Professional Documents
Culture Documents
2014 Satarietalpakistanjournal
2014 Satarietalpakistanjournal
net/publication/290010622
CITATIONS READS
5 316
4 authors:
Some of the authors of this publication are also working on these related projects:
All content following this page was uploaded by Siti Zanariah Satari on 09 April 2020.
ABSTRACT
A new functional relationship model for circular variables which is an extended
version of a circular-circular regression model proposed by Down and Mardia (2002) is
developed in this paper. Both the dependent and independent variables in the model are
subjected to errors. The parameters estimation of the model is done by minimizing the
negative value of the log-likelihood function. Model verification and its behavior are
examined using simulation study with random data. We also derived a Fisher Information
Matrix of parameters with the variance and covariance in this new model. As an
illustration, a wind direction data obtained using two tools, HF radar x and anchored
buoy y is considered. It is shown that the estimator has small bias thus suggesting the
superiority of the new proposed model.
KEY WORDS
Circular variables; concentration parameter; error-in-variables model; Fisher
information matrix; functional relationship model; wind direction.
1. INTRODUCTION
In the late nineteenth century, the linear model in classical regression problem is
extended to the models with error in both the response and explanatory variables. This
type of model is known as error in variables (EIV) or measurement error model. There
are two types of EIV models, namely functional relationship model and structural
relationship model. According to Casella and Berger (2002), a functional relationship
model is a conditional version of the structural relationship model. Sufficient theory on
parameter estimation of the model are given and described in many references such as by
Fuller (1987), Casella and Berger (2002) and Chernov (2011).
The linear functional relationship model can also be extended to circular variables in
addition to continuous linear variables. The functional relationship model for circular
variables was first introduced by Hussin (1997) and is called unreplicated linear
functional relationship model. Later, Hussin (2003) improved the model by finding the
estimated error of the concentration parameters for any λ value using the asymptotic
© 2014 Pakistan Journal of Statistics 397
398 A new functional relationship model for circular variables
properties of the Bessel function. In 2005, Hussin extended the model for replicated
observations and considered the Fisher information matrix of parameters. Recently,
Hassan et al. (2010a) obtained the parameter estimation for the unreplicated model using
the maximum likelihood method with the assumption that error concentration parameter
is equal.
The simplest linear functional relationship model for circular variables perhaps is
proposed by Caires and Wyatt (2003) in which the value of slope parameter with is
fixed to be one. In 2010a, Hussin et al. improved the model by deriving the asymptotic
covariance matrix of the model using Fisher information matrix and developed an outlier
detection procedure.
Also, Hussin (1998) developed an unreplicated complex linear functional relationship
model for circular variables by extending the Laycock’s (1975) complex linear regression
model. Also in 2009, Hussin et al. proposed a simultaneous circular functional
relationship model. Hussin et al. (2010b) improve the model by obtaining the maximum
likelihood estimation of parameters iteratively with suitable initial values and derived the
variance and covariance of parameters using Fisher information matrix. Also in 2010b,
Hassan et al. proposed an imputation method to handle the missing values that may occur
in the model.
Based from the literature, researchers have shown that the linear functional
relationship model for circular variables can be applied in diverse areas. In this paper, we
focused on the Down and Mardia’s (DM) circular-circular regression model as the
fundamental model and attempt to extend to a new functional relationship model. To our
knowledge, similar works have not been published in any literature.
In 2002, Down and Mardia proposed a one-to-one correspondence between the
independent angle and the mean of dependent angle employs the Mӧbius circle mapping
for complex variables. The DM model is given by
1 1
tan tan u , (1)
2 2
where ν is dependent random angle, u is the fixed independent angle, ω is a slope
parameter in the closed interval [-1, 1] and α and β are angular location parameters.
Equation (1) describes a one-to-one relationship between u and v where 0 with the
following unique solution,
1
2 tan 1 tan u . (2)
2
distributed with von Mises distribution. Thus for any fixed independent angle X i , the
functional relationship model can be written as xi X i i and y i Yi i where
1
Yi 2 tan 1 tan X i . (3)
2
Given that Yi is dependent random angle, ω is a slope parameter in the closed interval
[˗1, 1], while and are angular location parameters.
