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以预测分布函数误差最小化估计指数分布分位数AI 解读

We consider the problem of estimating the quantiles of a one-parameter exponential distribution. Using the estimated quantiles to predict the distribution function, and attempting to minimize mean square errors for these predicted probabilities rather than the quantiles themselves, we are led to estimators differing from the natural ones obtained by appropriate scaling of the estimated mean of the distribution. The form of these estimators is studied for complete and…

多维随机游走吸收概率的界AI 解读

Simple procedures are given for computing an upper bound on the probability that an m-dimensional random walk has not been absorbed by step n. The increments of the walk are multivariate normal, independent, but not necessarily identical. The upper bound may be computed without knowledge of the means of the increment, the shapes of the nonabsorbing regions, or the starting point of the walk. The absorbing regions may also change with time. Under certain regularity conditions…

使用两个分层变量时分层抽样的效果AI 解读

Most of the literature on survey sampling deals with a single stratifying variable. In this paper an attempt is made to study the effect of using two stratifying variables. We present an approximation to the variance of the study variable under the assumption of a linear regression on the two stratifying variables. This approximation depends only on the number of strata, the simultaneous density of the stratifying variables, and the correlations between the study variable…

尾部概率能否近似贝叶斯因子？AI 解读

Inequalities are given relating the tail area for a nested sharp hypothesis to the Bayes factor based on the event of “significance” considered as data. This Bayes factor based on an insufficient statistic is, in turn, expressed as a weighted average of full-data Bayes factors. Lindley's “statistical paradox” is generalized and other comparisons made in the normal sampling context. A new Bayesian interpretation is given for the traditional two-tailed critical level. An…

广义逆、Wald 方法与卡方拟合检验的构造AI 解读

Wald's method constructs test statistics having chi-squared limiting distributions from estimators having nonsingular multivariate normal limiting distributions, using the inverse of the covariance matrix of the limiting distribution. This method is here extended to singular multivariate normal limiting distributions by use of generalized inverses. The generalized Wald's method is then applied to give a quite general solution to the problem of constructing chi-squared type…

随机系数模型中的最大似然估计AI 解读

Previous Monte Carlo studies examining properties of estimators in random coefficient models have been hindered in part by computational difficulties. In particular, determination of maximum likelihood estimators appears sensitive to the computational algorithm used. In a small Monte Carlo experiment, several distinctly motivated algorithms are examined with respect to accuracy and cost in searching for global and local maximum likelihood parameter estimates. A noncalculus…

心脏移植生存数据的协变量分析AI 解读

This paper presents a number of analyses to assess the effects of various covariates on the survival of patients in the Stanford Heart Transplantation Program. The data have been updated from previously published versions and include some additional covariates, such as measures of tissue typing. The methods used allow for simultaneous investigation of several covariates and provide estimates of the relative risk of transplantation as well as significance tests.

经济时间序列的联系及其缺失：货币与利率AI 解读

Extensions of time-series modeling procedures of Box and Jenkins [5] reveal that numerous economic variables which are generally regarded as being strongly interrelated may with equal validity, based on recent empirical evidence, be regarded as independent or only weakly related. Differences between these results and the bulk of econometric literature are attributed to the failure of the latter to satisfactorily account for autocorrelation. Due to limitations in the data, it…

一类部分序贯的两样本检验程序AI 解读

A class of test procedures is proposed for the two-sample setting when one of the samples has a fixed sample size, and the second is obtained by an inverse binomial sequential sampling scheme. These procedures allow either a classical approach or a completely nonparametric attack to a wide variety of two-sample problems, Properties of the tests are discussed, Including limiting distributions as the fixed sample size tends to infinity, and the capability of obtaining…

两侧分类均有误差时 2×2 列联表独立性的双样本检验AI 解读

A double sampling scheme is considered for estimation and testing under misclassification in both margins of a 2×2 contingency table; the matrix of misclassification probabilities is assumed to be unknown and nonsingular. Maximum likelihood estimators are given for the error-free and misclassification probabilities. Numerical methods are utilized to obtain maximum likelihood estimates under the independence hypothesis and the regularity conditions are affirmed for the…

