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# Correlation among variables and methods of establishing weights of sample units. Monte Carlo analysis of the modified synthetic estimator

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A C T A U N I V E R S I T A T I S L O D Z I E N S I S ____________ FOLIA OECONOMICA 216,2008

Tom asz Jurkiewicz*

C O R R E L A T I O N A M O N G V A R I A B L E S A N D M E T H O D S O F E S T A B L I S H I N G W E I G H T S O F S A M P L E U N IT S .

M O N T E C A R L O A N A L Y S I S O F T H E M O D I F I E D S Y N T H E T I C E S T I M A T O R

A B S T R A C 1. In m any statistical surveys one faces the problem o f insufficient number o f sam ple observations to m ake reliable inference about a g iv en population dom ain o f interest (sm all area). O ne p ossib le solution, w h ich has b een d iscu ssed in sta­ tistical p ublications co n sists in applying estim ators, w h ich w ill be able to com b in e sam ­ ple inform ation from the g iv en dom ain w ith inform ation about sam ple units representing other dom ains. Synthetic estim ation technique is particularly efficien t, i f the distribution o t the variable ot interest is the sam e in the g iv en dom ain and in the entire population. W hen this assum ption is far from being m et, one can obtain, as a co n seq u en ce, large estim ation errors.

U sing m od ified synthetic estim ator requires an application o f a tw o -sta g e estim ation procedure. The first stage co n sists in applying som e distance m easures in order to iden­ tify the degree o f sim ilarity betw een the sam ple units from the investigated dom ain and sam ple units representing other dom ains. In the second stage, those units, w hich turned out to be sim ilar to units from the dom ain o f interest, are used to provide sam ple infor­ m ation w ith sp ecia lly constructed w eights.

A m ethod o f estab lish in g w eig h ts is on e o f the crucial factors in using M E S estim a­ tor. Author presents results o f M onte Carlo analysis o f the e ffic ie n c y o f M ES estim ator using different w eigh ts.

K e y words: sm all dom ain estim ation, m ultivariate m ethods, distance m easures.

I. IN TR O D U CTIO N

It is widely observed that the processes o f economic and social develop­ ments result in an increasing demand for statistical information. Statistical sur­ veys, and representative surveys in particular, have recently become one o f the

Ph.D., Department o f Statistics, University o f Gdańsk, t.jurkiewicz@zr.univ.gda.pl.

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most popular ways o f collecting data and information needed to make decisions in various areas o f human activity. Because o f organisational and financial con­ straints those studies, however, are not able to supply credible data for a more detailed division o f the population into smaller domains o f studies. An insuffi­ cient number o f observations representing a particular domain may be an obsta­ cle in applying certain statistical techniques and tools, or may lead to consider­ able errors o f estimation (cf. Bracha (1996)). One possible way o f solving this problem is an attempt to construct estimators, which could use some additional information i.e. information about other components o f the sample, namely those coming from outside a particular part o f the population. The other possibility is to use additional information from outside o f the sample (prior information) to estimate parameters o f a defined subpopulation.

The notion o f “small domain” (small area) is defined as a domain o f studies, for which information is essential for the data user, and cannot be obtained by using a direct estimation method because o f insufficient sample size. Also, a small domain could be understood as a domain o f studies, for which the infor­ mation acquired with indirect methods is more reliable. From the methodologi­ cal point o f view it does not make any difference whether we consider a sub­ population o f one territory or a subpopulation isolated according to any other method.

The essence o f indirect estimation consists in “borrowing information” from other domains or other sources in order to improve the estimation efficiency in the domain o f interest. In case o f a representative study it is possible to use the following sources o f additional data (see: Domański, Pruska (2001), Jurkiewicz (2001), Kordos (1999)): some other domains in the sample; information about the number of particular strata, and the number o f domains in the studied popu­ lation; information about additional variables in the sample; information about an additional variable in the studied population; other available prior data, e.g. data from studies carried out in other periods.

The main purpose o f this paper is to evaluate an influence o f methods o f es­ tablishing weights o f sampling units on efficiency o f the modified synthetic es­ timator.