Also note that, if the slope parameter is assumed to be 1 , then this model may be
simplified to a linear form
Yi X i (4)
which somewhat similar with the functional model proposed by Caires and Wyatt (2003).
Setting the slope parameter with a fixed value of 1 may be helpful to make sure that
the model is symmetric and overcome the difficulty in parameter estimation. However
the model may not be able to describe a variety of behavior of the model with different
slope values. This paper attempts to estimate all the parameters for a general linear model
and their corresponding behavior.
By assuming that the ratio of the error concentration parameters for above model is
, 0 , is fixed and known, then the log-likelihood function for a given
observations x, y x1 ,y1 , , xn ,yn can be written as
log L , , , , X 1 , , X n , x, y
n
2n log 2 n log I 0 n log I 0 cos xi X i
i 1
n 1
cos yi 2 tan 1 tan X i . (5)
2
i 1
3. PARAMETERS ESTIMATION
There are n 5 parameters to be estimated, namely , , , , and incidental
parameters X1 , , X n . For estimation purposes, we assume that 1 indicating that
. Therefore, the log-likelihood function may be simplified as
log L , , , , X1 , , X n , x, y
n
2n log 2 2n log I0 cos xi X i
i 1
n 1
cos yi 2 tan 1 tan X i . (6)
i 1 2
400 A new functional relationship model for circular variables
I1 ˆ
I 0 ˆ
ˆ ˆ , ˆ ,
ˆ , Xˆ 1 , , Xˆ n
1 n n 1 1
cos xi X i cos yi 2 tan tan X i (7)
2n i 1 i 1 2
Also, let the maximum likelihood estimator ̂ of the precision parameter is defined
explicitly by
ˆ , , , X 1 , , X n
1 n n 1 1
cos xi X i cos yi 2 tan tan X i . (8)
2n i 1 i 1 2
the log-likelihood function in (6) using numerical approximation, for example using the
ms function in SPlus statistical package with a given set of initial values 0 , 0 , 0 and
X 10 , , X n 0 which correspond to the maximum value of precision parameter . The
initial values are obtained by calculating the precision parameter for all possible pairs
of , , and Xˆ , , Xˆ in pre-specified sets of parameters values namely , ,
1 n
and
1 1 1
AL1 w 1 .
2 w 8 w 2 8 w3
Equation (9) may be solved by finding the roots of the polynomial function, for
example, using the polyroot functions that are available in SPlus statistical package.
Note that in the linear case, the normal distribution model is consistent if we define
ˆ 2 2 (Kendall and Stuart, 1973). Thus, to overcome the inconsistency of ̂ in the
2
where 0 0 and se ˆ is standard error of ̂ . Furthermore, the goodness of fit for the
proposed model may be checked by observing the von-Mises quantile plot for both
circular residuals of the data set and can further be validated if a small value of Watson
U 2 test and Kuiper’s V test (Hassan et al., 2010a; Hussin et al., 2010b) is obtained. For
both statistical tests, the null hypothesis tested assumes that the samples are drawn from
the von Mises distribution.
4. VARIANCE-COVARIANCE MATRIX
In this section, we consider the Fisher information matrix of the parameters which, in
turn, will be used to find the variance and covariance for each parameter. Suppose the
log-likelihood function with known parameters , , , , X 1 , , X n is written as
l , , , , X 1 , , X n x, y
n n
2n log 2 2n log I 0 cos xi X i cos yi Yi (11)
i 1 i 1
1
where Yi 2 tan 1 tan X i .
2
402 A new functional relationship model for circular variables
Then, second partial derivatives for log-likelihood function and their negative
expected values may be obtained using the facts that
E cos xi X i A , E sin xi X i 0,
Therefore, it can be shown that the Fisher information matrix I Iij is given by
C11 0
I T ,
0 C22
bij 1 Yn X
2
, i j 1, , n,
n
bij 0 , i j , i 1, , n, j 1, , n,
b i n 1 Yi X , i 1, , n,
i
b i n 2 Yi X Yi , i 1, , n,
i
b i n 3 Yi X Yi , i 1, , n,
i
n
b n 1 n 1 n , b n 1 n 2 Yi ,
i 1
n n
b n 1 n 3 Yi , b n 2 n 2 Yi ,
2
i 1 i 1
n n
b n 2 n 3 Yi Yi , b n 3 n 3 Yi .
