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非线性时间序列识别：一阶刻画与阶数确定AI 解读

We study the possibility of identifying nonlinear time series using nonparametric estimates of the conditional mean and conditional variance. It is shown that most nonlinear models satisfy the assumptions needed to apply nonparametric asymptotic theory. Sampling variations of the conditional quantities are studied by simulation and explained by asymptotic arguments for a number of first-order nonlinear autoregressive processes. The conditional mean and variance can be used…

非参数回归中渐近最优的差分型方差估计AI 解读

Abstract We define and compute asymptotically optimal difference sequences for estimating error variance in homoscedastic nonparametric regression. Our optimal difference sequences do not depend on unknowns, such as the mean function, and provide substantial improvements over the suboptimal sequences commonly used in practice. For example, in the case of normal data the usual variance estimator based on symmetric second-order differences is only 64% efficient relative to the…

二元与连续变量混合情形下的预测判别与分类AI 解读

We derive the predictive allocation rule for classification of observations involving mixtures of binary and continuous variables. Our approach is based on the usual frequency distributions of the location model and vague prior distributions for the unknown parameters. The same approach is used to derive predictive rules when low-order linear models are imposed on the population parameters. We also present Monte Carlo results on the performance of the new predictive rule and…

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利用二次指数模型分析相关二元响应AI 解读

A model of quadratic exponential form is parameterized in terms of marginal means and pairwise correlations for the regression analysis of correlated binary data. Pseudo-maximum likelihood methods using a special case termed the multiplicative model are proposed, but are noted to be computationally unattractive if the ‘blocks’ of correlated responses are at all large. On the other hand score estimating functions for mean and correlation parameters are shown to be of a…

存在线性趋势时有限总体均值的最优估计AI 解读

Postulating different superpopulation models for a finite population with linear trend, we suggest optimal sampling strategies for estimating the finite population mean within some classes of unbiased strategies.

利用逻辑回归调整无应答偏差AI 解读

A method of adjustment for nonresponse is considered. No information about the nonrespondents is required, but the respondents are assumed to answer all questions of interest. One or more call-backs are assumed. The probabilities of response are represented by a logistic regression model, in which variables in the survey are explanatory variables. The probabilities are estimated using a modified conditional maximum likelihood approach, based on the respondents. The estimated…

多个变化点的最大似然估计AI 解读

Maximum likelihood estimation of the locations of changes in sequences of independent categorical random variables when there are known lower bounds on the lengths of the sub-sequences between the change points is discussed. A method is developed which finds one of the maximum likelihood solutions. The problem of estimating the number of changed segments is discussed and some numerical results about the precision of the estimates of the locations of changes are presented.…

亲代与子代相关系数的估计AI 解读

When families have different numbers of offspring, Srivastava (1984) provided an easily computable estimator as an alternative to the maximum likelihood estimator of parent-offspring correlation. Some properties of this estimator are discussed vis-à-vis with those of ensemble and pairwise estimators. Further, we derive the small sample distribution of Srivastava's estimator under the assumption of null parent-offspring correlation. In the process, we demonstrate that a…

家庭数据中组内相关的最大似然估计：估计方程方法AI 解读

We introduce a generalized model for estimating intraclass correlation in the analysis of familial data. This model incorporates the models of Donner & Koval (1980), Donner & Bull (1983), Rosner (1984) and Münoz, Rosner & Carey (1986) as special cases. We then obtain the maximum likelihood estimates of the parameters of the model. In particular we obtain a single estimating equation, to be solved iteratively, for the estimation of the intraclass correlation p and discuss all…

ARMA 模型的阶数识别AI 解读

We present a new powerful method for determining the order of ARMA (p, q) models having small sets of observations. The procedure is based on an autoregressive order determination criterion and on linear estimation methods. Simulated data are used to demonstrate the capabilities of the approach.

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簇相关数据半参数广义线性模型的回归参数检验AI 解读

Generalized and ‘working’ Wald and score tests for regression coefficients in the class of semiparametric marginal generalized linear models for cluster correlated data (Liang & Zeger, 1986) are proposed, and their asymptotic distribution examined. In addition, the asymptotic distribution of the naive likelihood ratio test, or deviance difference, is presented. Following Rao & Scott (1984), we propose simple adjustments to such ‘working’ tests. The asymptotic distributions…

衡量单个观测对贝叶斯因子的影响AI 解读

In this paper we consider a measure of the effect of single observations on a logarithmic Bayes factor defined via the difference in the logarithms of the Bayes factors conditional first on all the data and then omitting an observation. The measure is related to the conditional predictive ordinate. The form of the measure and examples of its use are presented for a variety of situations, normal samples, linear models, log linear models and the checking of distributional…

多元方差分量秩检验的分位点AI 解读

In the balanced one-way multivariate analysis of variance with random effects the likelihood ratio criterion for testing that the rank of the covariance matrix of the effect vector is not greater than a specified number is considered. The limiting distribution of −2 times the logarithm of the criterion is the distribution of the sum of squares of the positive characteristic roots of a certain random symmetric matrix. This paper presents exact and simulated quantiles of this…

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每个条件方程中多个变量含误差时的稳健估计AI 解读

It is well known that, in the errors-in-variables estimation problem, the results will have unnecessary asymptotic bias unless the algorithm is properly formulated. Similar difficulties can be expected with robust estimation techniques that are based on extending least squares to a noneuclidean metric. This paper presents an algorithm for robust estimation for the nonlinear model errors-in-variables case. The properties of the estimates produced by the algorithm are…

具有异质峰度参数的协方差结构分析AI 解读

This paper discusses the analysis of covariance structures in a wide class of multivariate distributions whose marginal distributions may have heterogeneous kurtosis parameters. Elliptical distributions often used as a generalization of the normal theory are members of this class. It is shown that a simple adjustment of the weight matrix of normal theory, using kurtosis estimates, results in an asymptotically efficient estimator of structural parameters within the class of…

可变带宽曲线估计量的偏差AI 解读

A major difficulty in understanding the properties of variable bandwidth methods (Breiman, Meisel & Purcell, 1977; Abramson, 1982) is that extremely lengthy and complex algebra is needed to assess the influence of bias. Indeed, the complexity is so great that it has forced investigators to use computer algebraic manipulation to determine formulae for bias. In this note we completely eliminate these algebraic obstacles by presenting a simple easy-to-use formula which gives…

响应变量受删失时回归估计量的比较AI 解读

Several methods of estimating parameters in a linear regression when the response variable is censored are compared. The estimator of Buckley & James (1979) is preferred. Further, it is shown that the strength of the regression, the support and distribution of the censoring variable, and the magnitude of the slope all have an effect on the relative performance of the estimators.

修正 Weibull 模型中的若干非正则检验AI 解读

Certain tests on the parameters of a modified Weibull distribution are considered. Nonregular asymptotic behaviour of likelihood-based test statistics is observed. Competing tests, based on extreme order statistics, are investigated and comparisons are made of power functions.

关于 Wei 临床试验偏置硬币设计的统计推断AI 解读

Wei (1988) analyzed data from a clinical trial in which an urn-sampling model was used to allocate patients to treatments. The trial resulted in 11 patients being allocated to the experimental treatment, all successes, and with one patient allocated to the control treatment, a failure. Wei analyzed these data using a randomization algorithm and concluded that the results were almost significant at p = 0·051. He asserted that an analysis which ignored the design and presumed…

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