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非参数工具变量函数估计的一致置信带AI 解读

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in both mildly and severely ill-posed cases. We present methods to obtain a uniform confidence band and show that the bootstrap can be used to obtain the required critical values. Monte…

方差谱剖面AI 解读

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and nondecreasing function of the power parameter, p, which returns the minimum of the spectrum (p→−∞), the interpolation error variance (harmonic mean, p=−1), the prediction error variance (geometric mean, p=0), the unconditional variance (arithmetic mean, p=1), and the maximum of the spectrum (p→∞). The variance profile provides a useful…

混合比例可变的回归混合模型：半参数方法AI 解读

In this article, we study a class of semiparametric mixtures of regression models, in which the regression functions are linear functions of the predictors, but the mixing proportions are smoothing functions of a covariate. We propose a one-step backfitting estimation procedure to achieve the optimal convergence rates for both regression parameters and the nonparametric functions of mixing proportions. We derive the asymptotic bias and variance of the one-step estimate, and…

随机效应分布未指定时混合效应模型的条件推断函数AI 解读

In longitudinal studies, mixed-effects models are important for addressing subject-specific effects. However, most existing approaches assume a normal distribution for the random effects, and this could affect the bias and efficiency of the fixed-effects estimator. Even in cases where the estimation of the fixed effects is robust with a misspecified distribution of the random effects, the estimation of the random effects could be invalid. We propose a new approach to…

婚姻会提高男性工资吗？面板固定效应回归中的处理效应识别AI 解读

Social scientists have generated a large and inconclusive literature on the effect(s) of marriage on men’s wages. Researchers have hypothesized that the wage premium enjoyed by married men may reflect both a tendency for more productive men to marry and an effect of marriage on productivity. To sort out these explanations, researchers have used fixed effects regression models for panel data to adjust for selection on unobserved time-invariant confounders, interpreting…

比较空间点模式的学生化置换检验AI 解读

In this study, a new test is proposed for the hypothesis that two (or more) observed point patterns are realizations of the same spatial point process model. To this end, the point patterns are divided into disjoint quadrats, on each of which an estimate of Ripley’s K-function is calculated. The two groups of empirical K-functions are compared by a permutation test using a Studentized test statistic. The proposed test performs convincingly in terms of empirical level and…

DD 分类器：基于深度对深度图的非参数分类方法AI 解读

Using the DD-plot (depth vs. depth plot), we introduce a new nonparametric classification algorithm and call it DD-classifier. The algorithm is completely nonparametric, and it requires no prior knowledge of the underlying distributions or the form of the separating curve. Thus, it can be applied to a wide range of classification problems. The algorithm is completely data driven and its classification outcome can be easily visualized in a two-dimensional plot regardless of…

跳跃扩散中以逆已实现拉普拉斯变换估计波动率密度AI 解读

This article develops a nonparametric estimator of the stochastic volatility density of a discretely observed Itô semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two basic steps involved. The first step is aggregating the high-frequency increments into the realized Laplace transform, which is a robust nonparametric estimate of the underlying volatility Laplace transform. The second step is using a regularized kernel…

分位数周期图AI 解读

Two periodogram-like functions, called quantile periodograms, are introduced for spectral analysis of time series. The quantile periodograms are constructed from trigonometric quantile regression and motivated by different interpretations of the ordinary periodogram. Analytical and numerical results demonstrate the capability of the quantile periodograms for detecting hidden periodicity in the quantiles and for providing an additional view of time-series data. A connection…

验证性自适应设计的概率基础AI 解读

Adaptive designs allow the investigator of a confirmatory trial to react to unforeseen developments by changing the design. This broad flexibility comes at the price of a complex statistical model where important components, such as the adaptation rule, remain unspecified. It has thus been doubted whether Type I error control can be guaranteed in general adaptive designs. This criticism is fully justified as long as the probabilistic framework on which an adaptive design is…

配对排名列表随机退化的中等偏差推断AI 解读

Consider a problem where N items (objects or individuals) are judged by assessors using their perceptions of a set of performance criteria, or alternatively by technical devices. In particular, two assessors might rank the items between 1 and N on the basis of relative performance, independently of each other. We can aggregate the rank lists by assigning one if the two assessors agree, and zero otherwise, and we can modify this approach to make it robust against…

匹配估计量的鞅表示AI 解读

Matching estimators are widely used in statistical data analysis. However, the large sample distribution of matching estimators has been derived only for particular cases. This article establishes a martingale representation for matching estimators. This representation allows the use of martingale limit theorems to derive the large sample distribution of matching estimators. As an illustration of the applicability of the theory, we derive the asymptotic distribution of a…

