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非高斯状态空间模型的蒙特卡洛最大似然估计AI 解读

State space models are considered for observations which have non-Gaussian distributions. We obtain accurate approximations to the loglikelihood for such models by Monte Carlo simulation. Devices are introduced which improve the accuracy of the approximations and which increase computational efficiency. The loglikelihood function is maximised numerically to obtain estimates of the unknown hyperparameters. Standard errors of the estimates due to simulation are calculated.…

实验与受试者自主探查AI 解读

This paper examines the impact of randomisation and blinding in experiments in which subjects act like investigators by attempting to learn about the effectiveness of the administered treatments. We derive the effects that this type of subject inference has on investigator inference. We show that the conditions under which randomisation and blinding induce unbiased estimation when subjects make treatment inferences are extremely strong and unlikely to hold in most…

医学诊断 ROC 曲线的回归建模框架AI 解读

Receiver operating characteristic curves (ROC'S) are used to evaluate diagnostic tests when test results are not binary. They describe the inherent capacity of the test for distinguishing between truly diseased and nondiseased subjects. Although methodology for estimating and for comparing roc's is well developed, to date no general framework exists for evaluating covariate effects on roc's. We formulate a general regression model which allows the effects of covariates on…

二元极值 Copula 的非参数估计方法AI 解读

A bivariate extreme value distribution with fixed marginals is generated by a one-dimensional map called a dependence function. This paper proposes a new nonparametric estimator of this function. Its asymptotic properties are examined, and its small-sample behaviour is compared to that of other rank-based and likelihood-based procedures. The new estimator is shown to be uniformly, strongly convergent and asymptotically unbiased. Through simulations, it is also seen to…

生存数据中变点的似然比检验AI 解读

We consider the likelihood ratio test for a changepoint or lag of the effect of some covariates, e.g. treatment, in regression modelling of survival data subject to right censoring. Asymptotic distributions under null hypotheses are derived. Numerical examples are used to illustrate the implementation of the procedure. Finally we apply the theory to data from a large randomised cancer prevention trial.

自回归模型单位根检验的 Bartlett 修正AI 解读

The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.

离散参数未知的广义线性模型中三种经典检验的局部功效AI 解读

In this paper we obtain asymptotic expansions for the nonnull distribution functions of the likelihood ratio, score and Wald test statistics in exponential family generalised linear models under Pitman alternatives assuming unknown dispersion, thus generalising some of the results in Cordeiro, Botter & Ferrari (1994).

杂录：样条变换后的线性回归AI 解读

In a transformation model h(Y) = X'β + ε for some smooth and usually monotone function h, we are often interested in the direction of β without knowing the exact form of h. We consider a projection of h onto a linear space of B-spline functions which has the highest correlation with the design variable X. As with the Box-Cox transformation, the transformed response may then be analysed by standard linear regression software. The direction estimate from canonical correlation…

两处理重复测量设计的最优性与效率AI 解读

For an arbitrary covariance matrix and any number of treatments and periods, necessary and sufficient conditions for the optimality of a repeated measurements, i.e. crossover or changeover, design were given in the, as yet, unpublished report by H. B. Kushner ‘Optimal repeated measurements designs: the linear optimality equations’ (Kushner, report). Here we specialise the results to the two-treatment case. We give linear equations whose solutions are the proportions of…

随机效应回归模型的最优设计AI 解读

An approach is proposed to optimal design of experiments for estimating random-effects regression models. The population designs are defined by the number of subjects and the individual designs to be performed. Cost functions associated with individual designs are incorporated. For a given maximal cost, an algorithm is proposed for finding the statistical population design that maximises the determinant of the Fisher information matrix of the population parameters. The…

条件异方差下的门限自回归检验AI 解读

This paper addresses the null distribution of the Lagrange-multiplier statistic for the threshold autoregression with conditional heteroscedasticity. The problem is nonstandard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We generalise the results of Chan (1990) and Chan & Tong (1990) to show that the asymptotic null distribution of the Lagrange-multiplier statistic is a functional of a zero-mean Gaussian process. The…

时间序列模型的经验似然置信域AI 解读

This paper develops empirical likelihood in time series models. By application of Whittle's estimation method, one obtains an M-estimator of the parameter of a stationary time series from approximately independent observations, the periodogram ordinates. This estimator is used to obtain an empirical likelihood ratio which is asymptotically distributed as x2 and which can be used to construct confidence regions. A procedure for the Bartlett correction is also proposed.…

嵌套病例对照研究分析的伪似然方法AI 解读

In nested case-control studies the controls are sampled from the risk set at the failure times of the cases. The analytical basis for such studies has been limited to semiparametric estimators under proportional-hazard models. In this paper it is observed that conditional inclusion probabilities of ever being included in the nested case-control study can be obtained, where conditioning is on the information needed to carry out a nested case-control study. The inclusion…

传递泛函与半参数回归模型AI 解读

A general approach to semiparametric regression model construction is proposed, using the notation of a transfer functional. Estimators of unknown regression parameters are proposed, generalising the estimators of the parameters of the proportional hazards and the additive risk models.

