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医生建议对饮酒量的影响：具有内生处理效应的计数回归AI 解读

Abstract Although there are encouraging trends, alcohol abuse continues to be a significant public health problem. Econometric studies of alcohol demand have yielded a great deal of information for alcohol abuse prevention policy. These studies suggest that higher alcohol taxes and stricter drunk‐driving policies can reduce heavy drinking and drunk driving. In this paper we explore the role physician advice plays in the campaign to prevent alcohol‐related problems. Compared…

英国与日本消费和收入的季节分数阶单整检验AI 解读

Abstract The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson ( 1994 ). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990 ) and Hylleberg, Engle, Granger and Lee (HEGL, 1993 ). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of…

小波回归中的多项式边界处理AI 解读

To overcome boundary problems with wavelet regression, we propose a simple method that reduces bias at the boundaries. It is based on a combination of wavelet functions and low‐order polynomials. The utility of the method is illustrated with simulation studies and a real example. Asymptotic results show that the estimators are competitive with other nonparametric procedures.

用于错误检测与总体规模估计的贝叶斯捕获—再捕获方法：异质性与依赖性AI 解读

This paper considers estimation of the unknown size N of a population based on multiple capture‐recapture samples. We extend the Bayesian multiple recapture model to accommodate possible heterogeneity and dependence among the samples and possible heterogeneity within the samples. In the dependent model, we show that posterior inference for N is independent of almost all the nuisance parameters. We develop a flexible Bayesian model for heterogeneity within samples and…

随机临床试验中基于事件数的分析时点AI 解读

Analysis times for clinical trials are often based on the time when a specified total number of events occur. A modification is proposed in which this time is based on when either arm reaches a prespecified number of events. The implications in terms of the expected number of events required to achieve the same size and power at a specified alternative are explored. Savings are achieved when alternatives for which there is reasonable power hold, but more events are required…

脆弱性模型的分层似然方法AI 解读

Systematic likelihood inference for frailty models is possible using Lee & Nelder's ( 1996) hierarchical likelihood. We develop an inferential method for frailty models via hierarchical likelihood, which gives a simple unified framework and a numerically ecient algorithm. Simulations and practical examples are presented to illustrate the new method.

治疗可归因效应：离散枢轴下的实验与观察研究推断AI 解读

In randomisation and permutation inference, pivotal arguments remove the hypothesised treatment effect, thereby basing inferences on the null distribution in which the treatment has no effect. This is common, for instance, with additive treatment effects. The current paper uses ‘attributable eects» to expand substantially the scope of pivotal arguments. Attributable effects are defined for three cases, namely the 2 × 2 contingency table, displacement eects and the…

极值理论中的极小极大风险界AI 解读

Asymptotic minimax risk bounds for estimators of a positive extreme value index under zero-one loss are investigated in the classical i.i.d. setup. To this end, we prove the weak convergence of suitable local experiments with Pareto distributions as center of localization to a white noise model, which was previously studied in the context of nonparametric local density estimation and regression. From this result we derive upper and lower bounds on the asymptotic minimax risk…

非椭圆回归变量下稳健回归的最大偏差曲线AI 解读

Maximum bias curves for some regression estimates were previously derived assuming that (i) the intercept term is known and/or (ii) the regressors have an elliptical distribution. We present a single method to obtain the maximum bias curves for a large class of regression estimates. Our results are derived under very mild conditions and, in particular, do not require the restrictive assumptions (i) and (ii) above. Using these results it is shown that the maximum bias curves…

位置参数的最优稳健 M 估计AI 解读

We find optimal robust estimates for the location parameter of n independent measurements from a common distribution F that belongs to a contamination neighborhood of a normal distribution. We follow an asymptotic minimax approach similar to Huber's but work with full neighborhoods of the central parametric model including nonsymmetric distributions. Our optimal estimates minimize monotone functions of the estimate's asymptotic variance and bias, which include asymptotic…

定性假设的多尺度检验AI 解读

Suppose that one observes a process Y on the unit interval, where dY(t) =n1/2 f(t)dt +dW (t) with an unknown function parameter f, given scale parameter n <=1 ("sample size") and standard Brownian motion W. We propose two classes of tests of qualitative nonparametric hypotheses about f such as monotonicity or concavity. These tests are asymptotically optimal and adaptive in a certain sense. They are constructed via a new class of multiscale statistics and an extension of…