异方差模型中复合原假设的多重检验AI 解读

In large-scale studies, the true effect sizes often range continuously from zero to small to large, and are observed with heteroscedastic errors. In practical situations where the failure to reject small deviations from the null is inconsequential, specifying an indifference region (or forming composite null hypotheses) can greatly reduce the number of unimportant discoveries in multiple testing. The heteroscedasticity issue poses new challenges for multiple testing with…

罕见二元不良事件数据的元分析AI 解读

We examine the use of fixed-effects and random-effects moment-based meta-analytic methods for analysis of binary adverse event data. Special attention is paid to the case of rare adverse events which are commonly encountered in routine practice. We study estimation of model parameters and between-study heterogeneity. In addition, we examine traditional approaches to hypothesis testing of the average treatment effect and detection of the heterogeneity of treatment effect…

初始抗逆转录病毒方案失败后早期与延迟换药的效果评估AI 解读

The current goal of initial antiretroviral (ARV) therapy is suppression of plasma human immunodeficiency virus (HIV)-1 RNA levels to below 200 copies per milliliter. A proportion of HIV-infected patients who initiate antiretroviral therapy in clinical practice or antiretroviral clinical trials either fail to suppress HIV-1 RNA or have HIV-1 RNA levels rebound on therapy. Frequently, these patients have sustained CD4 cell counts responses and limited or no clinical symptoms…

时间序列拟合优度检验的新加权混成统计量AI 解读

We exploit ideas from high-dimensional data analysis to derive new portmanteau tests that are based on the trace of the square of the mth order autocorrelation matrix. The resulting statistics are weighted sums of the squares of the sample autocorrelation coefficients that, unlike many other tests appearing in the literature, are numerically stable even when the number of lags considered is relatively close to the sample size. The statistics behave asymptotically as a linear…

聚类、空间相关与随机化推断AI 解读

It is a standard practice in regression analyses to allow for clustering in the error covariance matrix if the explanatory variable of interest varies at a more aggregate level (e.g., the state level) than the units of observation (e.g., individuals). Often, however, the structure of the error covariance matrix is more complex, with correlations not vanishing for units in different clusters. Here, we explore the implications of such correlations for the actual and estimated…

金融与保险部门关联度及系统性风险的计量度量AI 解读

We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can…

广义可加交互非线性波动模型的局部工具变量估计AI 解读

In this article we consider a new separable nonparametric volatility model that includes second-order interaction terms in both mean and conditional variance functions. This is a very flexible nonparametric ARCH model that can potentially explain the behavior of the wide variety of financial assets. The model is estimated using the generalized version of the local instrumental variable estimation method first introduced in Kim and Linton (2004, Econometric Theory 20,…

弱识别下的非线性协整回归AI 解读

An asymptotic theory is developed for a weakly identified cointegrating regression model in which the regressor is a nonlinear transformation of an integrated process. Weak identification arises from the presence of a loading coefficient for the nonlinear function that may be close to zero. In that case, standard nonlinear cointegrating limit theory does not provide good approximations to the finite-sample distributions of nonlinear least squares estimators, resulting in…

长记忆自标准化线性过程的渐近性质AI 解读

In this paper we study the convergence to fractional Brownian motion for long memory time series having independent innovations with infinite second moment. For the sake of applications we derive the self-normalized version of this theorem. The study is motivated by models arising in economic applications where often the linear processes have long memory, and the innovations have heavy tails.

白噪声中的单位根AI 解读

We show that the empirical distribution of the roots of the vector autoregression (VAR) of order p fitted to T observations of a general stationary or nonstationary process converges to the uniform distribution over the unit circle on the complex plane, when both T and p tend to infinity so that (ln T )/ p → 0 and p 3 / T → 0. In particular, even if the process is a white noise, nearly all roots of the estimated VAR will converge by absolute value to unity. For fixed p , we…

利用扩展函数型Delta方法检验未知时点的相关性变化AI 解读

We propose a new test against a change in correlation at an unknown point in time based on cumulated sums of empirical correlations. The test does not require that inputs are independent and identically distributed under the null. We derive its limiting null distribution using a new functional delta method argument, provide a formula for its local power for particular types of structural changes, give some Monte Carlo evidence on its finite-sample behavior, and apply it to…

自回归模型的统一区间估计AI 解读

An empirical likelihood–based confidence interval is proposed for interval estimations of the autoregressive coefficient of a first-order autoregressive model via weighted score equations. Although the proposed weighted estimate is less efficient than the usual least squares estimate, its asymptotic limit is always normal without assuming stationarity of the process. Unlike the bootstrap method or the least squares procedure, the proposed empirical likelihood–based…