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回归系数一般持续性时变的有效检验AI 解读

There are a large number of tests for instability or breaks in coefficients in regression models designed for different possible departures from the stable model. We make two contributions to this literature. First, we consider a large class of persistent breaking processes that lead to asymptotically equivalent efficient tests. Our class allows for many or relatively few breaks, clustered breaks, regularly occurring breaks, or smooth transitions to changes in the regression…

检验标普500的连续半鞅假设AI 解读

Large amounts of intraday data of the S&P 500 stock index futures are used to test the hypothesis that the log-return process, corrected for drift, is a continuous martingale. We use the time change for martingales theorem to rephrase the hypothesis and test whether the return process, corrected for drift, is a time-changed Brownian motion. This hypothesis cannot be rejected.

短时段内协整关系失效的检验AI 解读

This article introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at the end of the sample. The breakdown may be due to a shift in the cointegrating vector or due to a shift in the errors from being I(0) to being I(1). Tests are introduced based on the postbreakdown sum of squared residuals and sum of squared reverse partial sums of residuals. Critical values are provided using a subsampling method. Asymptotic results take…

不增加方差的长记忆参数偏差缩减对数周期图与 Whittle 估计AI 解读

The bias-reduced log-periodogram estimator of Andrews and Guggenberger (2003, Econometrica 71, 675–712) for the long-memory parameter d in a stationary long-memory time series reduces the asymptotic bias of the original log-periodogram estimator of Geweke and Porter-Hudak (1983) by an order of magnitude but inflates the asymptotic variance by a multiplicative constant cr, for example, c1 = 2.25 and c2 = 3.52. In this paper, we introduce a new, computationally attractive…

固定效应模型误差序列相关的 Portmanteau 检验AI 解读

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties.The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for their helpful comments.

无需观测过程矩假设的一般 GARCH(1,1) 模型混合性质AI 解读

We consider general, and possibly nonparametric, GARCH(1,1) processes. First we give conditions for the existence and the uniqueness of stationary ergodic solutions. Then we identify additional conditions for geometric ergodicity. These conditions consist of mild restrictions on the distribution of the latent independent process. No moment assumption is made on the generalized autoregressive conditionally heteroskedastic (GARCH) process. Applications to the asymptotic…

一般半参数共享脆弱性模型的前瞻生存分析：伪完全似然方法AI 解读

We provide a simple estimation procedure for a general frailty model for the analysis of prospective correlated failure times. The large-sample properties of the proposed estimators of both the regression coefficient vector and the dependence parameter are described, and consistent variance estimators are given. A brief outline of the proofs is given. In a simulation study under the widely used gamma frailty model, our proposed approach was found to have essentially the same…

通过p值加权控制错误发现AI 解读

We present a method for multiple hypothesis testing that maintains control of the false discovery rate while incorporating prior information about the hypotheses. The prior information takes the form of p-value weights. If the assignment of weights is positively associated with the null hypotheses being false, the procedure improves power, except in cases where power is already near one. Even if the assignment of weights is poor, power is only reduced slightly, as long as…

区间删失模型与寿命分布的模拟推断AI 解读

Interval-censored lifetime data arise when individuals in a study are inspected intermittently so that a lifetime is observed to lie between two successive times. In settings where only these two times are available, methods exist for nonparametric or parametric estimation of lifetime distributions. However, there has been virtually no discussion of how inspection processes may be estimated or identified. Such estimates are needed if one is to generate interval-censored data…

依赖截断下的生存分布估计AI 解读

The product-limit estimator calculated from data subject to random left-truncation relies on the testable assumption of quasi-independence between the failure time and the truncation time. In this paper, we propose a model for a truncated sample of pairs (X-sub-i, Y-sub-i) satisfying Y-sub-i > X-sub-i. A possible dependency between the truncation time and the variable of interest is modelled with a parametric family of copulas. The model also features a distribution function…