凸模型、MLS与模型误设AI 解读

We analyze the asymptotic behavior of maximum likelihood estimators (MLE) in convex dominated models when the true distribution generating the independent data does not necessarily belong to the model. Inspired by the Hellinger distance and its properties, we introduce a family of divergences (contrast functions) which allow a unified treatment of well- and misspecified convex models. Convergence and rates of convergence of the MLE with respect to our divergences are…

广义似然比统计量与 Wilks 现象AI 解读

Likelihood ratio theory has had tremendous success in parametric inference, due to the fundamental theory of Wilks. Yet, there is no general applicable approach for nonparametric inferences based on function estimation. Maximum likelihood ratio test statistics in general may not exist in nonparametric function estimation setting. Even if they exist, they are hard to find and can not be optimal as shown in this paper. We introduce the generalized likelihood statistics to…

汇率存在长期可预测性吗？AI 解读

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction equations. We show by means of a simulation study that, in small to medium samples, inference from this regression procedure depends on the null hypothesis that is used to generate empirical critical values. The standard assumption of a stationary error-correction term between exchange rates and fundamentals biases the results in favor of…

方差比统计量与高频数据：日内波动模式变化检验AI 解读

ABSTRACT Variance‐ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high‐frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday volatility pattern following the removal of trading…

时间序列分布变化的检验AI 解读

This paper proposes nonparametric tests of change in the distribution function of a time series. The limiting null distributions of the test statistics depend on a nuisance parameter, and critical values cannot be tabulated a priori. To circumvent this problem, a new simulation-based statistical method is developed. The validity of our simulation procedure is established in terms of size, local power, and test consistency. The finite-sample properties of the proposed tests…

如何估计接近单位根的自回归根AI 解读

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I (0) and I (1) models than the traditional local to…

n 维球面上均匀分布向量的二次型密度AI 解读

There are many instances in the statistical literature in which inference is based on a normalized quadratic form in a standard normal vector, normalized by the squared length of that vector. Examples include both test statistics (the Durbin–Watson statistic) and estimators (serial correlation coefficients). Although much studied, no general closed-form expression for the density function of such a statistic is known. This paper gives general formulae for the density in each…

时间序列回归模型中条件异方差的一致检验AI 解读

We show that the standard consistent test for testing the null of conditional homoskedasticity (against conditional heteroskedasticity) can be generalized to a time-series regression model with weakly dependent data and with generated regressors. The test statistic is shown to have an asymptotic normal distribution under the null hypothesis of conditional homoskedastic error. We also discuss extension of our test to the case of testing the null of a parametrically specified…

近季节整合AI 解读

This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for…

针对光滑备择的广义线性与半参数模型检验AI 解读

Summary We propose goodness-of-fit tests for testing generalized linear models and semiparametric regression models against smooth alternatives. The focus is on models having both continous and factorial covariates. As a smooth extension of a parametric or semiparametric model we use generalized varying-coefficient models as proposed by Hastie and Tibshirani. A likelihood ratio statistic is used for testing. Asymptotic expansions allow us to write the estimates as linear…

参数模型误设敏感性的度量AI 解读

Summary In settings where parametric inference is inconsistent under model misspecification, the discrepancy between correct and misspecified inferences is compared with the discrepancy between correct and misspecified models. To make the comparison tractable, large sample and small misspecification approximations are employed. The ratio of the approximate discrepancy between inferences to the approximate discrepancy between models is regarded as a relative measure of…

异质风险率回归模型：理论与应用AI 解读

Summary A class of non-proportional hazards regression models is considered to have hazard specifications consisting of a power form of cross-effects on the base-line hazard function. The primary goal of these models is to deal with settings in which heterogeneous distribution shapes of survival times may be present in populations characterized by some observable covariates. Although effects of such heterogeneity can be explicitly seen through crossing cumulative hazards…

协方差结构误设下的重复测量分析AI 解读

Summary In recent years various sophisticated methods have been developed for the analysis of repeated measures, or longitudinal data. The more traditional approach, based on a normal likelihood function, has been shown to be unsatisfactory, in the sense of yielding asymptotically biased estimates when the covariance structure is misspecified. More recent methodology, based on generalized linear models and quasi-likelihood estimation, has gained widespread acceptance as…