日期精度：到日 23 篇 · 到月 25 篇 · 到年 17 篇
现代统计理论的若干先驱：个人回顾
An outline account is given of the work of nine major figures working mostly in the earlier two-thirds of the 20th century. Some comments are included about their personal characteristics.
复杂参数模型的拟合
Consider parametric models that are too complicated to allow calculation of a likelihood but from which observations can be simulated. We examine parameter estimators that are linear functions of a possibly large set of candidate features. A combination of simulations based on a fractional design and sets of discriminant analyses is then used to find an optimal estimator of the vector parameter and its covariance matrix. The procedure is an alternative to the approximate…
广义线性混合模型对假设敏感性的一个注记
A simple case of Poisson regression is used to study the potential gain in efficiency from using a mixed model representation. Possible systematic errors arising from misspecification of the random terms in the model are examined. It is shown in particular that for a special but realistic problem, appreciable bias may arise from misspecification of a random component.
关于由边际密度构造伪似然的说明
For likelihood‐based inference involving distributions in which high‐dimensional dependencies are present it may be useful to use approximate likelihoods based, for example, on the univariate or bivariate marginal distributions. The asymptotic properties of formal maximum likelihood estimators in such cases are outlined. In particular, applications in which only a single q×1 vector of observations is observed are examined. Conditions under which consistent estimators of…
筛选显著效应的简单程序
Summary Given a large number of test statistics, a small proportion of which represent departures from the relevant null hypothesis, a simple rule is given for choosing those statistics that are indicative of departure. It is based on fitting by moments a mixture model to the set of test statistics and then deriving an estimated likelihood ratio. Simulation suggests that the procedure has good properties when the departure from an overall null hypothesis is not too small.
二元随机变量的条件关联与边际关联
The relationship between marginal and conditional distributions of binary random variables is analysed via a log‐linear model. Conditions for the Yule–Simpson effect are established and the implications for latent class analysis examined.
非正态分布下简单随机效应模型的估计
A simple structural model is considered involving the addition of two random variables representing between‐ and within‐group variation. Methods for estimating the cumulants of the two components of variation are proposed, based on homogeneous polynomials in the data. Emphasis is placed on situations in which the number of observations per group is quite small. In some cases an essentially unique estimator is available, whereas in others there is a family of possible…
计量经济学、金融及其他领域中的时间序列模型
Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodology
调整剖面似然计算的一则说明
SUMMARY An adjustment to the profile likelihood examined by Cox and Reid required orthogonalization of the nuisance parameters with respect to the parameter of interest. An approximation to the adjusted profile likelihood not requiring explicit orthogonalization is derived and exemplified.
剖面似然与修正剖面似然差异札记
The difference between profile likelihood and modified profile likelihood depends primarily on the expected value of a certain third order derivative of the log likelihood. It is shown that in exponential family problems this derivative vanishes if the parameter of interest is a mean parameter but in general not when it is a canonical parameter. As examples some matched pair problems for exponential family models are considered.
非线性方差分量模型
General aspects of nonlinearity in the context of component of variance models are discussed, and two special topics are examined in detail. Firstly, simple procedures, both formal and informal, are proposed for describing departures from normal-theory linear models. Transformation models are shown to be a special case of a more general formulation, and data on blood pressure are analyzed in illustration. Secondly, an approximate likelihood is proposed and its accurate…
约束子模型中最大似然估计的近似
An approximation to the maximum likelihood estimates of the parameters in a model can be obtained from the corresponding estimates and information matrices in an extended model, i.e. a model with additional parameters. The approximation is close provided that the data are consistent with the first model. Applications are described to log linear models for discrete data, to models for multivariate normal distributions with special covariance matrices and to mixed…
近似条件似然的一个时间序列例证
We consider the calculation of confidence intervals for the correlation parameter, based on observations of a large number of short Gaussian first-order autoregressive processes with different means but common correlation and variance. Ordinary profile likelihood gives very misleading answers. The approximate conditional likelihood of Cox & Reid (1987) is calculated and shown to lead to consistent estimation of the correlation. Simulations verify that the usual asymptotic…
近似条件似然的一个时间序列示例
We consider the calculation of confidence intervals for the correlation parameter, based on observations of a large number of short Gaussian first-order autoregressive processes with different means but common correlation and variance. Ordinary profile likelihood gives very misleading answers. The approximate conditional likelihood of Cox & Reid (1987) is calculated and shown to lead to consistent estimation of the correlation. Simulations verify that the usual asymptotic…
大量小样本中的序列相关检验
Methods are outlined for testing for serial correlation in large numbers of small samples, emphasis being placed on samples of size three. Some data on pulse rates are analysed in illustration.
大量小样本中的序列相关检验
Methods are outlined for testing for serial correlation in large numbers of small samples, emphasis being placed on samples of size three. Some data on pulse rates are analysed in illustration.
指数族响应下的试验设计札记
Some simple design problems are considered when responses have an exponential family distribution with the difference between ‘treatment’ groups in the canonical parameter being the objective of study. It is shown that normal theory conclusions apply to a possibly surprising extent. The loss from randomizing followed by subsequent stratification is the equivalent of one observation per stratum. For binary data heterogeneity has to be quite large before failure to stratify…
参数正交性与近似条件推断
SUMMARY We consider inference for a scalar parameter Ψ in the presence of one or more nuisance parameters. The nuisance parameters are required to be orthogonal to the parameter of interest, and the construction and interpretation of orthogonalized parameters is discussed in some detail. For purposes of inference we propose a likelihood ratio statistic constructed from the conditional distribution of the observations, given maximum likelihood estimates for the nuisance…
不变量与似然比统计量
Because the likelihood ratio statistic is invariant under reparameterization, it is possible to make a large-sample expansion of the statistic itself and of its expectation in terms of invariants. In particular, the Bartlett adjustment factor can be expressed in terms of invariant combinations of cumulants of the first two log-likelihood derivatives. Such expansions are given, first for a scalar parameter and then for vector parameters. Geometrical interpretation is given…
有效自由度与似然比检验
Normal-theory problems involving several unknown variances may require use of estimates not having simple chi-squared distributions. Confidence intervals are then commonly based on the use of ‘effective degrees of freedom’, i.e. the fitting of a gamma distribution via the first two moments, replacing parameters by estimates. The confidence intervals given by this method are compared with those resulting from the likelihood ratio test, inserting a Bartlett adjustment factor…
似然比统计量的 Bartlett 调整与最大似然估计量的分布
SUMMARY For rather general parametric models, a simple connection is established between the Bartlett adjustment factor of the log-likelihood ratio statistic and the normalizing constant c of the formula c | ĵ |½ L̄ for the conditional distribution of a maximum likelihood estimator as applied to the full model and the model of the hypothesis tested. This leads to a relatively simple demonstration that division of the likelihood ratio statistic by a suitable constant or…