2
i 1 i 1
Thus the variance and covariance for each set of parameters may be given by,
1 1
cov Xˆ 1 , , Xˆ n , ˆ , ˆ ,
ˆ B Xˆ 1 , , Xˆ n , ˆ , ˆ ,
ˆ (13)
A
1 A
var ˆ , A ' 1 A2 , (14)
2nA '
cov ˆ , cov ˆ , cov
ˆ , 0 . (15)
S.Z. Satari et al. 403
6. SIMULATION STUDY
Simulation study has been carried out using the SPlus statistical package to assess
the accuracy and biasness of the proposed model. We generated random samples of size
n 30, 50,100 and 120 respectively from the von Mises distribution for the circular
variable X with circular error and . The values of X follows the VM , 2 . For
2
circular angular error and , the values are chosen from VM 0, and VM 0,
with a set of concentration parameter given by 10,15, 30 and 50 respectively.
Then, based from the generated random samples X, and , we calculated the values of
the observe variables x and y using the new functional relationship model with fixed
values of 1.5, 1.5 and 0.5 respectively.
Note that, in this model, and are circular variables while and are
continuous. Let s be the number of simulation. Thus, the following computations were
carried out in the simulation study.
cos ˆ sin ˆ
1 2 2
iii) Mean Resultant Length, R j j
s
(b) Biasness for and
Let w be a generic for and . Then,
1
i) Mean, wˆ wˆ j
s
ii) Absolute Estimated Bias, AEB wˆ w
404 A new functional relationship model for circular variables
1
2
iii) Estimated Root Mean Square Errors, ERMSE wˆ j w .
s
The simulation results with s 5000 for each set of parameter values are shown in
Tables 1-4. Table 1 shows the simulation results for biasness and accuracy of . Table 2
shows the simulation results for biasness and accuracy of . Similar conclusions may be
drawn from Table 1 and Table 2 as it can be seen that the value of circular distance d
which represents the bias is relatively small regardless how large the sample size n and
the error concentration parameter . As sample size and error concentration parameter
increased, the value of mean resultant length R which represents the accuracy of the
parameter gets closer to one. These results clearly indicate that the estimators have small
bias and good accuracy. It can be concluded that ̂ is a good estimator of while ̂ is a
good estimator of .
Table 3 shows the simulation results for biasness of . It can be seen that, the mean
of ̂ gets closer to the true value of with the increase of sample size n and increase of
the error concentration parameter . Similar pattern can be seen from the values of
absolute estimated bias (AEB) and estimated root mean square error (ERMSE) in which
AEB and ERMSE both became smaller with increasing values of and . Thus, these
findings clearly suggest that ̂ is a good estimator of .
Table 4 shows the simulation results for biasness of estimated using the polyroot
method. The results clearly indicate that division by 2 is a good correction factor for the
error concentration parameter . The mean of gets close to the true value of with
the increase of sample size n and error concentration parameter . It is worthwhile to
note that as sample size increases, the values of AEB and ERMSE also decrease. This
suggests that the larger the sample size, the better the approximation. Thus, it can be seen
that is a good estimator of . Note that, similar findings are also obtained for the
similar sets of and n with different values of , , and respectively.
1
Hence, Y 0.294 2 tan 1 0.924 tan X 0.226 is the estimated functional
2
relationship model for this data set. Consequently, the Wald test for 0 has
z 15.294 with p value 0.001 . Thus it can be seen that at significance level 0.001,
the data show a strong correlation.
Also from the von Mises quantile plot shown in Figure 2, it is worthwhile to note that
each circular residual are independently distributed and follows the von Mises
distribution as the data are well scattered along the straight line in the plot. Further, we
calculated the value of Watson U 2 test and Kuiper’s V test using ORIANA software to
validate the goodness of fit for the model. It is shown in Table 6, the values of U 2 and V
test for each circular residual are relatively small indicating that the null hypothesis is not
rejected. Thus, there is enough evidence to conclude that the samples are drawn from the
von Mises distribution.
