日期精度：到日 2575 篇 · 到月 3 篇 · 到年 0 篇
时间序列模型的可逆性与广义可逆性
Summary A new invertibility concept was recently introduced by Granger and Andersen (1978), generalizing the classical one for time-independent models; we show that, in the case of time-dependent models, it cannot be considered any more as a generalization. We also give a modified definition, which provides a strict generalization and still preserves Granger and Andersen's results.
多元自回归模型的阶数确定
Summary The procedure proposed by Hannan and Quinn (1979) for determining the order of univariate autoregressions is extended to multivariate autoregressions. The procedure is shown to be strongly consistent, while other similar procedures may be shown to be strongly consistent by comparison.
时间序列模型的拉格朗日乘子检验
Summary The Lagrange-multiplier test procedure is applied to hypotheses concerning autoregressive moving-average time-series models. The portmanteau and Quenouille goodness-of fit tests are derived in this manner against specific alternative hypotheses and two other tests are obtained which have the nature of pure significance tests.
指数边际分布的自回归移动平均 EARMA(p,q) 过程
Summary A new model for pth-order autoregressive processes with exponential marginal distributions, ear(p), is developed and an earlier model for first-order moving average exponential processes is extended to qth-order, giving an ema(q) process. The correlation structures of both processes are obtained separately. A mixed process, earma(p,q), incorporating aspects of both ear(p) and ema(q) correlation structures is then developed. The earma(p, q) process is an analog of the…
Summary A general class of regression models for ordinal data is developed and discussed. These models utilize the ordinal nature of the data by describing various modes of stochastic ordering and this eliminates the need for assigning scores or otherwise assuming cardinality instead of ordinality. Two models in particular, the proportional odds and the proportional hazards models are likely to be most useful in practice because of the simplicity of their interpretation.…
关于解离性与次序统计量的一个注记
Summary Using the notion of dissociatedness (McGinley and Sibson, 1974) we prove the almost sure convergence of some convex combinations of order statistics and a special case of our result is shown to relate to the convergence of Gini's coefficient of mean difference.
方差修正的线性贝叶斯估计量
Summary A modification of the linear Bayes estimator of the mean of a distribution of unknown form is proposed, involving a linear estimate for the variance of the distribution. The risk properties of the estimator are discussed and an example is given.
含缺失值多元回归的极大似然推断：模拟研究
Summary Maximum likelihood inference for the coefficients of a multiple regression with missing values is studied by simulation, using artificially generated multivariate normal observations with randomly deleted missing values. The method is compared with least squares on the complete observations by mean squared error. Two methods of estimating the covariance matrix of the m.l. estimates are compared, and the applicability of large sample theory to obtain tests and…
分类数据问题中卡方统计量的使用
Summary The use of χ2 statistics for categorical data problems was initiated by Karl Pearson, but it took several years before the asymptotic distribution of these statistics was well understood. The general structure of asymptotic results for χ2 statistics is reviewed and the applicability of the general structure to a variety of problems of practical interest is discussed. These problems include the use of χ2 statistics in small-sample situations and in large sparse…
两样本 Cramér–von Mises 型秩统计量
Summary In this paper weighted Cramér-von Mises type two-sample rank statistics are considered. It is shown that the statistics can be written as sums of squares of linear rank statistics. The asymptotic equivalence of the statistics to an easily computed version is shown and the asymptotic distribution of the statistics investigated. Finally, some specific examples are considered relating the Cramér-von Mises statistics to the Wilcoxon, Mood, Normal Scores and Savage rank…
基于泊松过程方差—时间曲线的随机性检验
Summary In an earlier paper, the author shows that a suitably normalized estimator η^0 of the variance-time curve of a Poisson process is asymptotically normal as the time of observation of the process increases. In this paper, the distributions of the functionals ζ^1c=∫01η^c(t) and ζ^2c=∫01[η^c(t)]2 are obtained, and computing formulae for the sample analogues are provided. The first is normally distributed. For the second, which is reminiscent of the Cramer-von Mises…
具有相关误差的一般线性模型的递归估计
Summary The techniques for recursive estimation of the general linear model are extended to the case of dependent errors with known second-order properties. Recurrence relations for computation and a sequence of independent recursive residuals, useful for testing the constancy of the regression relation over time, are derived and studied. Computational savings are available when the error process is stationary.
