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稳健且高效的单因素多元方差分析检验AI 解读

We propose robust tests as alternatives to the classical Wilks’ Lambda test in one-way MANOVA. The robust tests use highly robust and efficient multisample multivariate S-estimators or MM-estimators instead of the empirical covariances. The properties of several robust test statistics are compared. Under the null hypothesis, the distribution of the test statistics is proportional to a chi-square distribution. As an alternative to the asymptotic distribution, we develop a…

Lasso估计量的Bootstrap方法AI 解读

In this article, we consider bootstrapping the Lasso estimator of the regression parameter in a multiple linear regression model. It is known that the standard bootstrap method fails to be consistent. Here, we propose a modified bootstrap method, and show that it provides valid approximation to the distribution of the Lasso estimator, for all possible values of the unknown regression parameter vector, including the case where some of the components are zero. Further, we…

有限总体复杂抽样设计的直接自助法AI 解读

In complex designs, classical bootstrap methods result in a biased variance estimator when the sampling design is not taken into account. Resampled units are usually rescaled or weighted in order to achieve unbiasedness in the linear case. In the present article, we propose novel resampling methods that may be directly applied to variance estimation. These methods consist of selecting subsamples under a completely different sampling scheme from that which generated the…

体视学体积估计的分布估计量与置信区间AI 解读

Assessing the precision of volume estimates from systematic samples is a question of great practical importance, but statistically a challenging task due to the strong spatial dependence of the data and typically small sample sizes. The approach taken in this paper is more ambitious than earlier methodologies, the goal of which was estimation of the variance of a volume estimator v̂, rather than estimation of the distribution of v̂. We shall show that bootstrap methods yield…

估计逆回归函数的两阶段混合程序AI 解读

We consider a two-stage procedure (TSP) for estimating an inverse regression function at a given point, where isotonic regression is used at stage one to obtain an initial estimate and a local linear approximation in the vicinity of this estimate is used at stage two. We establish that the convergence rate of the second-stage estimate can attain the parametric n1/2 rate. Furthermore, a bootstrapped variant of TSP (BTSP) is introduced and its consistency properties studied.…

高频数据的子抽样推断AI 解读

The main contribution of this paper is to propose a novel way of conducting inference for an important general class of estimators that includes many estimators of integrated volatility. A subsampling scheme is introduced that consistently estimates the asymptotic variance for an estimator, thereby facilitating inference and the construction of valid confidence intervals. The new method does not rely on the exact form of the asymptotic variance, which is useful when the…

匹配与半参数工具变量估计：距离型迁移指标及青年男性工资AI 解读

Our paper estimates the effect of US internal migration on wage growth for young men between their first and second job. Our analysis of migration extends previous research by: (i) exploiting the distance-based measures of migration in the National Longitudinal Surveys of Youth 1979 (NLSY79); (ii) allowing the effect of migration to differ by schooling level and (iii) using propensity score matching to estimate the average treatment effect on the treated (ATET) for movers…

经验似然区块自助法AI 解读

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the problem, including Hall and Horowitz (1996) and Inoue and Shintani (2006). We propose an empirical likelihood block bootstrap procedure to improve inference where models are characterized…

长程依赖非线性时间序列的设定检验AI 解读

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long-range dependent. An asymptotically normal test is established even when long-range dependent is involved. To implement the proposed test in practice using a simulated example, a bootstrap simulation procedure is established to find a simulated critical value to compute both the size and power values of the…

三维标志点数据中平均反射形状及大小与形状的自助法推断AI 解读

Working within the framework of a multi-dimensional scaling approach to shape analysis, we develop bootstrap methods for inference about mean reflection shape and size-and-shape based on labelled landmark data. The approach is developed in general dimensions though we focus on the three-dimensional case. We consider two pivotal statistics which we use to construct bootstrap confidence regions for the mean reflection shape or size-and-shape, and present simulation results…

线性时间序列模型相对于门限扩展的检验AI 解读

This paper derives the asymptotic null distribution of a quasilikelihood ratio test statistic for an autoregressive moving average model against its threshold extension. The null hypothesis is that of no threshold, and the error term could be dependent. The asymptotic distribution is rather complicated, and all existing methods for approximating a distribution in the related literature fail to work. Hence, a novel bootstrap approximation based on stochastic permutation is…

多元线性回归中用于高效估计的部分包络模型AI 解读

We introduce the partial envelope model, which leads to a parsimonious method for multivariate linear regression when some of the predictors are of special interest. It has the potential to achieve massive efficiency gains compared with the standard model in the estimation of the coefficients for the selected predictors. The partial envelope model is a variation on the envelope model proposed by Cook et al. (2010) but, as it focuses on part of the predictors, it has looser…

