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渐消加权区块自助法AI 解读

We introduce and study tapered block bootstrap methodology that yields an improvement over the well‐known block bootstrap for time series of Künsch (1989). The asymptotic validity and the favourable bias properties of the tapered block bootstrap are shown. The important practical issues of optimally choosing the window shape and the block size are addressed in detail, while some finite‐sample simulations are presented validating the good performance of the tapered block…

长程相依的贝叶斯半参数推断AI 解读

We develop a Bayesian semiparametric procedure for the analysis of stationary long‐range dependent time series. We use frequency domain methods to partition the infinite‐dimensional parameter space into regions where genuine prior information on the form of the spectral density is available, and others where vague prior beliefs are adopted; the solution to the partition problem, which is equivalent to bandwidth choice from a frequentist point of view, is obtained via Bayes…

含分类协变量的病例对照研究贝叶斯分析AI 解读

In a case‐control study the appropriate likelihood is the ‘retrospective’ likelihood, i.e. the likelihood of exposure given disease. For the classical frequentist analysis, the ‘prospective’ likelihood, i.e. the likelihood of disease given exposure, and the retrospective likelihood produce the same odds‐ratio estimators for exposure, and so logistic regression may be used for both. The Bayesian analysis is not so simple, but the Bayesian framework for case‐control studies…

序贯检验后次要参数的无偏估计AI 解读

We consider, within a Brownian motion framework, estimation of secondary parameters following a sequential test. Whitehead (1986b) proposed a method for reducing the bias of maximum likelihood estimators. In this paper we present unbiased estimators to eliminate the bias.

多元正态观测的收缩预测分布AI 解读

We investigate shrinkage methods for constructing predictive distributions. We consider the multivariate Normal model with a known covariance matrix and show that there exists a shrinkage predictive distribution dominating the Bayesian predictive distribution based on the vague prior when the dimension is not less than three. Kullback–Leibler divergence from the true distribution to a predictive distribution is adopted as a loss function.

计算机实验的最优与正交拉丁超立方设计AI 解读

Latin hypercube designs are often used in computer experiments as they ensure that few design points are redundant when there is effect sparsity. In this paper, designs suitable for factor screening are presented and they are shown to be efficient in terms of runs required per factor as well as having optimal and orthogonal properties. Designs orthogonal under full second‐order models are also constructed.

逻辑斯蒂混合自回归模型AI 解读

We generalise the mixture autoregressive, MAR, model to the logistic mixture autoregressive with exogenous variables, LMARX, model for the modelling of nonlinear time series. The models consist of a mixture of two Gaussian transfer function models with the mixing proportions changing over time. The model can also be considered as a generalisation of the self‐exciting threshold autoregressive, SETAR, model and the open‐loop threshold autoregressive, TARSO, model. The…

三维运动统计分析的方向模型AI 解读

Movement of an object in three dimensions involves rotation and translation. The data for analysis are the coordinates of landmarks on the object, recorded at several time points. Statistical models for describing the rotational component of the movement of an object are proposed in this work. Under the fixed‐axis model, the object rotates around an axis that does not change in time. The angular position of the object is then characterised by its rotation axis and an angle…

广义线性混合模型中的稳健估计AI 解读

We propose robust methods for estimation of parameters of interest in an extended generalised linear mixed model, in which only the conditional means of the responses given the random effects are specified. A first‐step estimator θ of the vector θ of parameters is obtained by solving a system of estimating equations. It is shown that θ is consistent. If, furthermore, the conditional variances are correctly specified, a second‐step estimator, θ, can be obtained by solving a…

区间删失数据的简便加速失效时间回归AI 解读

An approach is presented for fitting the accelerated failure time model to interval censored data that does not involve computing the nonparametric maximum likelihood estimate of the distribution function at the residuals. The approach involves estimating equations computed with the examination times from the same individual treated as if they had actually been obtained from different individuals. The dependence between different measurements obtained from the same…

覆盖概率偏差、客观贝叶斯与似然原则AI 解读

We review objective Bayes procedures based on both parametric and predictive coverage probability bias and explore the extent to which such procedures contravene the likelihood principle in the case of a scalar parameter. The discussion encompasses choice of objective priors, objective posterior probability statements and objective predictive probability statements. We conclude with some remarks concerning the future development and implementation of objective priors based…

合并可能相似的实验数据AI 解读

Given data from L experiments or observational studies initially believed to be similar, it is desired to estimate the mean corresponding to an experiment or observational study, Ej, of particular interest. It is often profitable to use the data from related studies to sharpen the estimate corresponding to experiment Ej . However, it is essential that all of the data that are combined be concordant with the data from Ej. We improve the methodology first proposed by Malec &…