统计理论中的条件独立
Summary Some simple heuristic properties of conditional independence are shown to form a conceptual framework for much of the theory of statistical inference. This framework is illustrated by an examination of the rôle of conditional independence in several diverse areas of the field of statistics. Topics covered include sufficiency and ancillarity, parameter identification, causal inference, prediction sufficiency, data selection mechanisms, invariant statistical models and…
贝叶斯稳态预测模型的推广
Summary The Bayesian Steady Forecasting model is generalized to a very wide class of processes other than the normal by defining the time series on the decision space. Examples of such processes are presented including a Beta-Binomial process, a Poisson-Gamma process and a Student-t sample distribution steady model. Simple updating relations are given for most of the processes discussed.
空间点模式的随机性检验
Summary Tests of “randomness” and methods of edge-correction for spatial point patterns are surveyed. The asymptotic distribution theory and power of tests based on the nearest-neighbour distances and estimates of the variance function are investigated.
功率谱的稳健估计
Summary Outliers in time series can play havoc with conventional power spectrum density estimation techniques when the spectrum features of interest consist of one or more peaks of relatively low amplitude. Furthermore, the outliers need not be large relative to the scale of the process in order to have considerable impact on the estimate; they only need to be large relative to the scale of the innovations process. Following a tutorial review of the central notions of…
贝叶斯推断中的离群值排斥现象
Summary Inference is considered for a location parameter given a random sample. Outliers are not explicitly modelled, but rejection of extreme observations occurs naturally in any Bayesian analysis of data from distributions with suitably thick tails. For other distributions outlier rejection behaviour can never occur. These phenomena motivate new definitions of outlier-proneness and outlier-resistance. The definitions and methodology are Bayesian but the conclusions also…
Edgeworth 与鞍点近似及其统计应用
Summary A simple exposition is given of Edgeworth and saddle-point approximations for some univariate, multivariate and conditional distributions. The application of these approximations to some problems of conditional statistical inference within the exponential family is illustrated. Examples connected with the time-dependent Poisson process, the von Mises distribution and with bioassay are among those studied in a little detail. Some general results are derived about…
论对数线性风险率
Summary A simply computed estimator of the information matrix for the coefficients of log-linear hazard functions with right censored data is shown to be exactly unbiased.
可交换有限总体对称函数的推断
Summary A model is proposed for inference on symmetric functions of a finite population where the only prior information available is exchangeability of the unknown unit values. It is shown through sufficiency that the labels convey no information. When the sample size is fixed, the order statistic is complete as well as sufficient so that optimal estimators are symmetric. In particular, the sample mean is the minimum variance unbiased estimator of the population mean,…
若干涉及条件独立的误导性论证
Summary Some misleading arguments in probability theory and statistics are examined, and shown to have a common structure, expressible in terms of conditional independence. Using an informal approach (which can be rigorized) the arguments are corrected by finding what conclusions are justified in general, and thus showing what further condition is needed to make the original arguments valid.
比例数据 Beta–二项方差分析中的类内相关系数推断
Summary The paper is concerned with the analysis of sets of proportions where there is strong variation within sets. In one parameterization (Crowder, 1978) the underlying mean proportions are π1,…, πk in the k sets, and variation within sets is associated with a parameter σ2. The last of these is the intraclass correlation coefficient for the basic binary data and is of independent interest, rather than just a nuisance parameter. We propose a technique for inference about…
高斯向量过程自相关参数的估计
Summary A procedure based on differences is used to yield an estimator of an unknown parameter occurring in the autocorrelation structure of a stationary Gaussian vector process. Various properties of the estimator including its existence, consistency and asymptotic normality are shown. Necessary and sufficient conditions are given for the estimator to be efficient.
随机过程参数后验分布的渐近正态性
Summary Asymptotic normality of the posterior distribution of a parameter in a stochastic process is shown to hold under conditions which do little more than ensure consistency of a maximum likelihood estimator. Much more stringent conditions are required to ensure asymptotic normality of the MLE. This contrast, which has implications of considerable significance, does not emerge in the classical context of independent and identically distributed observations.