In an election, the vote shares by party on a given subdivision of a territory form a vector with positive components adding up to 1 called a composition. Using a conventional multiple linear regression model to explain this vector by some factors is not adapted for at least two reasons: the existence of the constraint on the sum of the components and the assumption of statistical independence across territorial units questionable due to potential spatial autocorrelation. We develop a simultaneous spatial autoregressive model for compositional data which allows for both spatial correlation and correlations across equations. We propose an estimation method based on two-stage and three-stage least squares. We illustrate the method with simulations and with a data set from the 2015 French departmental election.
To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and models, known but scattered in the literature, we prove that the maximum likelihood estimator of the covariance matrix in the UT model is asymptotically biased and propose an unbiased version. We provide implementation details for an iterative reweighted algorithm to compute the maximum likelihood estimators of the parameters of the IT model. We present a simulation study to compare the bias and root mean squared error of the ensuing estimators of the regression coefficients and covariance matrix under several scenarios of the potential data-generating process, misspecified or not. We propose a graphical tool and a test based on the Mahalanobis distance to guide the choice between the competing models. We also present an application to model vectors of financial assets returns.
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