日期精度：到日 2575 篇 · 到月 3 篇 · 到年 0 篇
混合VARMA过程多项式矩阵中非零元素的识别
S. G. Koreisha, T. M. Pukkila; Identification of Nonzero Elements in the Polynomial Matrices of Mixed Varma Processes, Journal of the Royal Statistical Soc
简单随机抽样能否提供充分的平衡？
SUMMARY Theoretical arguments imply that, as the sample size increases, simple random sampling does not force balance fast enough to provide robust inference for a finite population total using the ratio estimator. An empirical study shows that under simple random sampling, confidence intervals for the total can have conditional coverage probabilities that are persistently awful as the sample size grows.
高阶马尔可夫链的极限分布
SUMMARY The limit distribution of a Markov chain of order k > 1 is obtained under conditions weaker than those assumed by Raftery (1985). The results are shown to be valid also for arbitrary state space Markov sequences of order k > 1.
误分类条件下的子群均值估计
SUMMARY The present paper considers the estimation of subgroup means in the presence of misclassification errors in allocating individuals to the subgroups. A simple non-iterative estimator resulting from modifying Selen's (1986) estimator is studied when the probabilities of misclassification are independently estimated. In contrast to Selen (1986), an explicit expression for the covariance matrix of the suggested estimator is obtained using special matrix products and…
扩展拟似然方法的一则注记
SUMMARY We study the method of extended quasi-likelihood estimation and inference of a variance function recently proposed by Nelder and Pregibon. The estimates are inconsistent in general, and the test levels can be biased, but in many cases such as the exponential family the inconsistency and bias will not be a major concern. Extended quasi-likelihood is compared with Carroll and Ruppert's pseudo-likelihood method, which gives consistent estimates and, when slightly…
无限方差过程的一致阶数判定
SUMMARY Order determination for autoregressive processes when the residuals have a distribution belonging to the domain of attraction of an infinite variance stable law is examined. The use of the FPEα criterion of Bhansali and Downham (1977) is shown to provide a consistent estimator of the order with any α > 0. Order determination for moving average processes is considered; a procedure based on autoregressive estimates of the inverse correlations, see Bhansali (1983), is…
对称 Bootstrap 置信区间
SUMMARY It is shown that in quite general circumstances, symmetric percentile-t bootstrap confidence intervals have coverage error O(n –2), where n denotes sample size. This compares with an error of roughly constant n –1 for equal-tailed percentile-t confidence intervals. It is also proved that symmetric intervals are not necessarily any longer than equal-tailed intervals. Arguments based on Edgeworth and Cornish–Fisher expansions are used to predict circumstances in which…
线性回归问题中专家意见的量化
SUMMARY This paper describes a method for choosing a natural conjugate prior distribution for a normal linear sampling model. A person using the method to quantify his/her opinions performs specified elicitation tasks. The hyperparameters of the conjugate distribution are estimated from the elicited values. The method is designed to require elicitation tasks that people can perform competently and introduces a type of task not previously reported. A property of the method is…
广义线性模型中的近似条件推断
SUMMARY Easily calculated and accurate approximations are developed to the conditional densities and distributions of sufficient statistics in generalized linear models with canonical link functions. They enable conditional inferences based on modified profile log-likelihoods and tail probabilities to be made using only the deviance and the variance matrix estimate based on fitted models. Examples are given in binary logistic regression and a log-linear model, and the…
基于单样本符号统计量的两样本检验之Bahadur效率
SUMMARY This paper discusses the two-sample test of location based on the comparison of two distribution-free one-sample confidence intervals derived from sign statistics. This test procedure, first introduced by Hettmansperger (1984), rejects the null hypothesis of equal population medians when the two intervals are disjoint. He presents three different ways to select the two one-sample intervals and one choice leads to Mood's test. All solutions have the same Pitman…
部分线性模型中的核平滑
SUMMARY Kernel smoothing is studied in partial linear models, i.e. semiparametric models of the form yi=ξi′β+f(ti)+εi(1⩽i⩽n), where the ξi are fixed known p vectors, β is an unknown vector parameter and f is a smooth but unknown function. Two methods of estimating β and f are considered, one related to partial smoothing splines and the other motivated by partial residual analysis. Under suitable assumptions, the asymptotic bias and variance are obtained for both methods, and…
随机序分布非参数检验向删失生存数据的推广
SUMMARY Currently used test statistics for stochastically increasing survival times in a k-sample problem are linear combinations of either Gehan (generalized Wilcoxon) or generalized Savage score sums. The power of these tests depends on a priori knowledge about the true form of the alternative. When isotonic regression is applied to these score sums, it yields a new trend test for right-censored survival data which generalizes to left-truncated survival data and to…
M/G/1 队列长等待概率的非参数估计
SUMMARY A Poisson stream of customers with known arrival rate λ approaches a single server having independent identically distributed service times with unknown distribution. A nonparametric estimator of the probability of a long customer delay is obtained from an asymptotic renewal theoretic result giving an exponential approximation to the tail of the virtual waiting time distribution for a stable M/G/1 queue. Asymptotic properties of the estimator are obtained. Results of…
学生化分位数的分布
SUMMARY The asymptotic variance of a sample quantile depends on the value of the population density at the population quantile. Therefore Studentizing a sample quantile involves density estimation, either explicitly or implicitly. One popular way of Studentizing is to use the Siddiqui–Bloch–Gastwirth estimator, whose construction depends crucially on the choice of a smoothing parameter m. We examine the effect which the selection of m has on the level error of tests or…
Bootstrap 方法
SUMMARY A survey of some developments in bootstrap methodology is given. Topics include confidence limits, significance tests, empirical likelihoods, conditioning, double bootstrapping, and numerical techniques. Special attention is given to regression problems. There are brief remarks about more complex problems, including variance component problems, time series and nonparametric regression.