通过期望刻画指数分布与几何分布AI 解读

This paper presents a characterization of the exponential distribution in terms of the means of the left-truncated values of the random variable concerned. This characterizing property leads to the Cauchy equation just as in the case of the lack of memory characterization. While the latter characterization assumes somewhat less easily accessible information concerning the probability distribution, the former only requires more readily available information regarding the…

似然方程唯一一致解的存在性AI 解读

Existence of a unique consistent solution to the likelihood equations is obtained as a consequence of the Inverse Function Theorem. The approach differs from those already in the literature by showing existence and uniqueness in one argument. The argument deals directly with the vector parameter case rather than with extending single parameter arguments.

连接两条时间序列的动态回归与分布滞后模型识别AI 解读

A methodology is introduced for identifying dynamic regression or distributed lag models relating two time series. First, specification of a bivariate time-series model is discussed, and its relationship to the usual dynamic regression model is indicated. Then, a two-stage identification procedure is presented which involves fitting univariate time-series models to each series, and identifying a dynamic shock model relating the two univariate model innovation series. The…

非平稳泊松过程强度函数的贝叶斯线性估计AI 解读

A Bayesian approach is taken to the problem of estimating the intensity function of a nonstationary Poisson process. The intensity function, Λ(t), − T < t < T, is a priori a second-order stochastic process. Estimators are found which minimize among, respectively, the class of step functions, the class of moving averages, and a class of linear estimators. An approximation for large T to the last estimator is found. These estimators are compared in a numerical example…

统计学家是相当稳健的位置估计器AI 解读

The performance of the outlier rejecting statistician is monitored and compared with those of several robust estimators of location. The comparisons are made by plugging a number of statisticians' location estimates into a Monte Carlo experiment. The result is that the statistician staves off the potential disasters of ordinary least squares, but he can be beaten.

普通最小二乘替代方法的模拟研究AI 解读

Estimated regression coefficients and errors in these estimates are computed for 160 artificial data sets drawn from 160 normal linear models structured according to factorial designs. Ordinary multiple regression (OREG) is compared with 56 alternatives which pull some or all estimated regression coefficients some or all the way to zero. Substantial improvements over OREG are exhibited when collinearity effects are present, noncentrality in the original model is small, and…

作为约束最小二乘特例的三次样条AI 解读

The standard cubic spline regression method is shown to be a special case of the restricted least-squares estimator. The equivalence of the two procedures under a common set of restrictions is proved. The greater flexibility of the restricted least-squares estimator in terms of the number of restrictions and tests of hypotheses that can be utilized is illustrated by an application to a set of data that has been previously analyzed by the spline method.

检验回归系数稳定性的两种方法AI 解读

This paper investigates the power of two methodologies, the tests of Brown, Durbin, and Evans [2] and variable parameter regression, to detect several varieties of instability in the coefficients of a linear regression model. The study reported by Khan [10] on the stability of the demand for money is replicated with variable parameter regression, and his results are in part questioned and in part sharpened.

前向逐步回归停止规则的比较AI 解读

This paper uses the unconditional mean square error of prediction as a criterion for comparing stopping rules used with the forward “stepwise” selection procedure in multivariate normal samples, based on simulations of 48 population correlation matrices. The CP statistic, “F to enter” (.15 < α < .25), a rule which minimizes the sample criterion, and one which sequentially tests the equality of the population criterion (.25 < α < .35) are superior. For these rules, the…

有序分类数据偏关联测量的若干考量AI 解读

Some of the measures commonly used to describe association between two ordinal categorical variables, controlling for the effects of other ordinal categorical variables, are compared in their closeness to a corresponding conditional measure for an underlying jointly continuous distribution. Partial gamma and Kendall's partial tau are observed to be poorer than a weighted average of the Kendall's τ b 's from separate control levels, according to this criterion. The asymptotic…

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