To Örebro University

In the paper, we introduce a new approach for combining multivariate measurements obtained in individual studies. The procedure extends the Birge ratio method, a commonly used approach in physics in the univariate case, such as for the determination of physical constants, to multivariate observations. Statistical inference procedures are derived for the parameters of the multivariate location-scale model, which is related to the multivariate Birge ratio method. The new approach provides an alternative to the methods based on the application of the multivariate random effects model, which is commonly used for multivariate meta-analyses and inter-laboratory comparisons. In two empirical illustrations, we show that the introduced multivariate Birge ratio approach yields confidence intervals for the elements of the overall mean vector that are considerably narrower than those obtained by the methods derived under the multivariate random effects model.

In this paper, two approaches for measuring the distance between stock returns and the network connectedness are presented that are based on the Pearson correlation coefficient dissimilarity and the generalized variance decomposition dissimilarity. Using these two procedures, the center of the network is determined. Also, hierarchical clustering methods are used to divide the dense networks into sparse trees, which provide us with information about how the companies of a financial market are related to each other. We implement the derived theoretical results to study the dynamic connectedness between the companies in the Swedish capital market by considering 28 companies included in the determination of the market index OMX30. The network structure of the market is constructed using different methods to determine the distance between the companies. We use hierarchical clustering methods to find the relation among the companies in each window. Next, we obtain a one-dimensional time series of the distances between the clustering trees that reflect the changes in the relationship between the companies in the market over time. The method from statistical process control, namely the Shewhart control chart, is applied to those time series to detect abnormal changes in the financial market.

This Brief Guide reintroduces readers to the main concepts and technical tools used for the evaluation and expression of measurement uncertainty, including both classical and Bayesian statistical methods. The general approach is the same that was adopted by the Guide to the Expression of Uncertainty in Measurement (GUM): quantities whose values are surrounded by uncertainty are modeled as random variables, which enables the application of a wide range of techniques from probability and statistics to the evaluation of measurement uncertainty. All the methods presented are illustrated with examples involving real measurement results from a wide range of fields of chemistry and related sciences, ranging from classical analytical chemistry as practiced at the beginning to the 20th century, to contemporary studies of isotopic compositions of the elements and clinical trials. The supplementary material offers profusely annotated computer codes that allow the readers to reproduce all the calculations underlying the results presented in the examples.

We address the challenge of constructing tangency portfolios in the context of short-selling restrictions. Utilizing Bayesian techniques, we reparameterize the asset return model, enabling direct determination of priors for the tangency portfolio weights. This facilitates the integration of non-negative weight constraints into an investor's prior beliefs, resulting in a posterior distribution focused exclusively on non-negative values. Portfolio weight estimators are subsequently derived via the Markov Chain Monte Carlo (MCMC) methodology. Our novel Bayesian approach is empirically illustrated using the most significant stocks in the S&P 500 index. The method showcases promising results in terms of risk-adjusted returns and interpretability.

Bayesian inference procedures for the parameters of the multivariate random effects model are derived under the assumption of an elliptically contoured distribution when the Berger and Bernardo reference and the Jeffreys priors are assigned to the model parameters. A new numerical algorithm for drawing samples from the posterior distribution is developed, which is based on the hybrid Gibbs sampler. The new approach is compared to the two Metropolis -Hastings algorithms previously derived in the literature via an extensive simulation study. The findings are applied to a Bayesian multivariate meta -analysis, conducted using the results of ten studies on the effectiveness of a treatment for hypertension. The analysis investigates the treatment effects on systolic and diastolic blood pressure. The second empirical illustration deals with measurement data from the CCAUV.V-K1 key comparison, aiming to compare measurement results of sinusoidal linear accelerometers at four frequencies.

This article introduces Bayesian inference procedures for tangency portfolios, with a primary focus on deriving a new conjugate prior for portfolio weights. This approach not only enables direct inference about the weights but also seamlessly integrates additional information into the prior specification. Specifically, it automatically incorporates high-frequency returns and a market condition metric (MCM), exemplified by the CBOE Volatility Index (VIX) and Economic Policy Uncertainty Index (EPU), significantly enhancing the decision-making process for optimal portfolio construction. While the Jeffreys' prior is also acknowledged, emphasis is placed on the advantages and practical applications of the conjugate prior. An extensive empirical study reveals that our method, leveraging this conjugate prior, consistently outperforms existing trading strategies in the majority of examined cases.