II. ESTIMATORS OF SMALL DOMAINS

The direct estimator o f an unknown parameter 0 Y d in a small domain is the simple domain (SD) estimator, known as the expansion estimator. It uses en­ tirely the data about randomly drawn components o f a sample belonging to the small domain, that way is not a truly small domain estimator, but it is a datum for other estimators. The SD estimator is unbiased, but because o f the small size

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o f the sample its variance is usually high. This estimator will have the following form for the mean value:

## - P '

S D X d ~ ( 0

n d

where: л-, stands for the variable values o f units in the domain d and nlt is the size o f the small domain d.

Synthetic estimation constitutes one o f the first propositions o f solving the principal problem o f estimation for small domains, which stems from an insuffi­ cient sample size. In order to do this an assumption is made that the structure of the studied population in the small domain and outside the domain is uniform, which enables us to use the information from the whole sample to estimate the value for the domain. This assumption may be limited in some cases to the simi­ larity o f only certain parameters in the population and in the domain. For in­ stance, the basis for construction of the common synthetic estimator is the as­ sumption that the means o f the studied characteristic in the population and in the domain do not essentially differ from each other. For the mean value o f the esti­ mator one can adopt the following statistics:

X —

s y n d

2

### )

where n is the sample size.

While applying the synthetic estimation, it is important to pay careful atten­ tion to the problem o f efficiency o f the adopted model. The larger discrepancies between the assumptions laying at the base o f this estimation technique and the reality, the more biased will be the estimators. It must be borne in mind that firstly, the bias may be o f considerable size, and secondly, in no way it is taken into account in formulae for the mean square error and estimators o f errors.

Modified Synthetic Estimator (MES)

The assumption about the compatibility o f structures o f the population and the domain remains usually unsatisfied, in particular in case o f specific domains, what results in large estimation errors. A possible solution o f this problem may be to strengthen the estimation process by modifying the estimator with informa­ tion from components or domains similar to the studied one. The proposed pro­ cedure o f estimation is carried out in two stages. The first step consists in

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estab-lishing which components or domains are similar to the studied one. Weights for additional information are calculated in relation to the degree o f similarity. Thus, data from similar components will imply a relatively high value o f the weight, while data from distant components will have a relatively lower weight or will not be taken into account at all. The mean estimator will adopt the following form:

where w; stand for weights for the components from outside the small domain d,

n~d is the size of all domains except for domain d.

It is worth to pay attention to one o f the advantages o f the MES estimator, which consists in the possibility o f using prior information derived from outside the study. Namely, while establishing the similarity between domains one can use data from completely different, e.g. earlier studies or other available infor­ mation about the population. In such a case, it is possible to derive estimators of parameters for the given domain, which is not represented in the sample.

The establishment o f the similarity o f the studied domain to other domains in the population may be carried out i.a. using the method o f multidimensional analysis, like a к-means grouping method. A different possibility to use addi­ tional information about units from outside the small domain gives as evaluation o f similarities between units. The first proposal based on a к-means grouping method. Components belonging to the domain o f study have to be classifying into к centres. The weights for components from outside the small domain should be calculated proportionally to the distance from the component to the nearest grouping centre.

The second proposal, which was applied in this paper, is based on individual distances among all units in the sample. In this study the Euclidean distance measure is used. The presumption was undertaken that the weight o f component from outside the domain o f interest should be run on the distance to the nearest component from small domain.

There were used four different methods o f establishing weights:

1. The weight w, = 1 was assigned for n nearest components form outside small domain to each individually component from small domain (n = 1, 2, 3, 4). All others components have weights equal to zero. These variants o f weights establishing were labelled as n l, n2, n3, n4.

_ _____m

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2. The weight w, = 1 was assigned fo rp (p = 5%, 1 0 % , 3 0 % ) components form outside small domain with smallest distances to any component from small domain. All others components have weights equal to zero. These variants of weights establishing were labelled as pn5, p n l O , p n 3 0 .

3. This variant was similar to previous, but the weight was proportional to the smallest distance to any component from small domain, w, = 1 for the nearest component, w, = 0 for all components with distance measure higher than &-th percentile (к = 5, 10, ..., 50) o f minimal distances. These variants o f weights establishing were label as pnw5, p n w lO ,..., pnw50.

4. This variant was similar to previous, but the weight was proportional to the square o f smallest distance to any component from small domain, w, = 1 for the nearest component, w, = 0 for all components with distance measure higher than £-th decile (k = 1, 2, ..., 8) o f minimal distances. These variants o f weights establishing were label as pnw kl, p n w k 2 ,..., pnwk8.

