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部分非平稳模型中完全修正向量自回归的推断AI 解读

The likelihood ratio (LR) test for ranks is commonly used to test for the number of cointegrating relationships among multivariate time series. The distribution of the LR test in partially nonstationary models is nonstandard and contains nuisance parameters in the presence of non-iid errors and misspecified lags. In contrast, I show that under less-restrictive assumptions on the errors, the fully modified (FM) vector autoregressive (VAR) rank test has a chi-squared…

识别多元时间序列模型的统一方法AI 解读

This article proposes a Bayesian procedure for simultaneous identification of the Kronecker indices and model parameters of a multivariate linear system. The model parameters include the starting values and innovations of the system so that the series considered may be co-integrated or non-invertible. The procedure uses some recent developments in stochastic search variable selection in linear regression analysis and Markov chain Monte Carlo methods in statistical computing.…

谱密度的数据驱动有效估计AI 解读

A nonparametric data-driven spectral density estimator is suggested for a class of processes with the exponentially decaying autocovariance function. This particular class is motivated by causal ARMA processes. The estimator is asymptotically efficient; that is, its mean integrated squared error converges with optimal minimax constant and rate as the sample size increases. The article also presents a Monte Carlo study of the estimator for the case of small sample sizes and…

结合自助法根搜索的加权似然方程AI 解读

We discuss a method of weighting likelihood equations with the aim of obtaining fully efficient and robust estimators. We discuss the case of continuous probability models using unimodal weighting functions. These weighting functions downweight observations that are inconsistent with the assumed model. At the true model, therefore, the proposed estimating equations behave like the ordinary likelihood equations. We investigate the number of solutions of the estimating…

广义线性模型中的偏残差图AI 解读

In this article we explore the structure and usefulness of partial residual plots as tools for visualizing curvature as a function of selected predictors x 2 in a generalized linear model (GLM), where the vector of predictors x is partitioned as x T = (x T 1, x T 2). The GLM extension of ceres plots is discussed, but to a lesser extent. The usefulness of these plots for obtaining a good visual impression of curvature may be limited by the specified GLM, the link function,…

含协变量的限制平均生存时间：方法改进与扩展AI 解读

Karrison has presented a method for covariate-adjusted comparison of two groups with respect to survival when the group effect is expected to not be of proportional hazards form. This article describes a simplified procedure for implementing Karrison's basic approach, along with an extended version designed to achieve robustness against misspecification in the underlying analytical model. A simulation study of these techniques is presented, and the techniques are illustrated…

Cox 比例风险模型基准风险的平滑拟合优度检验AI 解读

For the Cox proportional hazards model, the goodness-of-fit problem of testing whether the baseline hazard rate function λ(·) equals some specified hazard rate function λ0(·) in the presence of incomplete data is considered. Extending Neyman's idea, the goodness-of-fit tests are score tests obtained by embedding λ(·) in a larger family of hazard rate functions developed through smooth and possibly random transformations of λ0(·). But whereas their smooth alternatives were…

分箱数据密度估计的高阶收敛率AI 解读

A method is proposed for achieving fast—O(n –8/9) and faster—asymptotic mean integrated squared error (AMISE) convergence rates in density estimation using data condensed to standard histogram bin counts and edges. The method involves the two elements of B splines and the correct mass proportions property, in which the probability mass for the histogram bins equals exactly the fraction of the data found in those bins. It is shown that the asymptotic bias of such an estimate…

用于直方图平滑的滤波变量先验分布AI 解读

We develop prior distributions for histogram inference favoring smooth population frequencies; that is, probability vectors with small differences for neighboring categories. We give a theory of prior-random probability vectors representable as a linear transform, or “filter,” of a standard random probability vector, or equivalently, a random weighted average of nonrandom smooth probability vectors. Promising methods of prior assessment are given based on elicitation of a…

单调 B 样条平滑AI 解读

Estimation of growth curves or item response curves often involves monotone data smoothing. Methods that have been studied in the literature tend to be either less flexible or more difficult to compute when constraints such as monotonicity are incorporated. Built on the ideas of Koenker, Ng, and Portnoy and Ramsay, we propose monotone B-spline smoothing based on L 1 optimization. This method inherits the desirable properties of spline approximations and the computational…