Objective Bayesian inference procedures are derived for the parameters of the multivariate random effects model generalized to elliptically contoured distributions. The posterior for the overall mean vector and the between-study covariance matrix is deduced by assigning two noninformative priors to the model parameter, namely the Berger and Bernardo reference prior and the Jeffreys prior, whose analytical expressions are obtained under weak distributional assumptions. It is shown that the only condition needed for the posterior to be proper is that the sample size is larger than the dimension of the data-generating model, inde-pendently of the class of elliptically contoured distributions used in the definition of the generalized multivariate random effects model. The theoretical findings of the paper are applied to real data consisting of ten studies about the effectiveness of hypertension treatment for reducing blood pressure where the treatment effects on both the systolic blood pressure and diastolic blood pressure are investigated.

In the paper we present Bayesian inference procedures for the parameters of multivariate random effects model, which is used as a quantitative tool for performing multivariate key comparisons and multivariate inter-laboratory studies. The developed new approach does not require that the reported covariance matrices of participating laboratories are known and, as such, it can be used when they are estimated from the measurement results. The Bayesian inference procedures are based on samples generated from the derived posterior distribution when the Berger and Bernardo reference prior and the Jeffreys prior are assigned to the model parameter. Three numerical algorithms for the construction of Markov chains are provided and implemented in the CCAUV.V-K1 key comparisons. All three approaches yield similar Bayesian estimators with wider credible intervals when the Berger and Bernardo reference prior is used. Also, the Bayesian estimators for the elements of the inter-laboratory covariance matrix are larger under this prior than for the Jeffreys prior. Finally, the constructed joint credible sets for the components of the overall mean vector indicate the presence of linear dependence between them which cannot be captured when only univariate key comparisons are performed.

A method originally suggested by Raymond Birge, using what came to be known as the Birge ratio, has been widely used in metrology and physics for the adjustment of fundamental physical constants, particularly in the periodic reevaluation carried out by the Task Group on Fundamental Physical Constants of CODATA (the Committee on Data of the International Science Council). The method involves increasing the reported uncertainties by a multiplicative factor large enough to make the measurement results mutually consistent. An alternative approach, predominant in the meta-analysis of medical studies, involves inflating the reported uncertainties by combining them, using the root sum of squares, with a sufficiently large constant (often dubbed dark uncertainty) that is estimated from the data.

In this contribution we establish a connection between the method based on the Birge ratio and the location-scale model, which allows one to combine the results of various studies, while the additive adjustment is reviewed in the usual context of random-effects models. Framing these alternative approaches as statistical models facilitates a quantitative comparison of them using statistical tools for model comparison. The intrinsic Bayes factor (IBF) is derived for the Berger and Bernardo reference prior, and then it is used to select a model for a set of measurements of the Newtonian constant of gravitation (“Big G”) to estimate a consensus value for this constant and to evaluate the associated uncertainty. Our empirical findings support the method based on the Birge ratio. The same conclusion is reached when the IBF corresponding to the Jeffreys prior is used and also when the comparison is based on the Akaike information criterion (AIC). Finally, the results of a simulation study indicate that the suggested procedure for model selection provides clear guidance, even when the data comprise only a small number of measurements.

In this paper, we derive several statistical tests on the precision matrix with application to the determination of the structure of an undirected Gaussian graph. The exact distributions of the test statistics are obtained under the null hypotheses, while the exact distributions of the random matrices, which are used in the construction of the test statistics, are deduced under the alternative hypothesis. Moreover, we present the high-dimensional asymptotic distributions of the test statistics under the null hypothesis. The testing problems that an undirected Gaussian graph possesses a structure that corresponds to the precision matrix of an AR(1) process, to the block-diagonal precision matrix and to the precision of a factor model are discussed in detail. The performance of the proposed statistical tests is further investigated via an extensive simulation study and compared to the benchmark approach.