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平滑系数模型的半参数贝叶斯推断AI 解读

We describe procedures for Bayesian estimation and testing in cross sectional, panel data and nonlinear smooth coefficient models. The smooth coefficient model is a generalization of the partially linear or additive model wherein coefficients on linear explanatory variables are treated as unknown functions of an observable covariate. In the approach we describe, points on the regression lines are regarded as unknown parameters and priors are placed on differences between…

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鞅差假设的广义谱检验AI 解读

This article proposes a test for the Martingale Difference Hypothesis (MDH) using depen- dence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are inconsistent against uncorrelated non-martingales processes. Here, we gen- eralize the spectral test of Durlauf (1991) for testing the MDH taking into account linear and nonlinear…

调整空间非均匀性后的空间随机性检验AI 解读

In many applications, it is of interest to test whether a spatial point pattern is randomly generated after adjusting for an underlying spatial inhomogeneity. A great variety of different test statistics have been proposed for this purpose by scientists in different fields; these are reviewed in this article. Despite apparent dissimilarities in terms of their original formulations, most of these statistics can be placed into one general framework of which they are special…

子抽样 MCMC 估计的广义后分层与重要性抽样AI 解读

Benchmark estimation is motivated by the goal of producing an approximation to a posterior distribution that is better than the empirical distribution function. This is accomplished by incorporating additional information into the construction of the approximation. We focus here on generalized poststratification, the most successful implementation of benchmark estimation in our experience. We develop generalized poststratification for settings where the source of the…

无需一致估计渐近协方差矩阵的稳健 M 检验AI 解读

We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000) to constructing robust M tests without consistent estimation of the asymptotic covariance matrix. We demonstrate that, when model parameters have to be estimated, the normalizing matrix computed using a full-sample estimator is able to eliminate the nuisance parameters when there is no estimation effect but not otherwise. To circumvent the problem of estimation effect, we propose using recursive estimators to…

函数型方差过程AI 解读

We introduce the notion of a functional variance process to quantify variation in functional data. The functional data are modeled as samples of smooth random trajectories observed under additive noise. The noise is assumed to be composed of white noise and a smooth random process—the functional variance process—which gives rise to smooth random trajectories of variance. The functional variance process is a tool for analyzing stochastic time trends in noise variance. As a…

相依删失下加速寿命模型的秩估计AI 解读

Under independent censoring, estimation of the covariate effects in the accelerated lifetime model may be based on censored data rank tests. Similar rank methodology has been developed with bivariate accelerated lifetime models for dependent censoring but uses artificial censoring, which may lead to substantial information loss. We present a new artificial censoring technique using pairwise ranking and establish the asymptotic properties of a pairwise rank estimator.…

含干扰参数的非标准 M 估计之 m-out-of-n 自助法AI 解读

Nonstandard M-estimation, with nuisance parameters consistently estimated in the criterion function, often yields M-estimators converging weakly at rates different from n1/2 with weak limits that are typically non-Gaussian. The complicated asymptotics involved makes distributional estimation of the M-estimators analytically prohibitive. We show that the problem is resolved by m out of n bootstrapping under very general conditions, which provides a universal and convenient…

存在确诊选择偏差时 ROC 曲线下面积的双重稳健估计AI 解读

The area under the receiver operating characteristic curve (AUC) is a popular summary measure of the efficacy of a medical diagnostic test to discriminate between healthy and diseased subjects. A frequently encountered problem in studies that evaluate a new diagnostic test is that not all patients undergo disease verification because the verification test is expensive, invasive, or both. Furthermore, the decision to send patients to verification often depends on the new test…

自然实验中的随机化推断AI 解读

Since the 2000 U.S. Presidential election, social scientists have rediscovered a long tradition of research examining the effects of ballot format on voting. Using a new dataset collected by The New York Times, we investigate the causal effect of being listed on the first ballot page in the 2003 California gubernatorial recall election. California law mandates a unique randomization procedure of ballot order that, when appropriately modeled, can be used to approximate a…

分位数自回归AI 解读

We consider quantile autoregression (QAR) models in which the autoregressive coefficients can be expressed as monotone functions of a single, scalar random variable. The models can capture systematic influences of conditioning variables on the location, scale, and shape of the conditional distribution of the response, and thus constitute a significant extension of classical constant coefficient linear time series models in which the effect of conditioning is confined to a…