计数数据的有效概率预测AI 解读

Summary Efficient probabilistic forecasts of integer-valued random variables are derived. The optimality is achieved by estimating the forecast distribution non-parametrically over a given broad model class and proving asymptotic (non-parametric) efficiency in that setting. The method is developed within the context of the integer auto-regressive class of models, which is a suitable class for any count data that can be interpreted as a queue, stock, birth-and-death process…

测量误差下形状约束非参数密度与回归的检验和估计AI 解读

In many applications we can expect that, or are interested to know if, a density function or a regression curve satisfies some specific shape constraints. For example, when the explanatory variable, X, represents the value taken by a treatment or dosage, the conditional mean of the response, Y , is often anticipated to be a monotone function of X. Indeed, if this regression mean is not monotone (in the appropriate direction) then the medical or commercial value of the…

通过检验小区域效应进行模型选择及区域数据应用AI 解读

The models used in small-area inference often involve unobservable random effects. While this can significantly improve the adaptivity and flexibility of a model, it also increases the variability of both point and interval estimators. If we could test for the existence of the random effects, and if the test were to show that they were unlikely to be present, then we would arguably not need to incorporate them into the model, and thus could significantly improve the…

已实现核估计量的子采样AI 解读

In a recent paper we have introduced the class of realised kernel estimators of the increments of quadratic variation in the presence of noise. We showed that this estimator is consistent and derived its limit distribution under various assumptions on the kernel weights. In this paper we extend our analysis, looking at the class of subsampled realised kernels and we derive the limit theory for this class of estimators. We find that subsampling is highly advantageous for…

聚类数据稳健估计的自助推断AI 解读

In mixed models, the use of robust estimates raises several interesting inferential challenges. One of these challenges arises from the realization that the effect of contamination is to increase the variability in the data, but robust estimates of variance components are usually smaller than their nonrobust counterparts. The robust estimates reflect the variability of the bulk of the data, which is not the same as the variability in the data-generating process. This means…

多抽样框调查的伪经验似然推断AI 解读

This article presents a pseudo–empirical likelihood approach to inference for multiple-frame surveys. We establish a unified framework for point and interval estimation of finite population parameters, and show that inferences on the parameters of interest making effective use of different types of auxiliary population information can be conveniently carried out through the constrained maximization of the pseudo–empirical likelihood function. Confidence intervals are…

具有部分分位数变动效应的删失分位数回归AI 解读

Quantile regression offers a flexible approach to analyzing survival data, allowing each covariate effect to vary with quantiles. In practice, constancy is often found to be adequate for some covariates. In this paper, we study censored quantile regression tailored to the partially functional effect setting with a mixture of varying and constant effects. Such a model can offer a simpler view regarding covariate-survival association and, moreover, can enable improvement in…

参数极值的 Bootstrap 置信区间与假设检验AI 解读

The bootstrap provides effective and accurate methodology for a wide variety of statistical problems which might not otherwise enjoy practicable solutions. However, there still exist important problems where standard bootstrap estimators are not consistent, and where alternative approaches, for example the m-out-of-n bootstrap and asymptotic methods, also face significant challenges. One of these is the problem of constructing confidence intervals or hypothesis tests for…

族错误率控制的序贯拒绝原理AI 解读

Closed testing and partitioning are recognized as fundamental principles of familywise error control. In this paper, we argue that sequential rejection can be considered equally fundamental as a general principle of multiple testing. We present a general sequentially rejective multiple testing procedure and show that many well-known familywise error controlling methods can be constructed as special cases of this procedure, among which are the procedures of Holm, Shaffer and…

曲线时间序列有限维数的识别AI 解读

The curve time series framework provides a convenient vehicle to accommodate some nonstationary features into a stationary setup. We propose a new method to identify the dimensionality of curve time series based on the dynamical dependence across different curves. The practical implementation of our method boils down to an eigenanalysis of a finite-dimensional matrix. Furthermore, the determination of the dimensionality is equivalent to the identification of the nonzero…

Markowitz 问题及线性约束二次规划的高维效应：风险低估AI 解读

We first study the properties of solutions of quadratic programs with linear equality constraints whose parameters are estimated from data in the high-dimensional setting where p, the number of variables in the problem, is of the same order of magnitude as n, the number of observations used to estimate the parameters. The Markowitz problem in Finance is a subcase of our study. Assuming normality and independence of the observations we relate the efficient frontier computed…

部分线性模型的结构变化检验AI 解读

We consider two tests of structural change for partially linear time-series models. The first tests for structural change in the parametric component, based on the cumulative sums of gradients from a single semiparametric regression. The second tests for structural change in the parametric and nonparametric components simultaneously, based on the cumulative sums of weighted residuals from the same semiparametric regression. We derive the limiting distributions of both tests…