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摘要暂缺

分位数回归过程的统计推断AI 解读

Abstract. Tests based on the quantile regression process can be formulated like the classical Kolmogorov-Smirnov and Cramer-von-Mises tests of goodness-of-t employing the theory of Bessel processes as in Kiefer (1959). However, it is fre-quently desirable to formulate hypotheses involving unknown nuisance parameters, thereby jeopardizing the distribution free character of these tests. We characterize this situation as \\the Durbin problem " since it was posed in Durbin…

极大似然估计中协方差矩阵估计量的效率AI 解读

When econometric models are estimated by maximum likelihood, the conditional information matrix variance estimator is usually avoided in choosing a method for estimating the variance of the parameter estimate. However, the conditional information matrix estimator attains the semiparametric efficiency bound for the variance estimation problem. Unfortunately, for even moderately complex models, the integral involved in computation of the conditional information matrix…

重新分析最后通牒议价：无形状约束下的非递减曲线比较AI 解读

We employ a hierarchical Bayesian method with exchangeable prior distributions to estimate and compare similar nondecreasing response curves. A Dirichlet process distribution is assigned to each of the response curves as a first stage prior. A second stage prior is then used to model the hyperparameters. We define parameters which will be used to compare the response curves. A Markov chain Monte Carlo method is applied to compute the resulting Bayesian estimates. To…

半参数平滑系数模型AI 解读

In this article, we propose a semiparametric smooth coefficient model as a useful yet flexible specification for studying a general regression relationship with varying coefficients. The article proposes a local least squares method with a kernel weight function to estimate the smooth coefficient function. The consistency of the estimator and its asymptotic normality are established. A simple statistic for testing a parametric model versus the semiparametric smooth…

连续时间扩散过程极大似然估计的数值技术AI 解读

Stochastic differential equations often provide a convenient way to describe the dynamics of economic and financial data, and a great deal of effort has been expended searching for efficient ways to estimate models based on them. Maximum likelihood is typically the estimator of choice; however, since the transition density is generally unknown, one is forced to approximate it. The simulation-based approach suggested by Pedersen (1995) has great theoretical appeal, but…

外汇收益中的波动率、动量与时变偏度AI 解读

This article tests a stochastic volatility model of exchange rates that links both the level of volatility and its instantaneous covariance with returns to pathwise properties of the currency. In particular, the model implies that the return-volatility covariance behaves like a weighted average of recent returns and hence switches signs according to the direction of trends in the data. This implies that the skewness of the finite-horizon return distribution likewise switches…

滚动样本波动率估计量AI 解读

We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process sampled at high frequencies and suggest rolling sample estimators which share many features with spot volatility estimators. We discuss asymptotically efficient window lengths and…

地理贫困陷阱？中国农村消费增长的微观模型AI 解读

Abstract How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural economy? To answer this question we develop an estimable micro model of consumption growth allowing for constraints on factor mobility and externalities, whereby geographic capital can influence the productivity of a household's own capital. Our statistical test has considerable power in…

酒精滥用与就业：重新考察AI 解读

Abstract Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar ( 1996 ) (M&S) find, for both men and women, that alcohol abuse results in reduced employment and increased unemployment. The estimates from which they drew these inferences were obtained via the instrumental variables (IV) method, which was implemented in order to account for the potential endogeneity of problem drinking. Though these IV estimates…

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近似贝叶斯自助法插补的一则说明AI 解读

The approximate Bayesian bootstrap is suggested by Rubin & Schenker (1986) as a way of generating multiple imputations when the original sample can be regarded as independently and identically distributed and the response mechanism is ignorable. We investigate the finite sample properties of the variance estimator when the approximate Bayesian bootstrap method is used and show that the bias is not negligible for moderate sample sizes. A modification of the method is proposed…

结构向量自回归条件独立图的抽样性质AI 解读

Structural vector autoregressions allow contemporaneous series dependence and assume errors with no contemporaneous correlation. Models of this form, that also have a recursive structure, can be described by a directed acyclic graph. An important tool for identification of these models is the conditional independence graph constructed from the contemporaneous and lagged values of the process. We determine the large‐sample properties of statistics used to test for the…