多元失效时间分析中的风险比与交叉比回归AI 解读

Cox model marginal survivor function and pairwise correlation models are specified for a multivariate failure time vector. The corresponding mean and covariance structure for the cumulative baseline hazard variates and standard baseline hazard function estimators are used to develop joint estimating equations for hazard ratio and correlation parameters, in the absence of censorship. Semiparametric models for pairwise survivor functions are required to generalise these…

含随机效应广义线性模型中的方差分量检验AI 解读

There is considerable interest in testing for overdispersion, correlation and heterogeneity across groups in biomedical studies. In this paper, we cast the problem in the framework of generalised linear models with random effects. We propose a global score test for the null hypothesis that all the variance components are zero. This test is a locally asymptotically most stringent test and is robust in the special sense that the test does not require specifying the joint…

信息不完整时的队列模型估计AI 解读

We consider the estimation of the arrival rate and holding distribution of a discrete time queue using only information about the size of the queue. Arrivals are not matched to departures so that direct observations of the holding times are not available. We study two estimators, quickly computed moment estimators and maximum likelihood estimators based on an entropy-motivated geometric approximation. This approximation lends the problem a Markovian structure that permits…

广义加权 Cramér–von Mises 距离估计量AI 解读

SUMMARY Generalised weighted Cramer-von Mises distance estimators in an arbitrary model with a k-dimensional parameter vector are investigated. The distance function is defined as a function G of model-based residuals for a specified target model F and the empirical cumulative distribution function F, over the real line, invoking a weight function w. It is shown that the estimator is Fisher consistent, asymptotically multivariate normal, and nearly efficient with desirable…

具有 t 分布误差的多元回归模型中 ECME 算法的收敛速度AI 解读

Although much work has been done on comparing and contrasting the EM and ECME algorithms, in terms of their rates of convergence, it is not clear what mechanism underlies each and, furthermore, what factors may determine and influence their rates of convergence. In this paper, we examine the convergence rates and properties of these two popular optimisation algorithms as used in computing the maximum likelihood estimates from regression models with t-distributed errors. By…

可能部分非平稳向量时间序列的缺失值估计AI 解读

Ljung's (1989) method for estimating missing values and evaluating the corresponding likelihood function in scalar time series is extended to the vector case. The series is assumed to be generated by a possibly partially nonstationary and noninvertible vector autoregressive-moving average process. No particular pattern of missing data is assumed. Future and past values are special cases of missing data that can be estimated in the same way. The method does not use Kalman…

时间序列分解札记AI 解读

A constructive result on time series decomposition is presented and illustrated. Developed through dynamic linear models, the decomposition is useful in analysis of an observed time series through inference about underlying, latent component series that may have physical interpretations. Particular special cases include state space autoregressive component models, in which the decomposition is useful for isolating latent, quasi-cyclical components, in particular. Brief…

杂记：加性非参数回归模型的有效估计AI 解读

We define a new procedure for estimating additive nonparametric regression models. We use the integration method of Linton & Nielsen (1995) to provide starting values that are then used in a one-step backfitting procedure. We show that our new method is efficient in a certain sense and dominates the straight integration method according to mean squared error.

Bonferroni 调整的贝叶斯视角AI 解读

Bayes/frequentist correspondences between the p-value and the posterior probability of the null hypothesis have been studied in univariate hypothesis testing situations. This paper extends these comparisons to multiple testing and in particular to the Bonferroni multiple testing method, in which p-values are adjusted by multiplying by k, the number of tests considered. In the Bayesian setting, prior assessments may need to be adjusted to account for multiple hypotheses,…

Quality adjusted survival analysis is a new approach to therapy evaluation in clinical trials. It has received much attention recently because of its ability to take patients' quality of life into consideration. In this paper, we present a method that enables us to calculate the survival distribution of quality adjusted lifetime. Using martingale theory for counting processes, we can show that our estimator is asymptotically consistent, normally distributed, and its…