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将广义矩方法推广至连续统矩条件AI 解读

This paper proposes a version of the generalized method of moments procedure that handles both the case where the number of moment conditions is finite and the case where there is a continuum of moment conditions. Typically, the moment conditions are indexed by an index parameter that takes its values in an interval. The objective function to minimize is then the norm of the moment conditions in a Hilbert space. The estimator is shown to be consistent and asymptotically…

混合模型中重复测量的近乎非参数推断AI 解读

Summary We consider ways to estimate the mixing proportions in a finite mixture distribution or to estimate the number of components of the mixture distribution without making parametric assumptions about the component distributions. We require a vector of observations on each subject. This vector is mapped into a vector of 0s and 1s and summed. The resulting distribution of sums can be modelled as a mixture of binomials. We then work with the binomial mixture. The…

简单随机抽样中的 Cochran 规则AI 解读

Summary Cochran's rule for the minimum sample size to ensure adequate coverage of nominal 95% confidence intervals is derived by using the Edgeworth expansion for the distribution function of the standardized sample mean. The rule is extended for confidence intervals based on the Studentized sample mean. The performance of the rule and Edgeworth approximations for smaller sample sizes are examined by simulation.

非标准情形下的回归分析：成对伪似然方法AI 解读

Summary Regression analysis is one of the most used statistical methods for data analysis. There are, however, many situations in which one cannot base inference solely on f(y∣x; β), the conditional probability (density) function for the response variable Y, given x, the covariates. Examples include missing data where the missingness is non-ignorable, sampling surveys in which subjects are selected on the basis of the Y-values and meta-analysis where published studies are…

标志物与潜在健康状态的联合模型AI 解读

Summary We extend the bivariate Wiener process considered by Whitmore and co-workers and model the joint process of a marker and health status. The health status process is assumed to be latent or unobservable. The time to reach the primary end point or failure (death, onset of disease, etc.) is the time when the latent health status process first crosses a failure threshold level. Inferences for the model are based on two kinds of data: censored survival data and marker…

序贯检验后次要参数的置信区间AI 解读

Summary In sequential studies, formal interim analyses are usually restricted to a consideration of a single null hypothesis concerning a single parameter of interest. Valid frequentist methods of hypothesis testing and of point and interval estimation for the primary parameter have already been devised for use at the end of such a study. However, the completed data set may warrant a more detailed analysis, involving the estimation of parameters corresponding to effects that…

Summary An adjusted least squares estimator, introduced by Cheng and Schneeweiss for consistently estimating a polynomial regression of any degree with errors in the variables, is modified such that it shows good results in small samples without losing its asymptotic properties for large samples. Simulation studies corroborate the theoretical findings.

灵活的小波经验贝叶斯估计AI 解读

Summary Wavelet shrinkage estimation is an increasingly popular method for signal denoising and compression. Although Bayes estimators can provide excellent mean-squared error (MSE) properties, the selection of an effective prior is a difficult task. To address this problem, we propose empirical Bayes (EB) prior selection methods for various error distributions including the normal and the heavier-tailed Student t-distributions. Under such EB prior distributions, we obtain…

条件生存函数的比例风险估计AI 解读

Summary We introduce a new estimator of the conditional survival function given some subset of the covariate values under a proportional hazards regression. The new estimate does not require estimating the base-line cumulative hazard function. An estimate of the variance is given and is easy to compute, involving only those quantities that are routinely calculated in a Cox model analysis. The asymptotic normality of the new estimate is shown by using a central limit theorem…

连续协变量存在测量误差时的失效时间回归AI 解读

Summary We consider failure time regression analysis with an auxiliary variable in the presence of a validation sample. We extend the nonparametric inference procedure of Zhou and Pepe to handle a continuous auxiliary or proxy covariate. We estimate the induced relative risk function with a kernel smoother and allow the selection probability of the validation set to depend on the observed covariates. We present some asymptotic properties for the kernel estimator and provide…

分子群体遗传学中的统计推断AI 解读

Summary Full likelihood-based inference for modern population genetics data presents methodological and computational challenges. The problem is of considerable practical importance and has attracted recent attention, with the development of algorithms based on importance sampling (IS) and Markov chain Monte Carlo (MCMC) sampling. Here we introduce a new IS algorithm. The optimal proposal distribution for these problems can be characterized, and we exploit a detailed…