用于刚体运动估计与几何质量检验的线性模型AI 解读

A geometrical method to assess the quality of a part is to sample points on the surface of the part and to bring an ideal computer representation of the part as close as possible to the sampled locations. The points are sampled with a coordinate measuring machine (CMM) that gives the coordinates, with respect to the machine's own three-dimensional system of axis, of the sampled locations. Computer-assisted design (CAD) gives the ideal representation of the part. The matching…

单侧交叉验证AI 解读

A new method of selecting the smoothing parameters of nonparametric regression estimators is introduced. The method, termed one-sided cross-validation (OSCV), has the objectivity of cross-validation and statistical properties comparable to those of a plug-in rule. The new method may be viewed as an application of the prequential model selection method of Dawid. As such, our results identify a situation in which the prequential method is a more efficient model selector than…

加性模型拟合的全自动带宽选择方法AI 解读

This article describes a fully automated bandwidth selection method for additive models that is applicable to the widely used backfitting algorithm of Buja, Hastie, and Tibshirani. The proposed plug-in estimator is an extension of the univariate local linear regression estimator of Ruppert, Sheather, and Wand and is shown to achieve the same Op (n –2/7) relative convergence rate for bivariate additive models. If more than two covariates are present, theoretical justification…

马尔可夫链蒙特卡洛的辅助变量方法及应用AI 解读

Suppose that one wishes to sample from the density π(x) using Markov chain Monte Carlo (MCMC). An auxiliary variable u and its conditional distribution π(u|x) can be defined, giving the joint distribution π(x, u) = π(x)π(u|x). A MCMC scheme that samples over this joint distribution can lead to substantial gains in efficiency compared to standard approaches. The revolutionary algorithm of Swendsen and Wang is one such example. Besides reviewing the Swendsen-Wang algorithm and…

利用最近邻去除杂点以估计空间点过程特征AI 解读

We consider the problem of detecting features in spatial point processes in the presence of substantial clutter. One example is the detection of minefields using reconnaissance aircraft images that identify many objects that are not mines. Our solution uses Kth nearest neighbor distances of points in the process to classify them as clutter or otherwise. The observed Kth nearest neighbor distances are modeled as a mixture distribution, the parameters of which are estimated by…

利用链路计数数据进行网络流量的贝叶斯推断AI 解读

We study Bayesian models and methods for analysing network traffic counts in problems of inference about the traffic intensity between directed pairs of origins and destinations in networks. This is a class of problems very recently discussed by Vardi in a 1996 JASA article and is of interest in both communication and transportation network studies. The current article develops the theoretical framework of variants of the origin-destination flow problem and introduces…

图像处理中的边缘保持平滑器AI 解读

Classical smoothers have limited usefulness in image processing, because sharp “edges” tend to be blurred. There is a literature on edge-preserving smoothers, but these all require moderately large “smooth stretches.” Here we discuss an approach to this problem called “sigma filtering” and propose an improvement based on running M estimation. Both computational and theoretical aspects are developed. For image processing, the methods have a niche between standard filtering…

多元模型协方差结构检验及其在家族疾病数据中的应用AI 解读

Recent interest in modeling multivariate responses for members of groups has emphasized the need for testing goodness of fit. Here we describe a way to test the covariance structure of a multivariate distribution parameterized by a vector θ. The idea is to extend this distribution, the “null” distribution, to a more general distribution that depends on θ, an additional scalar γ, and a specific quadratic function of the response vector chosen to capture features of an…

美国失业率预测AI 解读

This article presents a comparison of forecasting performance for a variety of linear and nonlinear time series models using the U.S. unemployment rate. Our main emphases are on measuring forecasting performance during economic expansions and contractions by exploiting the asymmetric cyclical behavior of unemployment numbers, on building vector models that incorporate initial jobless claims as a leading indicator, and on utilizing additional information provided by the…

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现代回归方法AI 解读

This new edition of Regression Methods has been updated and enhanced to include all-new information on the latest advances and research in the evolving field of regression analysis. It provides a unique treatment of fundamental regression methods, such as diagnostics, transformations, robust regression, and ridge regression. Unifying key concepts and procedures, this new edition emphasizes applications to provide a more hands-on and comprehensive understanding of regression…

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