论文检索

用于局部平稳波动率估计的 Haar–Fisz 技术AI 解读

We consider a locally stationary model for financial log-returns whereby the returns are independent and the volatility is a piecewise-constant function with jumps of an unknown number and locations, defined on a compact interval to enable a meaningful estimation theory. We demonstrate that the model explains well the common characteristics of log-returns. We propose a new wavelet thresholding algorithm for volatility estimation in this model, in which Haar wavelets are…

残留效应与直接效应成比例时的最优交叉设计AI 解读

There are a number of different models for crossover designs which take account of carryover effects. Since it seems plausible that a treatment with a large direct effect should generally have a larger carryover effect, Kempton et al. (2001) considered a model where the carryover effects are proportional to the direct effects. The advantage of this model lies in the fact that there are fewer parameters to be estimated. Its problem lies in the nonlinearity of the estimators.…

聚类二元数据的可计算多元随机效应模型AI 解读

We consider a multivariate random effects model for clustered binary data that is useful when interest focuses on the association structure among clustered observations. Based on a vector of gamma random effects and a complementary log-log link function, the model yields a likelihood that has closed form, making a frequentist approach to model-fitting straightforward. This closed form yields several advantages over existing methods, including easy inspection of model…

通过p值加权控制错误发现AI 解读

We present a method for multiple hypothesis testing that maintains control of the false discovery rate while incorporating prior information about the hypotheses. The prior information takes the form of p-value weights. If the assignment of weights is positively associated with the null hypotheses being false, the procedure improves power, except in cases where power is already near one. Even if the assignment of weights is poor, power is only reduced slightly, as long as…

区间删失模型与寿命分布的模拟推断AI 解读

Interval-censored lifetime data arise when individuals in a study are inspected intermittently so that a lifetime is observed to lie between two successive times. In settings where only these two times are available, methods exist for nonparametric or parametric estimation of lifetime distributions. However, there has been virtually no discussion of how inspection processes may be estimated or identified. Such estimates are needed if one is to generate interval-censored data…

依赖截断下的生存分布估计AI 解读

The product-limit estimator calculated from data subject to random left-truncation relies on the testable assumption of quasi-independence between the failure time and the truncation time. In this paper, we propose a model for a truncated sample of pairs (X-sub-i, Y-sub-i) satisfying Y-sub-i > X-sub-i. A possible dependency between the truncation time and the variable of interest is modelled with a parametric family of copulas. The model also features a distribution function…

随机组大小的组序贯试验置信区间及生存分析应用AI 解读

A new ordering scheme for defining quantiles of the multivariate distribution of a stopping time and a stopped stochastic process is introduced. This ordering scheme is used in conjunction with resampling methods to construct confidence intervals for a population mean following a group sequential test with random group sizes, and for the regression parameter of a proportional hazards model following a time-sequential clinical trial with censored survival data. It is shown…

计数过程半参数变换模型的有效估计AI 解读

A class of semiparametric transformation models is proposed to characterise the effects of possibly time-varying covariates on the intensity functions of counting processes. The class includes the proportional intensity model and linear transformation models as special cases. Nonparametric maximum likelihood estimators are developed for the regression parameters and cumulative intensity functions of these models based on censored data. The estimators are shown to be…

存在选择偏差时总体协方差矩阵的恢复AI 解读

This paper considers the problem of using observational data in the presence of selection bias to identify causal effects in the framework of linear structural equation models. We propose a criterion for testing whether or not observed statistical dependencies among variables are generated by conditioning on a common response variable. When the answer is affirmative, we further provide formulations for recovering the covariance matrix of the whole population from that of the…

高斯 Copula 回归模型的高效贝叶斯推断AI 解读

A Gaussian copula regression model gives a tractable way of handling a multivariate regression when some of the marginal distributions are non-Gaussian. Our paper presents a general Bayesian approach for estimating a Gaussian copula model that can handle any combination of discrete and continuous marginals, and generalises Gaussian graphical models to the Gaussian copula framework. Posterior inference is carried out using a novel and efficient simulation method. The methods…

利用 DNA 档案数据库识别入库个体亲属的法医方法AI 解读

In this paper we evaluate the characteristics observed both on a crime sample and on individuals included in a database to assess the probability of alternative hypotheses concerning identification. The problem is first addressed by considering a generic characteristic and we demonstrate the problem via a computationally efficient Bayesian network. Then we turn our attention to a heritable DNA trait to show how to evaluate the hypotheses that some individuals, genetically…

控制错误发现率的自适应线性逐步上升程序AI 解读

The linear step-up multiple testing procedure controls the false discovery rate at the desired level q for independent and positively dependent test statistics. When all null hypotheses are true, and the test statistics are independent and continuous, the bound is sharp. When some of the null hypotheses are not true, the procedure is conservative by a factor which is the proportion m0/m of the true null hypotheses among the hypotheses. We provide a new two-stage procedure in…