混合线性模型的小样本推断改进：Bartlett 校正与调整似然AI 解读

Summary The mixed linear model is a popular method for analysing unbalanced repeated measurement data. The classical statistical tests for parameters in this model are based on asymptotic theory that is unreliable in the small samples that are often encountered in practice. For testing a given fixed effect parameter with a small sample, we develop and investigate refined likelihood ratio (LR) tests. The refinements considered are the Bartlett correction and use of the…

重复事件均值函数与发生率函数的半参数回归AI 解读

Summary The counting process with the Cox-type intensity function has been commonly used to analyse recurrent event data. This model essentially assumes that the underlying counting process is a time-transformed Poisson process and that the covariates have multiplicative effects on the mean and rate function of the counting process. Recently, Pepe and Cai, and Lawless and co-workers have proposed semiparametric procedures for making inferences about the mean and rate…

摘要暂缺

用间接推断解决初始条件问题AI 解读

In this paper, we study the initial-conditions problem, a complication associated with left-censored or interrupted spells in the econometric analysis of labor market transitions. In the presence of unobserved individual-specific heterogeneity, no consistent estimators have been previously constructed. This paper proposes such an estimator using indirect inference (II). The II procedure simulates the structural model and "matches" the simulated data with the actual data via…

摘要暂缺

长程依赖下的非参数 Granger 因果检验AI 解读

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T−1/2. Since the test is based on estimates of the parameters of the representation of a VAR model as a, possibly, two-sided infinite distributed lag model, we first show that a modification of Hannan's…

利用欧拉方程残差评估数值解精度AI 解读

This paper is concerned with asymptotic properties on the accuracy of numerical solutions. It is shown that the approximation error of the policy function is of the same order of magnitude as the size of the Euler equation residuals. Moreover, for bounding this approximation error the most relevant parameters are the discount factor and the curvature of the return function. These findings provide theoretical foundations for the construction of tests to assess the performance…

随机占优及贫困与不平等测度的统计推断AI 解读

We derive the asymptotic sampling distribution of various estimators frequently used to order distributions in terms of poverty, welfare, and inequality. This includes estimators of most of the poverty indices currently in use, as well as estimators of the curves used to infer stochastic dominance of any order. These curves can be used to determine whether poverty, inequality, or social welfare is greater in one distribution than in another for general classes of indices and…

导言：推断与决策AI 解读

A major focus of applied econometric work is decision making in the context of uncertainty.Sometimes this work is several steps removed from the actual decision.For example, it may entail providing information in a form more suited to decision making, or reducing the uncertainty in the decision-making environment.Increasingly, applied econometricians are becoming more directly involved in decision making.The quality and quantity of data available are increasing, while the…

非参数回归中降低偏差的数据锐化方法AI 解读

We consider methods for kernel regression when the explanatory and/or response variables are adjusted prior to substitution into a conven- tional estimator.This “data-sharpening” procedure is designed to preserve the advantages of relatively simple, low-order techniques, for example, their robustness against design sparsity problems, yet attain the sorts of bias reductions that are commonly associated only with high-order methods.We consider Nadaraya–Watson and local-linear…

最大似然估计的序贯置信域AI 解读

The goal of this paper is to develop a general framework for constructing sequential fixed size confidence regions based on maximum likelihood estimates. Asymptotic properties of the sequential procedure for setting up the confidence regions are analyzed under very broad assumptions on the underlying parametric model. It is shown that the proposed sequential procedure is asymptotically optimal in the sense that it approximates the optimal fixed-sample size procedure. It is…

病例对照研究的最优序贯设计AI 解读

Fixed case-control studies separately collect a case sample and a control sample withthe two sample sizes being fixed prior to studies and sometimes arbitrarily chosen. This often results in loss of efficiency of case-control designs in terms of cost-saving or time-saving of the studies. We study sequential case-control designs and, in connection with treatment allocation and stochastic approximation, derive a simple sampling rule that leads to optimal case-control designs.…

GARCH(1,1) 过程样本自相关与极值的极限理论AI 解读

The asymptotic theory for the sample autocorrelations and extremes of a GARCH (1, 1) process is provided. Special attention is given to the case when the sum of the ARCH and GARCH parameters is close to 1, that is, when one is close to an infinite variance marginal distribution. This situation has been observed for various financial log-return series and led to the introduction of the IGARCH model. In such a situation, the sample autocorrelations are unreliable estimators of…