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季节与非季节时间序列中基于递归均值调整的回归单位根检验AI 解读

This article considers tests for (seasonal) unit roots in a univariate time-series process that are similar with respect to both the initial values of the process and the possibility of (differential seasonal) drift under the (seasonal) unit root null. In contrast to existing approaches, the technique of recursive (seasonal) de-meaning and (seasonal) de-trending of the process is adopted. Representations are derived for the limiting distributions of the proposed statistics…

强自相关时间序列的阈值自回归模型AI 解读

In some cases the unit root or near unit root behavior of linear autoregressive models fitted to economic time series is not in accordance with the underlying economic theory. To accommodate this feature we consider a threshold autoregressive (TAR) process with the threshold effect only in the intercept term. Although these processes are stationary, their realizations switch between different regimes and can therefore closely resemble those of (near) integrated processes for…

短期利率的马尔可夫切换与随机波动率扩散模型AI 解读

This article empirically compares the Markov-switching and stochastic volatility diffusion models of the short rate. The evidence supports the Markov-switching diffusion model. Estimates of the elasticity of volatility parameter for single-regime models unanimously indicate an explosive volatility process, whereas the Markov-switching models estimates are reasonable. It is found that either Markov switching or stochastic volatility, but not both, is needed to adequately fit…

含近不可逆移动平均成分模型的自助法推断AI 解读

This article proposes a bootstrap method for constructing two-sided confidence intervals for the moving average (MA) parameter in nearly noninvertible models. The confidence intervals are obtained by inverting the acceptance region of the likelihood ratio (LR) test reflecting the asymmetry of the likelihood near the noninvertibility boundary. The limiting distribution of the LR statistic is nonpivotal and its quantiles are parameterized as a function of the MA parameter and…

时间序列模型测量误差问题的统一方法AI 解读

The measurement error problem that we consider in this paper is concerned with the situation where time series data of various kinds—short memory, long memory, and random walk processes—are contaminated by white noise. We suggest a unified approach to testing for the existence of such noise. It is found that the power of our test crucially depends on the underlying process.

时间序列筛自助法的不变原理AI 解读

This paper establishes an invariance principle applicable for the asymptotic analysis of sieve bootstrap in time series. The sieve bootstrap is based on the approximation of a linear process by a finite autoregressive process of order increasing with the sample size, and resampling from the approximated autoregression. In this context, we prove an invariance principle for the bootstrap samples obtained from the approximated autoregressive process. It is of the strong form…

聚合数据下的非参数估计AI 解读

We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intrafamily component but require that observations from different families be independent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behavior of the characteristic function at infinity. We investigate the practical…

结构断点的稳健估计AI 解读

This paper proposes robust M -estimators of dynamic linear models with a structural break of unknown location. Rates of convergence and limiting distributions for the estimated shift point and the estimated regression parameters are derived. The analysis is carried out in the framework of possibly dependent observations and also with trending regressors. The asymptotic distribution of the break location estimator is obtained both for fixed magnitude of shift and for shift…

未知时点水平变化下的时间序列单位根检验AI 解读

Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the residuals. The estimation of the nuisance parameters is done in such a way that the unit root tests on the residuals have the same limiting distributions as for the case of a known break date.…

协整向量线性约束检验：Wald 与似然比检验的有限样本大小和功效AI 解读

The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using the Monte Carlo method. The Wald test is calculated within the vector error-correction based estimation methods of Bewley, Orden, Yang, and Fisher (1994, Journal of Econometrics 64, 3–27) and of Johansen (1991, Econometrica 59, 1551–1580), the canonical cointegration method of Park (1992, Econometrica 60, 119–143), the dynamic ordinary least squares method of Phillips and…

在不可观测成分框架中用微分差分方程刻画周期行为AI 解读

This paper considers a continuous time unobserved components model in which the cyclical component follows a differential-difference equation whereas the trend and seasonal components follow more standard differential equations. Estimation of the parameters of the model with either a stock or a flow variable is analyzed using a frequency domain Gaussian estimator whose asymptotic properties are derived paying particular attention to the role of a truncation parameter that…

多组线性潜变量模型中的渐近稳健性AI 解读

Standard methods for analyzing linear-latent variable models rely on the assumption that the observed variables are normally distributed. Normality allows statistical inferences to be carried out based solely on the first-and second-order moments. In general, inferences for nonnormally distributed data require the estimates of matrices of third-and fourth-order moments. In the present paper, we show that inferences based on normal theory retain validity and asymptotic…

加性模型中交互作用的非参数估计与检验AI 解读

We consider an additive model with second-order interaction terms. Both marginal integration estimators and a combined backfitting-integration estimator are proposed for all components of the model and their derivatives. The corresponding asymptotic distributions are derived. Moreover, two test statistics for testing the presence of interactions are proposed. Asymptotics for the test functions and local power results are obtained. Because direct implementation of the test…

