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摘要暂缺

计量经济学、金融及其他领域中的时间序列模型AI 解读

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

摘要暂缺

曲指数模型中稳定且不变的调整剖面似然与定向似然AI 解读

For curved exponential models, the modified profile likelihood and the modified directed likelihood are approximated, with error 0(n-1) under ordinary repeated sampling, by explicitly defined and invariant quantities which do not require specification of an ancillary and which are stable in the sense of having the appropriate conditionality property with respect to any reasonable ancillary.

曲指数模型中稳定且不变的调整剖面似然与定向似然AI 解读

SUMMARY For curved exponential models, the modified profile likelihood and the modified directed likelihood are approximated, with error O(n-1) under ordinary repeated sampling, by explicitly defined and invariant quantities which do not require specification of an ancillary and which are stable in the sense of having the appropriate conditionality property with respect to any reasonable ancillary.

稳定且不变的调整有向似然AI 解读

For the purpose of making inferences for a one-dimensional interest parameter, or constructing approximate complementary ancillaries or residuals, the directed likelihood or signed square root of the likelihood ratio statistic can be adjusted so that the resulting modified directed likelihood is under ordinary repeated sampling approximately standard normal with error of O(n−3/2), conditional on a suitable ancillary statistic and hence unconditionally. In general, suitable…

剖面似然与定向似然的调整形式及扩展似然AI 解读

SUMMARY Several adjusted and invariant versions of profile likelihood and of directed likelihood (short for signed log-likelihood ratio) are discussed. These adjusted versions, which fall into two groups, are closely related to modified profile likelihood and modified directed likelihood. The first group has the advantage of not requiring an explicit specification of an ancillary, but partly at a cost of a loss of asymptotic accuracy in comparison with the modified versions.…

稳定且具不变性的调整定向似然AI 解读

SUMMARY For the purpose of making inferences for a one-dimensional interest parameter, or constructing approximate complementary ancillaries or residuals, the directed likelihood or signed square root of the likelihood ratio statistic can be adjusted so that the resulting modified directed likelihood is under ordinary repeated sampling approximately standard normal with error of O(n-312), conditional on a suitable ancillary statistic and hence unconditionally. In general,…

正交测地模型AI 解读

A variety of exponential models with affine dual foliations have been noted to possess certain rather similar statistical properties. To give a precise meaning to what has been conceived as "similar," we here propose a set of five conditions, of a differential geometric/statistical nature, that specify the class of what we term orthogeodesic models. It is discussed how these conditions capture the properties in question, and it is shown that some important nonexponential…

一种二阶渐近独立性AI 解读

SUMMARY Suppose that a random vector x is partitioned into two subvectors and that generic coordinates of these subvectors are indicated by xa, xb, … and xr, xs, … respectively. If the joint cumulant (matrix) (ka,r) equals 0 then xa and xr are asymptotically independent to order O(n -1/2) under ordinary repeated sampling. When the third-order joint cumulant (array) (ka,b,r) is also 0 this independence statement may be sharpened to asymptotic independence to order O(n -1) of…

修正的带符号对数似然比AI 解读

The signed log likelihood ratio r for a one-dimensional interest parameter can be modified as r* = r + r−1 log (u/r) so that r* is asymptotically standard normally distributed with error of order O(n−/32;), u being interpretable as a test statistic. A new, more direct derivation of this result is given, which leads to a more explicit expression for u and provides a better handle on the error term. The relation of the tail area approximation determined by r* to a…

关于自然死亡率半参数估计量的一则说明AI 解读

A semiparametric estimator of natural mortality, introduced by Hearn, Sandland & Hampton (1987), was studied by Leigh (1988), who noted that its asymptotic variance may sometimes be infinite. We discuss the nonnorrnal asymptotic behaviour that can occur in this case, and remark on difficulties that it causes in practice.

关于自然死亡率半参数估计量的一则札记AI 解读

A semiparametric estimator of natural mortality, introduced by Hearn, Sandland & Hampton (1987), was studied by Leigh (1988), who noted that its asymptotic variance may sometimes be infinite. We discuss the nonnorrnal asymptotic behaviour that can occur in this case, and remark on difficulties that it causes in practice.

微分几何、剖面似然、L 充分性与复合变换模型AI 解读

Let $\Omega$ denote the parameter space of a statistical model and let $\mathscr{K}$ be the domain of variation of the parameter of interest. Various differential-geometric structures on $\Omega$ are considered, including the expected information metric and the $\alpha$-connections studied by Chentsov and Amari, as well as the observed information metric and the observed $\alpha$-connections introduced by Barndorff-Nielsen. Under certain conditions these geometric objects on…

Bartlett 校正后似然比统计量的检验水平误差AI 解读

It is well that Bartlett adjustment reduces level-error of the likelihood ratio statistic from order n−1 to order n−3/2. In the present note we show that level-error of the adjusted statistic is actually order n−2.

Bartlett 调整后似然比统计量的检验水平误差AI 解读

It is well that Bartlett adjustment reduces level-error of the likelihood ratio statistic from order n−1 to order n−3/2. In the present note we show that level-error of the adjusted statistic is actually order n−2.

似然与观测几何AI 解读

In the differential geometric approach to parametric statistics, developed by Chentsov, Efron, Amari, and others, the parameter space is set up as a differentiable manifold with expected information as metric tensor and with a family of affine connections, the a-connections, determined from the expected information and the skewness tensor of the score vector. The usefulness of this approach is particularly notable in connection with Edgeworth expansions of estimators.…

摘要暂缺

基于标准化有符号对数似然比的全部或部分参数推断AI 解读

For parametric models it is shown in general that by adjusting the mean and variance of the signed log likelihood ratio for a single parameter of interest ψ one obtains a statistic which is asymptotically standard normally distributed to order O(n–23) , under repeated sampling. This statistic may also be used as an ancillary in the associated problem of drawing inference on the complementary parameter χ for known value of ψ in which case it entails accuracy to the same order…

非遍历模型的渐近最优推断AI 解读

0. An Over-view.- 1. Introduction.- 2. The Classical Fisher-Rao Model for Asymptotic Inference.- 3. Generalisation of the Fisher-Rao Model to Non-ergodic Type Processes.- 4. Mixture Experiments and Conditional Inference.- 5. Non-local Results.- 1. A General Model and Its Local Approximation.- 1. Introduction.- 2. LAMN Families.- 3. Consequences of the LAMN Condition.- 4. Sufficient Conditions for the LAMN Property.- 5. Asymptotic Sufficiency.- 6. An Example (Galton-Watson…

似然比统计量的 Bartlett 调整与最大似然估计量的分布AI 解读

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…