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动态扰动时间序列模型的残差相关与诊断检查AI 解读

In examining adequacy of fit of a statistical model the stochastic properties of the residuals are often studied. In particular, for an important class of time series models involving an exogenous or input variable and correlated errors or disturbances, Box and Jenkins [1] recommend an examination of the autocorrelations of the residuals and the cross correlations between the residuals and the independent variable. It is shown in this article that the residual auto- and…

Hildreth–Houck 随机系数模型中实际实现响应系数的估计AI 解读

When the response coefficients in the general linear model are regarded as random variables, the mean of the distribution of these coefficients can be estimated using methods suggested by Hildreth and Houck. This article derives the minimum variance, linear, unbiased estimator for the actual response coefficients which were realized over the sample period. One might suspect that the best estimator of the mean of the response coefficients is also best when estimating the…

聚合对自回归模型预测的影响AI 解读

The article shows that if the original variable follows a pth order autoregressive system then the non-overlapping moving sum follows a pth order autoregression with at most a pth order moving-average of an independent sequence regardless of the length of the summation. From such an aggregate model we derive the optimal predictor of the aggregate variable and show that it performs remarkably well compared to the optimal disaggregate predictor. The article contains both…

两阶段最小二乘估计量的偏差AI 解读

This article derives the bias of the two-stage least squares estimator to the order of T-2, T being the number of observations. It is found that when the degree of overidentification in the equation concerned is unity, the 2SLS bias is zero to this order of approximation.

计量经济估计量小样本性质的模拟AI 解读

This note examines the use of indirect Monte Carlo methods in investigating the finite-sample properties of econometric estimators. It is found that the two-antithetic-variate method is far better than straight-forward simulation in estimating the biases of the estimators, but that a method combining the control-variate and the two-antithetic-variate techniques is better for estimating the dispersions. Comparisons with Nagar's approximations to the biases and dispersions are…

通过分组检测识别总体全部缺陷项的方法AI 解读

Suppose a population containing items classified either as defectives or as non-defectives. This article presents a new group testing method to detect all defectives in the population. The proposed method applies either when the actual number of defectives (or an upper bound) is known or when its probability distribution is known. The method is surprisingly simple yet compares favorably with other existing methods by the number of tests required to detect all defectives.

底层分布的选择与自适应估计AI 解读

In our approach to adaptive inference, selection of the true underlying family of distributions is needed. A Bayesian selection rule, which is based on non-informative priors for the parameters, and a multiple decision solution, that maximizes the weighted sum of the probabilities of correct selection, are presented; both of these yield a decision rule of the same form. A modified maximum likelihood solution is also given and is used to construct an adaptive estimate of the…

不连续分布的 Kolmogorov 拟合优度检验AI 解读

The Kolmogorov goodness-of-fit test is known to be conservative when the hypothesized distribution function is not continuous. A method for finding the exact critical level (approximate in the two-sided case) and the power in such cases is derived. Thus the Kolmogorov test may be used as an exact goodness-of-fit test for all completely specified distribution functions, whether continuous or not continuous. Several examples of the application of this extension of the…

自相关误差下结构方程的小样本估计AI 解读

Many time series models have autocorrelated errors. A further problem may be that some of the right-hand variables are correlated with the error. Using Monte Carlo methods we investigated several estimators of such a model. We found that a transformation to correct the autocorrelation often improved matters, but that techniques to correct the other problems such as instrumental variables were usually ineffective. In many cases ordinary least squares had the smallest mean…

二分类数据存在误分类时剔除阈值附近观测的影响AI 解读

This article deals with the biasing effects of errors of measurement on the estimation of a population proportion or on the degree of association between two dichotomous variables. Consider a dichotomy that is formed by making a cut on an ordered scale, where errors of classification occur with greatest frequency in the neighborhood of the cut. It is demonstrated through numerical investigation that it is advantageous, both in terms of bias and of mean square error, to…

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指数生存曲线的序贯比较AI 解读

A general approach is outlined to the problem of sequentially comparing exponential “survival” curves in a clinical trials setting. It entails applying sequential tests of hypotheses concerning the drift of a Wiener process to a particular discrete-time process generated from the survival data. Anderson's [1] modified sequential probability ratio test [SPRT) is used for illustration. Monte Carlo studies indicate that the method is valid for samples of moderate size and that…

作为博弈的分层抽样分配AI 解读

We consider here the problem of allocating sampling effort among strata when there is no useful information on the within-stratum variability. We show that in a natural game theoretic analogue proportional allocation is a unique good strategy.

二项序列同质性检验的功效AI 解读

Approximations to the power functions of the classical X2 test and the locally asymptotically optimal test of homogeneity of a binomial series are obtained for the case of known binomial parameter; asymptotic power functions are also derived. The results are compared with values of power obtained by simulation.

第二类方差分析模型中的均方合并AI 解读

This article presents a procedure for estimating the true error variance σ2 3 after two preliminary tests of significance in ANOVA Model II and considers its comparison as regards to bias and mean square error with that of an unbiased estimator of σ2 3.

删截回归样本的参数估计AI 解读

Winsorization and trimming using stratified and pooled procedures are proposed for linear regression analysis. The regression model assumes an equal number of observations at each value of an equally spaced independent variable. In the null case, the error variable is normally distributed. Efficiencies of estimates are obtained analytically for the stratified procedure and by Monte Carlo methods for the pooled procedure. Means and variances of estimates are obtained…

平稳随机回归参数估计的重新考察AI 解读

This article reexamines the problem of estimation in repeated regression experiments wherein the regression parameters vary according to a stationary stochastic process with known covariance structure. Best linear unbiased estimators, more efficient than those recently proposed by Burnett and Guthrie, are derived.

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参数由独立样本估计时的卡方检验AI 解读

If the parameters are estimated independently of the sample, the chi-square test statistic for a goodness of fit test has a limiting distribution that is stochastically larger than that of the test of fit for a completely specified distribution. Thus, if the critical values for the test of fit for a completely specified distribution are incorrectly used, the probability that we will reject the null hypothesis when it is true is greater than the desired level of significance.