基于平滑截断的局部似然密度估计AI 解读

Two existing density estimators based on local likelihood have properties that are comparable to those of local likelihood regression but they are much less used than their counterparts in regression. We consider truncation as a natural way of localising parametric density estimation. Based on this idea, a third local likelihood density estimator is introduced. Our main result establishes that the three estimators coincide when a free multiplicative constant is used as an…

参照样本集合对频率学推断的影响AI 解读

We employ second-order likelihood asymptotics to investigate how ideal frequentist inferences depend on the probability model for the data through more than the likelihood function, referring to this as the effect of the reference set. There are two aspects of higherorder corrections to first-order likelihood methods, namely (i) that involving effects of fitting nuisance parameters and leading to the modified profile likelihood, and (ii) another part pertaining to limitation…

用周期图估计非参数回归中的周期AI 解读

Properties of the periodogram are seldom studied in the setting of nonparametric regression, although that is the context in which the periodogram is widely applied in astronomy. There it is a competitor with more recent least-squares methods. The periodogram has the advantage of providing significant graphical insight into statistical and numerical aspects of the problem. However, as we show in the present paper, it also has drawbacks. The estimator that it produces has…

病例增补样本下的二元回归模型拟合AI 解读

In a case-augmented study, measurements on a random sample from a population are augmented by information from an independent sample of cases, that is units with some characteristic of interest. We show that inferences about the effect of the covariates on the probability of being a case can be made by fitting a modified prospective likelihood. We also show that this procedure is fully efficient.

随机删失下风险率函数的置信带AI 解读

We suggest a completely empirical approach to the construction of confidence bands for hazard functions, based on smoothing the Nelsen-Aalen estimator. In particular, we introduce a local bandwidth-choice method. Our approach uses empirical information about both the survival rate and the censoring rate, and employs undersmoothing to alleviate difficulties caused by bias. We use both Edgeworth expansion and numerical simulation, the former to develop a basic formula and the…

删失下连续事件生活质量调整间隔时间分布的估计AI 解读

When treatment effects are studied in the context of successive or recurrent life events, separate analyses of the quality-of-life scores and of the inter-event, gap, times might lead to possibly contradictory conclusions. In an attempt to reconcile this, we propose a unitary and more comprehensive nonparametric analysis that combines the two separate analyses by introducing the quality-of-life-adjusted gap time concept. Inverse probability of censoring estimators of the…

现状及区间删失数据的加速失效时间模型AI 解读

This paper introduces a novel approach to making inference about the regression parameters in the accelerated failure time model for current status and interval censored data. The estimator is constructed by inverting a Wald-type test for testing a null proportional hazards model. A numerically efficient Markov chain Monte Carlo based resampling method is proposed for obtaining simultaneously the point estimator and a consistent estimator of its variance-covariance matrix.…

用于小区域估计的 M 分位数模型AI 解读

Small area estimation techniques typically rely on regression models that use both covariates and random effects to explain variation between the areas. However, such models also depend on strong distributional assumptions, require a formal specification of the random part of the model and do not easily allow for outlier-robust inference. We describe a new approach to small area estimation that is based on modelling quantilelike parameters of the conditional distribution of…

理解聚类数据的非参数估计AI 解读

In this note we give an alternative formulation of the nonparametric estimators of Wang (2003) with the identity link. This results in a closed form of the estimator that has computational advantages and gives insight into the rationale behind the estimator. Copyright 2006, Oxford University Press.

具有边际比例风险的重复事件模型AI 解读

Semiparametric methods were proposed by Wei et al. (1989) to analyse recurring event-time data. They modelled the marginal distribution of each event time with a Cox proportional hazards model without imposing any constraint on the joint distribution of different event times. Therefore, it is unclear whether or not event times can simultaneously satisfy their respective marginal proportional hazards assumptions, while having continuous joint distribution. Often this leads to…

小波回归中跨尺度阈值的参数化建模AI 解读

We propose a parametric wavelet thresholding procedure for estimation in the ‘function plus independent, identically distributed Gaussian noise’ model. To reflect the decreasing sparsity of wavelet coefficients from finer to coarser scales, our thresholds also decrease. They retain the noise-free reconstruction property while being lower than the universal threshold, and are jointly parameterised by a single scalar parameter. We show that our estimator achieves near-optimal…

重复测量分析中的秩回归AI 解读

We consider rank-based regression models for repeated measures. To account for possible withinsubject correlations, we decompose the total ranks into between- and within-subject ranks and obtain two different estimators based on between- and within-subject ranks. A simple perturbation method is then introduced to generate bootstrap replicates of the estimating functions and the parameter estimates. This provides a convenient way for combining the corresponding two types of…