用边际积分估计和检验加性模型中的变系数AI 解读

We propose marginal integration estimation and testing methods for the coefficients of varying-coefficient multivariate regression models. Asymptotic distribution theory is developed for the estimation method, which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical results are derived under the fairly general conditions of absolute regularity (β-mixing). Application of the…

排序集抽样数据的非参数两样本方法AI 解读

A new collection of procedures is developed for the analysis of two-sample, ranked-set samples, providing an alternative to the Bohn–Wolfe procedure. These procedures split the data based on the ranks in the ranked-set sample and lead to tests for the centers of distributions, confidence intervals, and point estimators. The advantages of the new tests are that they require essentially no assumptions about the mechanism by which rankings are imperfect, that they maintain…

地理加性生存模型AI 解读

Survival data often contain small-area geographical or spatial information, such as the residence of individuals. In many cases, the impact of such spatial effects on hazard rates is of considerable substantive interest. Therefore, extensions of known survival or hazard rate models to spatial models have been suggested. Mostly, a spatial component is added to the usual linear predictor of the Cox model. In this article flexible continuous-time geoadditive models are…

半参数多元 Copula 模型的有效估计AI 解读

We propose a sieve maximum likelihood estimation procedure for a broad class of semiparametric multivariate distributions. A joint distribution in this class is characterized by a parametric copula function evaluated at nonparametric marginal distributions. This class of distributions has gained popularity in diverse fields due to its flexibility in separately modeling the dependence structure and the marginal behaviors of a multivariate random variable, and its…

最佳处理均值与对照均值之差的统计推断AI 解读

In many experiments, researchers are interested in comparing several treatment means with a control mean. When there are some treatments significantly better than the control, it is often of interest to evaluate the difference between the best treatment mean and the control mean and to identify the best treatment. In this article we derive lower confidence bounds for the aforementioned difference for the case that treatments are at least as effective as the control and for…

二元右删失数据的局部有效估计AI 解读

Estimation of the survival curve for independently right-censored bivariate failure time data is a problem that has been studied extensively over the past 20 years. In this article we propose a new class of estimators for the bivariate survivor function based on locally efficient (LE) estimation. The LE estimator takes bivariate estimators Fn and Gn of the distributions of the time variables (T1, T2) and the censoring variables (C1, C2), and maps them to the resulting…

利用黑暗遮蔽检验交通拦截中的种族差别对待AI 解读

The key problem in testing for racial profiling in traffic stops is estimating the risk set, or “benchmark,” against which to compare the race distribution of stopped drivers. To date, the two most common approaches have been to use residential population data or to conduct traffic surveys in which observers tally the race distribution of drivers at a certain location. It is widely recognized that residential population data provide poor estimates of the population at risk…

基于多元 MM 估计及快速稳健自助法的主成分分析AI 解读

We consider robust principal components analysis (PCA) based on multivariate MM estimators. We first study the robustness and efficiency of these estimators, particularly in terms of eigenvalues and eigenvectors. We then focus on inference procedures based on a fast and robust bootstrap for MM estimators. This method is an alternative to the approach based on the asymptotic distribution of the estimators and can also be used to assess the stability of the principal…

两部分层级模型的贝叶斯推断AI 解读

Profiling is currently an important, and hotly debated, topic in health care and other industries looking for ways to control costs, increase profitability, and increase service quality. Managed care in particular has seen a proliferation in the use of statistical profiling methodology, particularly with regard to monitoring expenditure data. This article focuses on the specific problem of developing statistical methods appropriate for profiling physician contributions to…

预测者多快吸收新信息？跨国调查证据AI 解读

Abstract Using forecasts from Consensus Economics Inc., we provide evidence on the efficiency of real GDP growth forecasts by testing whether forecast revisions are uncorrelated. As the forecast data used are multi‐dimensional—18 countries, 24 monthly forecasts for the current and the following year and 16 target years—the panel estimation takes into account the complex structure of the variance–covariance matrix due to propagation of shocks across countries and economic…

状态空间模型中的有效似然估计AI 解读

Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in state space models. We first prove, under some regularity conditions, there is a consistent sequence of roots of the likelihood equation that is asymptotically normal with the inverse of the Fisher information as its variance. With an extra assumption that the likelihood equation has a unique root…