wind speeds (again from a single UK site) and fitted Weibull distributions to
maxima over days, weeks, fortnights, months, and 2-month periods. Figure 1
(from Davies, 1998) shows the fitted distributions in which the time periods
over which the maxima are taken increase monotonically as we move from the
left-hand distribution to the right-hand one.
We need to know much more about how the distributions change with
change in the maximizing period. It might be hoped that we can obtain a clearer
understanding of how the limit distribution of an extreme is approached in any
specific case as a function of sample size n and that such knowledge might
eventually lead to an essentially new (largely) distribution-free outlier
methodology.