论文检索

Cox 模型的最大加权偏似然估计AI 解读

New estimators for Cox regression that maximize a weighted version of the partial likelihood are considered. Their asymptotic properties on the model are sketched. Estimators with bounded influence curves are identified and shown to have good asymptotic relative efficiency. The results of a small simulation study are included. The estimators are applied to a well-known data set. The possible influence of an outlying observation on the Cox estimator can be of any magnitude.…

多变量不完整数据的模式混合模型AI 解读

Consider a random sample on variables X1, …, Xv with some values of Xv missing. Selection models specify the distribution of X1 , …, XV over respondents and nonrespondents to Xv , and the conditional distribution that Xv is missing given X1 , …, Xv . In contrast, pattern-mixture models specify the conditional distribution of X 1, …, Xv given that XV is observed or missing respectively and the marginal distribution of the binary indicator for whether or not Xv is missing. For…

时间序列模型参数与异常值效应的联合估计AI 解读

Time series data are often subject to uncontrolled or unexpected interventions, from which various types of outlying observations are produced. Outliers in time series, depending on their nature, may have a moderate to significant impact on the effectiveness of the Standard methodology for time series analysis with respect to model identification, estimation, and forecasting. In this article we use an iterative outlier detection and adjustment procedure to obtain joint…

利用退出研究后的事件估计非参数生存函数：艾滋病潜伏期应用AI 解读

Often postdropout responses (PDR) in study dropouts are identified from death/disease registries or other medical records. If ail dropout is random, then use of postdropout responses while censoring other subjects at date of dropout (CDO/PDR) will bias nonparametric survival probability estimates downward. Censoring all individuals at the last date of study contact, ignoring postdropout information (CDO) will produce unbiased nonparametric survival estimates. As onset of the…

摘要暂缺

带线性约束的协整向量估计AI 解读

A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed estimation procedures require a conventional rank condition of identification but no exogeneity assumption. In place of exogenous variables there are series that are not cointegrated and can…

摘要暂缺

摘要暂缺

不可逆非高斯 MA(q) 过程的识别与估计AI 解读

Traditional estimation procedures, such as OLS or Box-Jenkins ARIMA modelling, which are based on second-order properties, are incapable of distinguishing among autocorrelation-equivalent MA model specifications; this ambiguity is usually resolved by imposing therestriction of invertibility. This paper presents an estimation procedure based on higher-order moments which is capable of distinguishing between these alternative specifications without recourse to the…

总量冲击与宏观经济波动：贝叶斯方法AI 解读

Abstract This paper describes Bayesian techniques for analysing the effects of aggregate shocks on macroeconomic time‐series. Rather than calculate point estimates of the response of a time‐series to an aggregate shock, we calculate the whole probability density function of the response and use Monte‐Carlo or Gibbs sampling techniques to evaluate its properties. The proposed techniques impose identification restrictions in a way that includes the uncertainty in these…

混合分布的一致估计AI 解读

A maximum-penalized-likelihood method is proposed for estimating a mixing distribution and it is shown that this method produces a consistent estimator, in the sense of weak convergence. In particular, a new proof of the consistency of maximum-likelihood estimators is given. The estimated number of components is shown to be at least as large as the true number, for large samples. Also, the large-sample limits of estimators which are constrained to have a fixed finite number…

多终点下关于指定处理的假设检验AI 解读

The problem of comparing an identified treatment with K other treatments is considered in a multivariate setting. Many formulations of composite alternative hypotheses are possible. For example, one might wish to examine whether the identified treatment is superior to the other treatments on all components of the response vector (i.e., is uniformly best) or whether the identified treatment is better than each treatment on at least one component (i.e., is admissible). For…

估计矩阵的秩与定性检验：因子、状态空间及 ARMA 应用AI 解读

Consider any consistent, asymptotically normal estimate ǎ of an arbitrary rectangular or square matrix A. This article derives an explicit test for the rank of A and a related test of (semi) definiteness of A. Potential applications include testing for identification of structural models, testing for the number of state variables in state-space models (including tests for the order of autoregressive moving average (ARMA) processes), consumer demand analysis applications, and…

多元动态线性变量误差模型的可识别性AI 解读

This article considers multivariate causal transfer function systems with latent stationary inputs and outputs. Their observation is assumed to be disturbed by errors in variables (EV). The main identification results for such models so far consist of structure theory. Derived are descriptions of classes of EV transfer function systems compatible with given covariance structures of the observed variables under various causality constraints. The case of unique determination…

多元回归中评估测量可靠性的重要性AI 解读

In many contexts involving multivariate linear regression models, some or all of the independent (predictor) variables are measured with error. It is argued that if the goal is to assess the relationship of the dependent variables to the true predictor variables, then it is important to determine the reliability matrix Λ of the measurement X of the vector of true predictors. If Λ is singular, then the slope matrix B is not identifiable. If Λ is nearly singular, then B cannot…

多个终点下针对指定处理的假设检验AI 解读

The problem of comparing an identified treatment with K other treatments is considered in a multivariate setting. Many formulations of composite alternative hypotheses are possible. For example, one might wish to examine whether the identified treatment is superior to the other treatments on all components of the response vector (i.e., is uniformly best) or whether the identified treatment is better than each treatment on at least one component (i.e., is admissible). For…

多变量动态线性变量测量误差模型的可识别性AI 解读

This article considers multivariate causal transfer function systems with latent stationary inputs and outputs. Their observation is assumed to be disturbed by errors in variables (EV). The main identification results for such models so far consist of structure theory. Derived are descriptions of classes of EV transfer function systems compatible with given covariance structures of the observed variables under various causality constraints. The case of unique determination…

有限总体分布函数估计量的性质AI 解读

Two leading estimators of the finite population distribution function are studied. Their large-sample mean squared errors are compared, under a given model. Neither estimator is universally better; circumstances are identified where the model-based estimator would do poorly, despite employing the correct model.

工具变量依赖参数时的半参数 IV 估计AI 解读

A well-known result in the method of moments literature is that the efficient instruments for the estimation of a model are functions of the conditional expectation of its gradient. Some recent studies have suggested the nonparametric estimation of these instruments when they are of unknown functional form. When these instruments in turn depend on the unknown parameters it has been suggested that these be replaced by preliminary consistent estimates. It is shown here that…

非线性回归中的嵌入模型AI 解读

SUMMARY A problem that is often encountered in non-linear regression is instability in the computation of parameter estimates. Such instability may arise from models with too many parameters, resulting in estimating equations that are ill conditioned and consequent problems of identification. This paper shows that in some cases these difficulties can be explained by the presence of an embedded model, a special case of the original model involving fewer parameters but one…

正态位置参数后验矩的精确与近似表达AI 解读

SUMMARY The forms of first and second posterior moments for a normal location parameter are identified for a rather general class of prior distributions. Exact and approximate illustrations are given where the prior distribution is double exponential or Student t respectively.

广义矩估计竞争模型的非嵌套检验AI 解读

Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with het- eroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented. THIS PAPER IS CONCERNED with providing a procedure whereby non-nested models estimated by generalized method of moments (GMM) (Hansen (1982)) may be com-…

贝叶斯先验征询的诊断方法AI 解读

One elicitation diagnostic identifies a family of prior distributions that are so diffuse that they are practically equivalent to the "completely" diffuse prior. Another elicitation diagnostic identifies a family of prior distributions that concentrate enough mass in the neighborhood of zero that they are practically equivalent to the dogmatic prior that sets a parameter exactly equal to zero. If either question thus posed can be answered in the affirmative then there is no…

摘要暂缺