随机组大小的组序贯试验置信区间及生存分析应用AI 解读

A new ordering scheme for defining quantiles of the multivariate distribution of a stopping time and a stopped stochastic process is introduced. This ordering scheme is used in conjunction with resampling methods to construct confidence intervals for a population mean following a group sequential test with random group sizes, and for the regression parameter of a proportional hazards model following a time-sequential clinical trial with censored survival data. It is shown…

计数过程半参数变换模型的有效估计AI 解读

A class of semiparametric transformation models is proposed to characterise the effects of possibly time-varying covariates on the intensity functions of counting processes. The class includes the proportional intensity model and linear transformation models as special cases. Nonparametric maximum likelihood estimators are developed for the regression parameters and cumulative intensity functions of these models based on censored data. The estimators are shown to be…

存在选择偏差时总体协方差矩阵的恢复AI 解读

This paper considers the problem of using observational data in the presence of selection bias to identify causal effects in the framework of linear structural equation models. We propose a criterion for testing whether or not observed statistical dependencies among variables are generated by conditioning on a common response variable. When the answer is affirmative, we further provide formulations for recovering the covariance matrix of the whole population from that of the…

高斯 Copula 回归模型的高效贝叶斯推断AI 解读

A Gaussian copula regression model gives a tractable way of handling a multivariate regression when some of the marginal distributions are non-Gaussian. Our paper presents a general Bayesian approach for estimating a Gaussian copula model that can handle any combination of discrete and continuous marginals, and generalises Gaussian graphical models to the Gaussian copula framework. Posterior inference is carried out using a novel and efficient simulation method. The methods…

利用 DNA 档案数据库识别入库个体亲属的法医方法AI 解读

In this paper we evaluate the characteristics observed both on a crime sample and on individuals included in a database to assess the probability of alternative hypotheses concerning identification. The problem is first addressed by considering a generic characteristic and we demonstrate the problem via a computationally efficient Bayesian network. Then we turn our attention to a heritable DNA trait to show how to evaluate the hypotheses that some individuals, genetically…

控制错误发现率的自适应线性逐步上升程序AI 解读

The linear step-up multiple testing procedure controls the false discovery rate at the desired level q for independent and positively dependent test statistics. When all null hypotheses are true, and the test statistics are independent and continuous, the bound is sharp. When some of the null hypotheses are not true, the procedure is conservative by a factor which is the proportion m0/m of the true null hypotheses among the hypotheses. We provide a new two-stage procedure in…

非平稳自回归过程的相关图AI 解读

Summary Analysis of time series often involves correlograms and partial correlograms as graphical descriptions of temporal dependence. Two methods are available for computing these statistics: one based on autocorrelations and the other on scaled autocovariances. For a stationary time series the resulting plots are nearly identical. When it comes to time series exhibiting non-stationary features these methods can lead to very different results. This has two consequences:…

多元正态均值向量的最小体积置信域AI 解读

Summary Since Stein's original proposal in 1962, a series of papers have constructed confidence regions of smaller volume than the standard spheres for the mean vector of a multivariate normal distribution. A general approach to this problem is developed here and used to calculate a lower bound on the attainable volume. Bayes and fiducial methods are involved in the calculation. Scheffé-type problems are used to show that low volume by itself does not guarantee favourable…

评估函数型数据的有限维性AI 解读

Summary If a problem in functional data analysis is low dimensional then the methodology for its solution can often be reduced to relatively conventional techniques in multivariate analysis. Hence, there is intrinsic interest in assessing the finite dimensionality of functional data. We show that this problem has several unique features. From some viewpoints the problem is trivial, in the sense that continuously distributed functional data which are exactly finite…

函数型数据的自由结点样条平滑AI 解读

Summary The paper introduces free-knot regression spline estimators for the mean and the variance components of a sample of curves. The asymptotic distribution of the mean estimator is derived, and asymptotic confidence bands are constructed. A comparative simulation study shows that free-knot splines estimate salient features of the functions (such as sharp peaks) more accurately than smoothing splines. This adaptive behaviour is also illustrated by an analysis of weather…

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