8. CONCLUSIONS
The proposed new functional relationship model is an extension of Down and Mardia
circular-circular regression model. It is shown from simulation study and application to
real data set that all the estimators have small bias and good accuracy. Also, it is
ˆ
proposed that gives a good approximation value for . Estimates obtained from a
2
practical real data illustrates the potential usefulness of the proposed model in describing
the relationship between two circular variables.
9. ACKNOWLEDGEMENT
The authors wish to thank National Defence University of Malaysia
(FRGS/1/2012/ST06/UPNM/01/1) and University of Malaya (RG 239-12AFR) for the
research grant in undertaking this research.
REFERENCES
1. Caires, S. and Wyatt, L.R. (2003). A Linear Functional Relationship model for
circular data with an application to the assessment of ocean wave measurements.
Journal of Agricultural, Biological and Environment Statistics, 8(2), 153-169.
2. Casella, G. and Berger, R.L. (2001). Statistical Inference. Duxbury Thomson
Learning. USA.
3. Chernov, N. (2011). Circular and linear regression: Fitting circles and lines by least
squares. Taylor and Francis Group, LLC US.
4. Down, T.D. and Mardia, K.V. (2002) Circular regression. Biometrika, 89(3), 683-697.
5. Fuller, W.A. (1987). Measurement Error Models. John Wiley, New York.
6. Hassan, S.F., Zubairi, Y.Z. and Hussin, A.G. (2010a). Estimation of functional
relationship model for circular variables and its application in measurement problems.
Chiang Mai J. Sci., 37(2), 195-205.
406 A new functional relationship model for circular variables
7. Hassan, S.F., Zubairi, Y.Z. and Hussin, A.G. (2010b). Analysis of missing values in
simultaneous linear functional model for circular variables. Scientific Research and
Essays, 5(12), 1483-1491.
8. Hassan S.F., Hussin, A.G. and Zubairi, Y.Z. (2012). Improved Efficient
Approximation of Concentration Parameter and Confidence Interval for Circular
Distribution. ScienceAsia, 38(1), 118-124.
9. Hussin, A.G. (1997). Psuedo-replication in functional relationship with
environmental application. Ph.D. Thesis. University of Sheffield, England.
10. Hussin, A.G. (1998). The unreplicated complex linear functional relationship model
and its application. Bull. Malaysian. Math. Soc. (Second Series), 21, 79-86.
11. Hussin, A.G. (2003). On estimating error concentration parameter for circular
functional model. Bull. Malaysian. Math. Soc. (Second Series), 26, 181-188.
12. Hussin, A.G. (2005). Approximating Fisher’s information for the replicated linear
circular functional relationship model. Bull. Malays. Math. Sci. Soc., (2) 28(2), 1-9.
13. Hussin, A.G., Hassan, S.F., Zubairi, Y.Z., Zaharim, A. and Sopian, K. (2009). An
approximation of error concentration parameter for simultaneous circular functional
relationship model. European Journal of Scientific Research, 27(2), 258-263.
14. Hussin, A.G., Abuzaid, A.H., Zulkifli, F. and Mohamed, I.B. (2010a). Asymptotic
covariance and detection of influential observations in a linear relationship model for
circular data with application to the measurements of wind directions. ScienceAsia,
36, 249-253.
15. Hussin, A.G., Hassan, S.F. and Zubairi, Y.Z. (2010b). A statistical method to describe
the relationship of circular variables simultaneously. Pak. J. Statist., 26(4), 593-607.
16. Kendall, M.G. and Stuart, A. (1973). The advanced Theory of Statistics. Hafner, New
York.
17. Laycock, P.J. (1975). Optimal design: Regression model for directions. Biometrika,
62, 305-311.
