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稀疏指数分布数据的错误发现率阈值估计的渐近极小极大性AI 解读

We apply FDR thresholding to a non-Gaussian vector whose coordinates Xi, i=1, …, n, are independent exponential with individual means μi. The vector μ=(μi) is thought to be sparse, with most coordinates 1 but a small fraction significantly larger than 1; roughly, most coordinates are simply ‘noise,’ but a small fraction contain ‘signal.’ We measure risk by per-coordinate mean-squared error in recovering log(μi), and study minimax estimation over parameter spaces defined by…

适用于短程与长程依赖的频域经验似然AI 解读

This paper introduces a version of empirical likelihood based on the periodogram and spectral estimating equations. This formulation handles dependent data through a data transformation (i.e., a Fourier transform) and is developed in terms of the spectral distribution rather than a time domain probability distribution. The asymptotic properties of frequency domain empirical likelihood are studied for linear time processes exhibiting both short- and long-range dependence. The…

分数协整子空间的半参数估计AI 解读

We consider a common-components model for multivariate fractional cointegration, in which the $s\geq1$ components have different memory parameters. The cointegrating rank may exceed 1. We decompose the true cointegrating vectors into orthogonal fractional cointegrating subspaces such that vectors from distinct subspaces yield cointegrating errors with distinct memory parameters. We estimate each cointegrating subspace separately, using appropriate sets of eigenvectors of an…

渐近极小极大贝叶斯预测密度AI 解读

Given a random sample from a distribution with density function that depends on an unknown parameter θ, we are interested in accurately estimating the true parametric density function at a future observation from the same distribution. The asymptotic risk of Bayes predictive density estimates with Kullback–Leibler loss function D(fθ||{f̂})=∫fθ log(fθ/f̂) is used to examine various ways of choosing prior distributions; the principal type of choice studied is minimax. We seek…

A depth-based rank sum statistic for multivariate data introduced by Liu and Singh [J. Amer. Statist. Assoc. 88 (1993) 252–260] as an extension of the Wilcoxon rank sum statistic for univariate data has been used in multivariate rank tests in quality control and in experimental studies. Those applications, however, are based on a conjectured limiting distribution, provided by Liu and Singh [J. Amer. Statist. Assoc. 88 (1993) 252–260]. The present paper proves the conjecture…

高斯局部平稳过程的非参数准最大似然估计AI 解读

This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain likelihood over a class of functions. The asymptotic behavior of the resulting estimator is studied. The results depend on the richness of the class of functions. Both sieve estimation and global estimation are considered. Our results apply, in particular, to estimation under shape constraints. As…

广义部分线性模型中的稳健估计AI 解读

In this paper, we introduce a family of robust estimates for the parametric and nonparametric components under a generalized partially linear model, where the data are modeled by yi|(xi, ti)∼F(⋅, μi) with μi=H(η(ti)+xiTβ), for some known distribution function F and link function H. It is shown that the estimates of β are root-n consistent and asymptotically normal. Through a Monte Carlo study, the performance of these estimators is compared with that of the classical ones.

形状矩阵的半参数有效秩推断（二）：最优 R 估计AI 解读

A class of R-estimators based on the concepts of multivariate signed ranks and the optimal rank-based tests developed in Hallin and Paindaveine [Ann. Statist. 34 (2006) 2707–2756] is proposed for the estimation of the shape matrix of an elliptical distribution. These R-estimators are root-n consistent under any radial density g, without any moment assumptions, and semiparametrically efficient at some prespecified density f. When based on normal scores, they are uniformly…

形状参数的半参数有效秩推断（一）：最优球形性秩检验AI 解读

We propose a class of rank-based procedures for testing that the shape matrix V of an elliptical distribution (with unspecified center of symmetry, scale and radial density) has some fixed value V0; this includes, for V0={I}k, the problem of testing for sphericity as an important particular case. The proposed tests are invariant under translations, monotone radial transformations, rotations and reflections with respect to the estimated center of symmetry. They are valid…

ABSTRACT We apply a new bootstrap statistical technique to examine the performance of the U.S. open‐end, domestic equity mutual fund industry over the 1975 to 2002 period. A bootstrap approach is necessary because the cross section of mutual fund alphas has a complex nonnormal distribution due to heterogeneous risk‐taking by funds as well as nonnormalities in individual fund alpha distributions. Our bootstrap approach uncovers findings that differ from many past studies.…

用系统估计重新推导 Mundlak 的固定效应结果AI 解读

Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be…

Breitung 面板单位根检验及其局部渐近功效AI 解读

This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n−1/4T−1 where n and T are the cross-section and…