III. EVALUATION OF PROPERTIES OF TIIE MES ESTIMATOR

To evaluate the properties o f estimators o f the &Yd parameter in this study the mean bias o f the estimator in all experiments was used, calculated according to the following formula:

B IA S f = --- . (4)

s

where: 7}:, is the value o f the /-th estimator in the i-th experiment; 0V(/ is the real value o f mean o f the variable Y in domain ď, s is the number o f simulations.

The second element o f the evaluation was the mean square error, calculated according to the following formula:

### i v r J - e yt f

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---IV. PROCEDURE OK Л MONTE CARLO ANALYSIS

To evaluate an influence o f selecting particular weights on efficiency o f the MES estimator, some simulation experiments' were carried out.

For the sequence o f three covariance matrix with mean2 value of correlation coefficient ry = 0.2, 0.3, 0.4 in subsequent 1000 repetitions, in each repetition 1000 units (n = 1000) were generated from 7-dimension multivariate normal distribution3 with a given covariance matrix4. One variable is considered as the variable o f interest (i.e. the inference relates to this particular variable), and the other six variables are regarded auxiliary ones. First 100 units were assigned to small domain and were generated from 7-dimension multivariate normal distri­ bution with marginal distribution N{0.1, 0.8). Others 900 units assigned to other domains were generated from 7-dimension multivariate normal distribution with marginal distribution jV(0.0, 1.0). Subsequently the values o f expansion, syn­ thetic and MES estimator were calculated for variables from 1 to 7.

After all repetitions the bias and the mean square error were calculated for all variables. For the obtained results average values were computed.

In the simulation specificity o f small domain and level o f correlation be­ tween variables were mutually independent. The correlation between variables in the sample was about 0,5%—1 % higher than reflected in covariance matrix. It resulted from combining o f units from small and other domains. The small domain was differ from others with mean level of variable and was more homo­ geneous.

V. RESULTS OF THE STUDY

The proper choice o f the method o f establishing weights seems to be a cru­ cial factor o f efficiency o f the modified synthetic estimator. Very good results were obtained with all the methods, but the last two o f them were most effective. MES estimator in all cases was more efficient than the expansion estimator and synthetic estimator. Values o f the mean square error for all estimators are pre­ sented on figure 1. The comparison o f methods o f establishing weights is pre­ sented on figure 2.

1 All simulations quoted in this paper were carried out using Mathlab 7.1

2 All correlation coefficients were established at the same value, but because o f appearing correlations between randomly generated variables, the final covariance matrix could be slightly different than the established one.

3 All variables had the standard normal distribution. 4 Algorithm from Wieczorkowski, Zieliński (1997).

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0,009 0,008 0,007 0,006 0,005 0,004 0,003 0,002 0,001 0,000

I MES 0.2 I MES 0.3 HZ) MES 0.4 SD

0,009 0,008 0,007 0,006 0.005 0,004 0,003 0,002 0,001 0,000 piiw5 pnwl 5 pnw25 pnw35 pnw45 I MES 0.3 C D MES 0.4 SD -SYN

pnlO pn!5 pn20 pn2S pti30 í MES 0.2 I MES_0.3 СИЗ MES 0.4 SD -SYN

pnwkl pnwk2 pnwk3 pnwk4 pnwk5 pnwk6 piiwk7 pnwk8 I MES 0.2 ■ ■ MES 0.3 CZDMES 0.4 — SD ”* ” SYN

Figure I. The mean square error o f small domain estimators for various covariance matrixes Source: own study.

It can be observed that with the number o f units increasing, the efficiency of MES increases too, but the increase is smaller with each following unit (fig. 2).

Figure 2. The mean square error o f MES estimator for ry = 0.2 Source: own study.

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The variance o f MES estimator in simulation turned out to be independent on the level o f correlation between variables, but the bias o f estimator was smaller, if the correlation increased (figure 3). The proportion o f bias in MSE was increasing with an increase o f the number o f incorporated units from outside of the small domain. The proportion ranged from 0.1% to more than 40%.

0,045 -] 0,04 - 0,035 4 0,03 - 0,025 - 0,02 - 0,015 - 0.01 - 0,005 - 0 -□ 0,045 0,04 0,035 0,03 0,025 0,02 0,015 0,01 0,005 0

Figure 3. Bias o f MES estimator for various covariance matrices Source: own study.