自助法置信区间综述
SUMMARY A survey of bootstrap procedures for constructing confidence regions is given. In particular, several distinct bootstrap methods are considered, with emphasis on the mathematical correctness of these procedures. The percentile, bias-corrected percentile and accelerated bias-corrected percentile methods, developed by Efron, are reviewed in both parametric and nonparametric situations. A procedure related to the accelerated bias-corrected method, which avoids explicit…
区间删失数据线性回归模型中最大似然估计存在性的一个注记
SUMMARY For a class of linear regression models with interval-censored data, including the exponential regression model as a special case, a necessary and sufficient condition is given for the existence of the maximum likelihood estimator (MLE). The condition is especially simple to check for simple linear regression. This result is useful for comparing the small sample properties of MLEs from different special cases of interval-censored data.
利用有色噪声下的滤波进行加速寿命试验推断
SUMMARY We present a new approach for inference from accelerated life tests. Our approach formulates such problems as inference under Kalman filter models with correlated observation errors. We restrict attention to exponential life distributions, and the power rule as a time transformation function. Extensions to other time transformation functions are straightforward; however, extensions to other distributions involve nonlinear filtering and are not considered. The…
方向性检验概率的鞍点展开
SUMMARY An expansion is derived for the conditional tail probability of a multivariate random variable given its direction from the expected value. In particular, if the score function of a statistical model is chosen as this variable, such a conditional probability gives a test for a simple hypothesis, which is asymptotically equivalent to the likelihood ratio test. The expansion is of the large deviation type and is derived through the use of saddlepoint methods. Thus the…
污染数据的二元回归模型
SUMMARY The nature of outliers in the context of binary regression data is discussed. Resistant fitting procedures produce estimated regression coefficients which are numerically larger than maximum likelihood, implying the need for a shrinkage-type correction. A simple model which allows for a small number of the binary responses being misrecorded is proposed, and associated techniques for robust estimation and diagnostics developed.
NEAR(2) 与 NLAR(2) 时间序列模型的一致估计
SUMMARY Consistent and asymptotically normal estimates for all four parameters of the NEAR(2) and NLAR(2) time series models are obtained. The estimates are given in explicit form and are easy to compute, but with simulation experiments the standard errors are large, especially for small values of the parameters, so very substantial sample sizes may be needed. Hence, from this point of view, the NEAR(2) and NLAR(2) models are of limited practical value. The simulations…
连续空间过程的参数估计与模型辨识
SUMMARY Formal parameter estimation and model identification procedures for continuous domain spatial processes are introduced. The processes are assumed to be adequately described by a linear model with residuals that follow a second-order stationary Gaussian random field and data are assumed to consist of noisy observations of the process at arbitrary sampling locations. A general class of two-dimensional rational spectral density functions with elliptic contours is used…
SUMMARY The parameter density is the polynomial matrices of vector autoregressive moving average (VARMA) time series models is generally very low. Thus, estimation of fully parameterized high order models or of models with many variables is an ineffective, if not impractical, way of utilizing computing power. In the article we present methods for identifying the nonzero elements in VARMA(1,1) models, and show how these procedures can be used to construct models of higher…
有序备择下的非参数协方差分析
SUMMARY The problem of comparing k populations with respect to a univariate response variable Y against an ordered alternative is considered when a covariate X is taken into account using the matched-observations method of Quade (1982). Two test statistics are considered: one is Quade's statistic generalized for arbitrary k and the second is the Terpstra-Jonckheere statistic generalized for grouped data. Some simulations are carried out to study their small sample…