半参数混合模型中的经验似然AI 解读

Plant and animal studies of quantitative trait loci provide data which arise from mixtures of distributions with known mixing proportions. Previous approaches to estimation involve modelling the distributions parametrically. We propose a semiparametric alternative which assumes that the log ratio of the component densities satisfies a linear model, with the baseline density unspecified. It is demonstrated that a constrained empirical likelihood has an irregularity under the…

面板计数数据的半参数伪似然估计方法AI 解读

In this paper, we study panel count data with covariates. A semiparametric pseudolikelihood estimation method is proposed based on the assumption that, given a covariate vector Z, the underlying counting process is a nonhomogeneous Poisson process with the conditional mean function given by E{N (t) |Z} = Λ0 (t) exp (β′0Z). The proposed estimation method is shown to be robust in the sense that the estimator converges to its true value regardless of whether or not N (t) is a…

部分观测时间序列的非线性检验札记AI 解读

We have implemented a Lagrange multiplier test for the alternative hypothesis of a nonlinear continuous‐time autoregressive model with the instantaneous mean having multiple degrees of nonlinearity. This test is an extension of a Lagrange multiplier test proposed by Tsai & Chan (2000), with the alternative model analogous to the model used in Tsay's (1986) discrete‐time work. The performance of the test in the finite‐sample case is compared with several existing tests for…

流行病、分枝过程与布朗运动中的空置信集AI 解读

This paper treats some examples where likelihood‐based inference for certain model parameters may produce empty confidence sets. The first example concerns epidemics, and the parameter of interest is the basic reproduction number R0, which is to be estimated from the final size of an epidemic in a finite population. The second example treats estimation of the mean of the offspring distribution in a branching process, based on observing the total progeny, i.e. the total…

协方差矩阵的谱模型AI 解读

A new model for the simultaneous eigenstructure of multiple covariance matrices is proposed. The model is much more flexible than existing models and subsumes most of them as special cases. A Fisher scoring algorithm for computing maximum likelihood estimates of the parameters under normality is given. Asymptotic distributions of the estimators are derived under normality as well as under arbitrary distributions having finite fourth‐order cumulants. Special attention is…

不同密度估计方法下投影寻踪的判别能力AI 解读

We explore the properties of projection pursuit discriminant analysis. This discriminant method is very powerful but relies heavily on a univariate density estimate. We show that the procedure based on wavelets maintains the same rate of convergence as with univariate wavelet density estimation. We also show the Bayes risk strong consistency of both the kernel‐ and wavelet‐based methods. Simulated data and real data concerning character recognition show that the method is…

重复测量分析中的变系数模型与基函数近似AI 解读

A global smoothing procedure is developed using basis function approximations for estimating the parameters of a varying‐coefficient model with repeated measurements. Inference procedures based on a resampling subject bootstrap are proposed to construct confidence regions and to perform hypothesis testing. Conditional biases and variances of our estimators and their asymptotic consistency are developed explicitly. Finite sample properties of our procedures are investigated…

利用聚合数据估计与插值马尔可夫链AI 解读

Given aggregated longitudinal data generated by a Markov chain, which may be nonhomogeneous, the problem considered is that of modelling, estimating and interpolating the logarithms of partial odds and hence the transition probabilities. By partial odds is meant the probability of a transition to another state divided by the probability of no transition. A result establishing asymptotic normality leads to vector weighted least squares estimation of parameterised partial odds…

失效原因缺失时检验生存分布治疗差异的多重插补方法AI 解读

We propose a method for comparing survival distributions when cause‐of‐failure information is missing for some individuals. We use multiple imputation to impute missing causes of failure, where the probability that a missing cause is that of interest may depend on auxiliary covariates, and combine log‐rank statistics computed from several ‘completed’ datasets into a test statistic that achieves asymptotically the nominal level. Simulations demonstrate the relevance of the…

非平稳空间过程的谱方法AI 解读

We propose a nonstationary periodogram and various parametric approaches for estimating the spectral density of a nonstationary spatial process. We also study the asymptotic properties of the proposed estimators via shrinking asymptotics, assuming the distance between neighbouring observations tends to zero as the size of the observation region grows without bound. With this type of asymptotic model we can uniquely determine the spectral density, avoiding the aliasing…

极端依赖不确定性的模型与推断AI 解读

Conventionally, modelling of multivariate extremes has been based on the class of multivariate extreme value distributions. More recently, other classes have been developed, allowing for the possibility that, whilst dependence is observed at finite levels, the limit distribution is independent. A number of articles have shown this development to be important for accurate estimation of the extremal properties, both of theoretical processes and observed datasets. It has also…