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自回归模型中最小二乘估计量的渐近性质
Consistency and asymptotic normality of least-squares estimators are discussed for the linear autoregressive model with explanatory variables. Few assumptions are made about the error sequence. The case of stochastic explanatory variables is also considered.
比例数据 Beta–二项方差分析中的类内相关系数推断
Summary The paper is concerned with the analysis of sets of proportions where there is strong variation within sets. In one parameterization (Crowder, 1978) the underlying mean proportions are π1,…, πk in the k sets, and variation within sets is associated with a parameter σ2. The last of these is the intraclass correlation coefficient for the basic binary data and is of independent interest, rather than just a nuisance parameter. We propose a technique for inference about…
依赖观测下的最大似然估计
Summary The asymptotic properties of m.l.e. are discussed for generally dependent observations. Conditions are derived for weak consistency and asymptotic Normality of the estimates. We further consider the case where some of the parameters are “transient” in the sense that the accumulated information on them from the sample does not increase indefinitely; then the interest lies in estimating the other parameters consistently. Examples are given, and the work is related to…