过度离散纵向计数数据的分析AI 解读

In many biomedical studies, longitudinal count data comprise repeated responses and a set of multidimensional covariates for a large number of individuals. When the response variable in such models is subject to overdispersion, the overdispersion parameter influences the marginal variance. In such cases, the overdispersion parameter plays a significant role in efficient estimation of the regression parameters. This raises the need for joint estimation of the regression…

局部多重插补AI 解读

Dealing with missing data via parametric multiple imputation methods usually implies stating several strong assumptions both about the distribution of the data and about underlying regression relationships. If such parametric assumptions do not hold, the multiply imputed data are not appropriate and might produce inconsistent estimators and thus misleading results. In this paper, a fully nonparametric and a semiparametric imputation method are studied, both based on local…

高维情形下分布相等性的置换检验AI 解读

Motivated by applications in high‐dimensional settings, we suggest a test of the hypothesis H0 that two sampled distributions are identical. It is assumed that two independent datasets are drawn from the respective populations, which may be very general. In particular, the distributions may be multivariate or infinite‐dimensional, in the latter case representing, for example, the distributions of random functions from one Euclidean space to another. Our test uses a measure…

向量 M 估计目标的标量函数：高精度置信限AI 解读

This paper concerns high‐order inference for scalar parameters that are estimated by functions of multivariate M‐estimators. Asymptotic formulae for the bias and skewness of the studentised statistic are derived. Although these formulae appear complicated, they can be evaluated easily by using matrix operations and numerical differentiation. Various methods for constructing second‐order accurate confidence limits are discussed, including a method based on skewness‐reducing…

针对规则与聚集空间点过程混合的完全空间随机性拟合优度检验AI 解读

A goodness‐of‐fit test statistic for spatial point processes is proposed and shown to have an asymptotic chi‐squared distribution if the underlying point process is Poisson. Simulations demonstrate that the test, when testing for complete spatial randomness, is more sensitive to mixtures of regular and clustered point processes than the tests using the nearest neighbour distance distribution, the second‐ or third‐order characteristics.

利用验证数据的线性协变量测量误差模型经验似然推断AI 解读

Linear errors‐in‐covariables models are considered, assuming the availability of independent validation data on the covariables in addition to primary data on the response variable and surrogate covariables. We first develop an estimated empirical loglikelihood with the help of validation data and prove that its asymptotic distribution is that of a weighted sum of independent standard x21 random variables with unknown weights. By estimating the unknown weights consistently,…

平滑样条的自由度检验AI 解读

When using smoothing splines to estimate a function, the user faces the problem of choosing the smoothing parameter. Several techniques are available for selecting this parameter according to certain optimality criteria. Here, we take a different point of view and we propose a technique for choosing between two alternatives, for example allowing for two different levels of degrees of freedom. The problem is addressed in the framework of a mixed‐effects model, whose…

缺失响应数据插补下的经验似然推断AI 解读

Inference under kernel regression imputation for missing response data is considered. An adjusted empirical likelihood approach to inference for the mean of the response variable is developed. A nonparametric version of Wilks' theorem is proved for the adjusted empirical log-likelihood ratio by showing that it has an asymptotic standard chi-squared distribution, and the corresponding empirical likelihood confidence interval for the mean is constructed. With auxiliary…

GARCH 模型与扩散模型的渐近不等价性AI 解读

This paper investigates the statistical relationship of the GARCH model and its diffusion limit. Regarding the two types of models as two statistical experiments formed by discrete observations from the models, we study their asymptotic equivalence in terms of Le Cam's deficiency distance. To our surprise, we are able to show that the GARCH model and its diffusion limit are asymptotically equivalent only under deterministic volatility. With stochastic volatility, due to the…

多项分布与多元正态统计实验之间的亏损距离AI 解读

The deficiency distance between a multinomial and a multivariate normal experiment is bounded under a condition that the parameters are bounded away from zero. This result can be used as a key step in establishing asymptotic normal approximations to nonparametric density estimation experiments. The bound relies on the recursive construction of explicit Markov kernels that can be used to reproduce one experiment from the other. The distance is then bounded using classic…