S.Z. Satari et al. 407
Table 1:
Simulation Result for ̂ (True Value of 1.5, 1.5, 0.5 )
Performance
n 10 15 30 50
Indicator
30 1.479 1.483 1.483 1.490
Circular 50 1.482 1.486 1.488 1.493
Mean 100 1.490 1.495 1.496 1.496
120 1.491 1.496 1.496 1.497
30 2.092×10² 1.733×10² 1.686×10² 0.953×10²
Circular 50 1.780×10² 1.409×10² 1.196×10² 0.730×10²
Distance, d 100 1.003×10² 0.464×10² 0.414×10² 0.358×10²
120 0.927×10² 0.379×10² 0.356×10² 0.348×10²
30 0.803 0.861 0.929 0.955
Mean Resultant 50 0.890 0.929 0.967 0.979
Length, R 100 0.950 0.968 0.985 0.992
120 0.960 0.974 0.988 0.993
Table 2:
Simulation Result for ̂ (True Value of 1.5, 1.5, 0.5 )
Performance
n 10 15 30 50
Indicator
30 1.485 1.489 1.492 1.495
Circular 50 1.492 1.493 1.494 1.496
Mean 100 1.495 1.497 1.497 1.498
120 1.496 1.498 1.498 1.498
30 1.546×10² 1.141×10² 0.774×10² 0.550×10²
Circular 50 0.798×10² 0.720×10² 0.648×10² 0.407×10²
Distance, d 100 0.484×10² 0.338×10² 0.269×10² 0.201×10²
120 0.426×10² 0.241×10² 0.183×10² 0.181×10²
30 0.941 0.959 0.978 0.986
Mean Resultant 50 0.966 0.978 0.989 0.993
Length, R 100 0.984 0.989 0.995 0.997
120 0.987 0.991 0.996 0.998
408 A new functional relationship model for circular variables
Table 3:
Simulation Result for ̂ (True Value of 1.5, 1.5, 0.5 )
Performance
n 10 15 30 50
Indicator
30 0.436 0.459 0.482 0.488
50 0.465 0.479 0.489 0.493
Mean
100 0.477 0.486 0.494 0.496
120 0.479 0.487 0.494 0.497
30 0.064 0.041 0.018 0.012
Absolute 50 0.035 0.021 0.011 0.007
Estimated Bias
(AEB) 100 0.023 0.014 0.006 0.004
120 0.021 0.013 0.006 0.003
30 0.144 0.106 0.066 0.048
Estimated Root
Mean Square 50 0.095 0.071 0.045 0.034
Error 100 0.061 0.046 0.031 0.023
(ERMSE)
120 0.056 0.042 0.028 0.021
Table 4:
Simulation Result for (True Value of 1.5, 1.5, 0.5 )
Performance
n 10 15 30 50
Indicator
30 11.456 17.694 35.750 60.502
50 10.809 16.415 32.889 54.871
Mean
100 10.307 15.568 31.247 52.117
120 10.193 15.441 30.899 51.705
30 1.456 2.694 5.750 10.502
Absolute 50 0.809 1.415 2.889 4.871
Estimated Bias
(AEB) 100 0.307 0.568 1.247 2.117
120 0.193 0.441 0.899 1.705
30 4.266 6.135 12.244 20.626
Estimated Root
Mean Square 50 2.563 3.799 7.649 12.567
Error 100 1.503 2.350 4.705 7.938
(ERMSE)
120 1.363 2.068 4.205 7.079
S.Z. Satari et al. 409
Fig. 1: Scatter Plot of HF Radar (x) and Anchored Buoy (y) for Humberside
Wind Data with Fitted Functional Relationship Line
Table 5:
Parameters Estimation of Humberside Wind Data
Parameter Estimate Standard Error
̂ 0.226 0.860
̂ 0.294 1.658
̂ 0.924 0.060
̂ 15.878 1.398436
ˆ 0.226, 0.294, 0.924 0.984
410 A new functional relationship model for circular variables
Table 6:
2
Watson U Test and Kuiper’s V Test for Circular Residuals
Type of Test and Test
p-value
Circular Residuals Statistics
8.839 < 0.005
Watson U 2
8.434 < 0.005
9.851 < 0.01
Kuiper’s V
9.406 < 0.01