神经网络中的贝叶斯推断AI 解读

Approximate marginal Bayesian computation and inference are developed for neural network models. The marginal considerations include determination of approximate Bayes factors for model choice about the number of nonlinear sigmoid terms, approximate predictive density computation for a future observable and determination of approximate Bayes estimates for the nonlinear regression function. Standard conjugate analysis applied to the linear parameters leads to an explicit…

利用Metropolis–Hastings算法推断部分观测非线性扩散模型AI 解读

In this paper, we introduce a new Markov chain Monte Carlo approach to Bayesian analysis of discretely observed diffusion processes. We treat the paths between any two data points as missing data. As such, we show that, because of full dependence between the missing paths and the volatility of the diffusion, the rate of convergence of basic algorithms can be arbitrarily slow if the amount of the augmentation is large. We offer a transformation of the diffusion which breaks…

广义估计方程中的稳健方差估计量AI 解读

The variance matrix of the estimated regression coefficient in the Liang–Zeger generalised estimating equation approach can be consistently estimated by the so‐called sandwich or robust estimator. In this note, we propose a modification to the Liang–Zeger prescription for implementing the robust variance estimator. Analytical and numerical evidence shows the superior performance of our proposal.

分数高斯过程的惩罚极大似然估计AI 解读

We apply and extend Firth's (1993) modified score estimator to deal with a class of stationary Gaussian long‐memory processes. Our estimator removes the first‐order bias of the maximum likelihood estimator. A small simulation study reveals the reduction in the bias is considerable, while it does not inflate the corresponding mean squared error.

二元典型相关分析中的秩条件检验AI 解读

The likelihood ratio test for the hypothesis that the smaller of two canonical correlations is zero is nonsimilar; the distribution of the test statistic depends on the value of the largest canonical correlation. In applications the nuisance parameter usually has to be estimated, and this paper describes the distributional properties of the test, conditional on the estimator. Although these properties depend on the nuisance parameter, the dependency seems to be negligible…

相关密度型最小散度估计量的比较AI 解读

This paper compares the minimum divergence estimator of Basu et al. (1998) to a competing minimum divergence estimator which turns out to be equivalent to a method proposed from a different perspective by Windham (1995). Both methods can be applied for any parametric model and contain maximum likelihood as a special case. Efficiencies are compared under model conditions, and robustness properties are studied. Overall the two methods are found to perform quite similarly. Some…

二次方差函数自然指数族的小波收缩AI 解读

We propose a wavelet shrinkage methodology for univariate natural exponential families with quadratic variance functions, covering the Gaussian, Poisson, gamma, binomial, negative binomial and generalised hyperbolic secant distributions. Simulation studies for Poisson and binomial data are used to illustrate the usefulness of the proposed methodology, and comparisons are made with other methods available in the literature. We also present applications to datasets arising…

保序回归：变点问题的另一种视角AI 解读

A test based on isotonic regression is developed for monotonic trends in short range dependent sequences and is applied to Argentina rainfall data and global warming data. This test provides another perspective for changepoint problems. The isotonic test is shown to be more powerful than some existing tests for trend.

正态混合分布的成分数检验AI 解读

We demonstrate that, under a theorem proposed by Vuong, the likelihood ratio statistic based on the Kullback–Leibler information criterion of the null hypothesis that a random sample is drawn from a k0‐component normal mixture distribution against the alternative hypothesis that the sample is drawn from a k1‐component normal mixture distribution is asymptotically distributed as a weighted sum of independent chi‐squared random variables with one degree of freedom, under…

广义线性与非线性混合模型中同质性的序约束得分检验AI 解读

Lin (1997), building on work by Solomon & Cox (1992) and Lin & Breslow (1996), introduced a score test for homogeneity in the generalised linear mixed model. In this paper we propose an improvement to Lin's test that exploits the fact that covariance parameters associated with random effects in the model are constrained so as to form a positive semidefinite covariance matrix. Therefore, an omnibus score test will have power against alternatives that are known never to occur.…

结局缺失且有辅助变量时 K 样本 U 统计量均值的估计AI 解读

We propose estimators of the mean of a K‐sample U‐statistic when data on the outcomes of interest are missing in some sampled units and auxiliary variables are available in the entire sample. The proposed estimators exploit the information available in the auxiliaries without requiring assumptions about the joint distribution of the auxiliaries and outcomes. The properties of the proposed estimators are derived as a consequence of general results on efficient semiparametric…

一类广义半参数风险率回归模型AI 解读

A general class of semiparametric hazards regression models for survival data is proposed and studied. This general class includes some popular classes of models as subclasses, such as Cox's proportional hazards model, the accelerated failure time model and a recently proposed class of models called the accelerated hazards model. In the general class of models, a covariate's effect is identified as having two separate components, namely a time-scale change on hazard…