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确定线性时间序列模型的候选集合AI 解读

The paper applies selection criteria to order determination in linear time series models in a less mechanical fashion than is often found. This is achieved via posterior odds ratios and by applying concepts of grades of evidence advanced by Jeffreys (1961). It is shown how alternative specifications may be compared and this leads to the development of a practical method for determining a portfolio of different models, each of which may be regarded as reasonable for the data…

非连续观测时间序列参数估计量的渐近分布AI 解读

The asymptotic normal distributions of two estimators, the maximum likelihood estimator and an alternative weighted least-squares estimator proposed by Wincek & Reinsel (1986) for parameter estimation of autoregressive-moving average models with nonconsecutively observed or missing data are derived for the stationary first-order autoregressive model, and also for the moving average model under periodic A-B sampling. Numerical comparisons of the explicit asymptotic variances…

一种不等概率抽样方案AI 解读

A new sampling scheme, with probability of inclusion proportional to size, is proposed for a sample of given size n. It satisfies many requirements of a good sampling scheme under conditions usually met in practice. Empirical exploration of the feasibility of the proposed sampling scheme and of the stability of its variance, shows satisfactory performance.

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非负回归系数零约束的联合检验AI 解读

Three tests for zero restrictions on regression coefficients that are known to be nonnegative are considered: the classical F test, the likelihood ratio test, and a one-sided t test a particular direction. Critical values for the likelihood ratio test are given for the cases of two and three restrictions, and the power function is calculated for the case of two restrictions. The analysis is conducted in terms of a characterization of the clas all similar tests for the…

删失观测、重复测量与混合效应模型：正态误差下的 EM 方法AI 解读

Maximum likelihood estimation of a vector regression parameter and variance com ponents is considered for the mixed effects model when observations are right censored. A general scheme of estimation is given using the EM algorithm and detailed results found for the model with between and within block variation. This model is applied to the logarithms of survival times from a repeated measures design.

非线性回归中的偏差AI 解读

We investigate the biases of the residuals and maximum likelihood parameter estimates from normal nonlinear regression models. Emphasis is placed on a class of partially nonlinear models, on the role of individual cases in determining bias, on how bias affects standard diagnostic methods, and on the relationship between bias and curvature.

基于分层样本的回归分析AI 解读

Jewell (1985) described an iterative method of estimating parameters in the linear regression model from data collected from stratified samples of the dependent variable with no parametric assumptions on the residual distribution. The present paper considers an alternative iterative technique which is generally superior in terms of efficiency, often by a considerable amount. The method is extended to cover stratified sampling on a design variable which is correlated with the…

利用调查数据估计分布函数AI 解读

A simple method for estimating population distribution functions and associated quantiles from sample survey data is described and some asymptotic theory for it presented. The method assumes a model-based approach to survey estimation and allows auxiliary population information to be directly incorporated into the estimation process. Monte Carlo results comparing the proposed method with conventional design-based methods are given. These suggest that the model-based approach…

误差模型类别下回归参数估计量方差的保守估计AI 解读

Robust estimates of precision are obtained for generalized least-squares regression parameter estimators. They are robust in the sense of being conservative estimates of the variances of the parameter estimators when the error model is imprecisely specified. Serially-structured errors are one possible class. Substantial amounts of computing are required in each application. A numerical example is given in which errors are independent but do not necessarily have equal…

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关于似然比检验 Bartlett 调整的注记AI 解读

The invariance properties of the likelihood ratio statistic are used to question the validity of certain terms arising in the expansion of its null distribution. It is suggested that the null distribution of Bartlett adjusted tests is the appropriate reference chi-squared distribution with error of order n−3/2, where n is the sample size.

Cox 回归模型中生存概率估计的不确定性札记AI 解读

From a Cox regression model for censored survival data it is possible to estimate the t-year survival probability for an individual with covariates Z0, say. The variance of the estimate, however, depends not only on the value of the estimate but also on the particular covariate pattern z0. The dependence on z0 is studied and approximations to the variance are suggested which can be computed much more simply.

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非线性回归中的残差方差与残差模式AI 解读

A nonparametric estimator of residual variance in nonlinear regression is proposed. It is based on local linear fitting. Asymptotically the estimator has a small bias, but a larger variance compared with the parametric estimator in linear regression. Finite sample properties are investigated in a simulation study, including a comparison with other nonparametric estimators. The method is also useful for spotting heteroscedasticity and outliers in the residuals at an early…

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过度离散计数与比例数据矩估计量的渐近性质AI 解读

Consistency and asymptotic normality of moment estimates of regression parameters and an overdispersion parameter are shown for data with extra-binomial and extra-Poisson variation. The asymptotic covariance of the regression parameters is found to be unaffected by estimation of the overdispersion parameter. The moment estimates may be obtained using iterated weighted least squares.

序贯检验结束后最大似然估计的偏差AI 解读

The bias of maximum likelihood estimates calculated at the end of a sequential procedure is investigated. For the two sequential designs considered in detail, the sequential probability ratio test and the triangular test, this bias is appreciable. A method of calculating an adjusted estimate with reduced bias is described, and an approximation to the standard error of the new estimate is provided. Examples of the implementation of the method are given, and its advantages and…

相似检验与标准化对数似然比统计量AI 解读

When testing an affine hypothesis in an exponential family the ‘ideal’ procedure is to calculate the exact similar test, or an approximation to this, based on the conditional distribution given the minimal sufficient statistic under the null hypothesis. By contrast to this there is a ‘primitive’ approach in which the marginal distribution of a test statistic considered and any nuisance parameter appearing in the test statistic is replaced by an estimate. We show here that…

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