CO NCLUSIO NS

An application o f the modified synthetic estimator seems to be a good alter­ native to the estimation o f distribution parameters in small domains, in particular in those domains, which differ significantly from the population. It is character­ ised with a relatively low variation, even if its bias may be quite considerable, in all o f cases it is smaller than the bias o f the synthetic estimator.

An important issue is an establishment o f the way o f weighing additional in­ formation. It seems that a better solution is to establish the weight for each ob­ servation derived from outside o f the small domain individually, on the basis of

pnw5 pnw!5 pnw23 pnw35 pnw45 Bias 0.2 I Bias 0.3 □ Bias 0.4

pnwkl pnwk2 pnwk3 puwk4 pnwkS pnwk6 piiwk7 pnwk8 □ Bias 0.2 ■ Bias 0.3 G B ias 0.4

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the distance o f each component from components belonging to the small domain (3-rd and 4-th presented method). This method, however, requires the presence o f an appropriate number o f components from the small domain in the sample. There is also possibility, if the domain is very specific, that in the whole sample there will be only a few similar units.

REFERENCES

Bracha С. (1 9 9 6 ) Teoretyczne podstawy metody reprezentacyjnej, P W N , W arszaw a D om ański C ., Pruska K. (2 0 0 1 ) M etody statystyki małych obszarów, W yd. U niw ersytetu

Ł ód zk iego

Jurkiew icz T. (2 0 0 1 ) Ejjiciency o f Small Domain Estimators fo r the Population Propor­ tion: A M onte Carlo Analysis, Statistics in Transition, V o l. 5, N o 2

K ordos J. (1 9 9 9 ) Problemy estymacji dla małych obszarów. W ia d o m o ści S tatystyczne 1/1999

W ieczork ow sk i R., Z ieliń sk i R. (1 9 9 7 ) Komputerowe generatory liczb losowych, W N T , W arszaw a

Tomasz Jurkiewicz

WPŁYW POZIOMU ZALEŻNOŚCI MIĘDZY ZMIENNYMI I SYSTEMU USTALANIA WAG NA EFEKTYWNOŚĆ ZMODYFIKOWANEGO ESTYMATORA SYNTETYCZNEGO - ANALIZA MONTE CARLO

Problem zb yt malej liczb y obserw acji w próbie, reprezentującej ok reślon ą dom enę populacji, m o ż e być rozw iązan y m ięd zy innym i poprzez za sto so w a n ie takich estym ato­ rów , które do szacow an ia param etrów w określonej subpopulacji (m ałym obszarze, d om enie) w yk orzystu ją dod atk ow e inform acje z pozostalej c z ę śc i próby. Jedna z m etod estym acji dla m ałych dom en zw ana estym acją syn tetyczn ą spraw dza się przy założeniu, ż e rozkład (albo któryś z param etrów rozkładu) w badanej m ałej d om en ie je s t id en tycz­ n y z rozkładem całej populacji. Z ałożen ie to pozostaje zazw yczaj n iesp ełn io n e, zw ła sz­ cza w przypadku sp ecy ficzn y ch dom en, co skutkuje dużym i błędam i estym acji.

Z astosow an ie zm o d y fik o w a n eg o estym atora sy n tety czn eg o (M E S ) zakłada dw u­ etap ow y proces estym acji. W p ierw szym etapie za p o m o cą m etod k lasyfik acji lub bada­ nia p od ob ień stw określa się p odobieństw a jed n ostek n ależących do m ałej d om en y do jed n ostek z pozostałej c z ę śc i próby. D rugim krokiem je s t w yk orzystan ie w estym acji, za p om ocą o d p o w ied n io skonstruow anych w ag, inform acji tylko od tych jed n ostek , które są podobne do jed n o stek z małej dom eny.

W ażnym czy n n ik iem w p ływ ającym na efek tyw n ość z m o d y fik o w a n eg o estym atora syn tetyczn ego je s t dobór m etod ustalania w ag dla p o sz c z e g ó ln y c h jed n o stek badanej zb iorow ości. A u-tor przedstaw ia w yniki sym u lacyjn ego badania efe k ty w n o śc i estym ato­ ra M ES przy za sto so w a n y ch różnych sposobach ustalania w ag.

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