单指标模型两种估计量的渐近分布AI 解读

The single-index model is one of the most popular semiparametric models in applied quantitative sciences. Two new estimation methods have been proposed recently by Hristache, Juditski, and Spokoiny (2001, Annals of Statistics 29, 595–623) and Xia, Tong, Li, and Zhu (2002, Journal of the Royal Statistical Society, Series B 64, 363–410), respectively. However, their asymptotic distributions have not been investigated yet. In this paper, alternative versions for the methods are…

针对分数协整的残差型 LM 检验AI 解读

Nonstationary integrated time series may be fractionally cointegrated. Here we propose a test for the null hypothesis of no cointegration. It builds on the asymptotically normal Lagrange multiplier (LM) test against fractional alternatives applied to single equation residuals. It is shown that the LM test applied naively to residuals from a static level regression does not retain asymptotic normality. However, when the LM statistic is employed with residuals from a…

利用投影的回归模型一致诊断检验AI 解读

This paper proposes a consistent test for the goodness-of-fit of parametric regression models that overcomes two important problems of the existing tests, namely, the poor empirical power and size performance of the tests due to the curse of dimensionality and the subjective choice of parameters such as bandwidths, kernels, and integrating measures. We overcome these problems by using a residual marked empirical process based on projections (RMPP). We study the asymptotic…

广泛依赖误差下平稳性对趋势与单位根的检验AI 解读

We suggest a rescaled variance type of test for the null hypothesis of stationarity against deterministic and stochastic trends (unit roots). The deterministic trend can be represented as a general function in time (e.g., nonparametric, linear, or polynomial regression, abrupt changes in the mean). Under the null, the asymptotic distribution of the test is derived, and critical values are tabulated for a wide class of stationary processes with short, long, or negative…

非平稳与协整 ARMAX 系统的识别和估计AI 解读

This paper extends current theory on the identification and estimation of vector time series models to nonstationary processes. It examines the structure of dynamic simultaneous equations systems or ARMAX processes that start from a given set of initial conditions and evolve over a given, possibly infinite, future time horizon. The analysis proceeds by deriving the echelon canonical form for such processes. The results are obtained by amalgamating ideas from the theory of…

短面板中的代际流动与样本选择AI 解读

Abstract Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions—bias that is expected to be severe in short panels—on measures of intergenerational mobility in occupational prestige. We try to limit the impact of other selection biases, such as those induced by labour market restrictions that are typically imposed in intergenerational mobility studies, by using different measures of…

1930—2000年美国各州发明活动的动态演变AI 解读

Abstract We study the dynamics of the cross‐section distribution of patents per capita for the 48 continental US states from 1930 to 2000 using a discrete‐state Markov chain. We test for and find evidence in favor of the (knowledge) convergence hypothesis. The distribution of patents is converging to a limiting distribution that is significantly more concentrated than its initial distribution. States in the extreme are more mobile than states in the middle of the…

长预测期多变量脉冲响应函数的小样本置信区间AI 解读

Abstract Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent. The goal of this paper is to propose a simple method that is not pointwise and that is robust to the presence of highly persistent processes. We use approximations based on local‐to‐unity asymptotic theory, and allow the horizon to be a fixed fraction of the sample size. We show that our method…

风险与收益是否存在权衡？来自高频数据的证据AI 解读

Abstract This paper examines the intertemporal relation between risk and return for the aggregate stock market using high‐frequency data. We use daily realized, GARCH, implied, and range‐based volatility estimators to determine the existence and significance of a risk–return trade‐off for several stock market indices. We find a positive and statistically significant relation between the conditional mean and conditional volatility of market returns at the daily level. This…

学校绩效指标界限的识别与估计：带验证信息混合模型的非参数分析AI 解读

Abstract This paper identifies and nonparametrically estimates sharp bounds on school performance measures based on test scores that may not be valid for all students. A mixture model with verification is developed to handle this problem. This is a mixture model for data that can be partitioned into two sets, one of which (the so‐called verified set) is more likely to be from the distribution of interest than the other. An administrative classification of each student as…

用于时间序列预测的函数型小波—核方法AI 解读

Summary We consider the prediction problem of a time series on a whole time interval in terms of its past. The approach that we adopt is based on functional kernel nonparametric regression estimation techniques where observations are discrete recordings of segments of an underlying stochastic process considered as curves. These curves are assumed to lie within the space of continuous functions, and the discretized time series data set consists of a relatively small, compared…

存在不依从的三臂试验中的因果效应界AI 解读

Summary The paper considers the analysis of three-arm randomized trials with non-compliance. In these trials, the average causal effects of treatments within principal strata of compliance behaviour are of interest for better understanding the effect of the treatment. Unfortunately, even with the usual assumptions, the average causal effects of treatments within principal strata are not point identified. However, the observable data do provide useful information on the…