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当前状态数据下的线性回归AI 解读

In survival analysis, a linear model often provides an adequate approximation after a suitable transformation of the survival times and possibly of the covariates. This article proposes a semiparametric regression method for estimating the regression parameter in the linear model without specifying the distribution of the random error, where the response variable is subject to so-called case 1 interval censoring. The method uses a constructed random-sieve likelihood and…

动态混合模型的高效贝叶斯推断AI 解读

A Bayesian approach is presented for estimating a mixture of linear Gaussian state-space models. Such models are used to model interventions in time series and nonparametric regression. Markov chain Monte Carlo sampling is usually necessary to obtain the posterior distributions of such mixture models, because it is difficult to obtain them analytically. The methodological contribution of the article is to derive a set of recursions for dynamic mixture models that efficiently…

异方差近似线性模型中用于估计与外推的整数值极小极大稳健设计AI 解读

We present our findings on a new approach to robust regression design. This approach differs from previous investigations into this area in three respects: The use of a finite design space, the use of simulated annealing to carry out the numerical minimization problems, and in our search for integer-valued, rather than continuous, designs. We present designs for the situation in which the response is thought to be approximately polynomial. We also discuss the cases of…

空间数据插值：克里金法的若干理论AI 解读

1 Linear Prediction.- 1.1 Introduction.- 1.2 Best linear prediction.- Exercises.- 1.3 Hilbert spaces and prediction.- Exercises.- 1.4 An example of a poor BLP.- Exercises.- 1.5 Best linear unbiased prediction.- Exercises.- 1.6 Some recurring themes.- The Matern model.- BLPs and BLUPs.- Inference for differentiable random fields.- Nested models are not tenable.- 1.7 Summary of practical suggestions.- 2 Properties of Random Fields.- 2.1 Preliminaries.- Stationarity.-…

插补下使用后分层信息的估计量的刀切方差估计AI 解读

Poststratified estimators are commonly used in sample surveys to improve the efficiency of estimators and to ensure calibration to known poststrata counts. Similarly, generalized regression estimators are used to handle two or more poststratifiers with known marginal counts. In addition, weighting adjustment within weighting classes is used to handle unit nonresponse, and imputation within imputation classes is used to handle item nonresponse. For the full response case,…

似然比统计量的几何理解AI 解读

It is well known that twice a log-likelihood ratio statistic follows asymptotically a chi-square distribution. The result is usually understood and proved via Taylor's expansions of likelihood functions and by assuming asymptotic normality of maximum likelihood estimators (MLEs). We obtain more general results by using a different approach: The Wilks type of results hold as long as likelihood contour sets are fan-shaped. The classical Wilks theorem corresponds to the…

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空间错位数据的完全模型化分析方法AI 解读

We consider inference using multivariate data that are spatially misaligned; that is, involving variables (typically counts or rates) that are aggregated over differing sets of regional boundaries. Geographic information systems enable the simultaneous display of such datasets, but their current capabilities are essentially only descriptive, not inferential. We describe a hierarchical modeling approach that provides a natural solution to this problem through its ability to…

最小截尾差分回归估计量及其替代方法AI 解读

This article proposes and studies the performance in theory and practice of the least trimmed differences (LTD) linear regression estimator. The estimator minimizes the sum of the smallest quartile of the squares of the differences in each pair of residuals. We obtain the breakdown point, maxbias curve, and large-sample properties of a class of estimators including the LTD as special case. The LTD estimator has a 50% breakdown point and Gaussian efficiency of…

非平稳二元选择AI 解读

This paper develops an asymptotic theory for time series binary choice models with nonstationary explanatory variables generated as integrated processes. Both logit and probit models are covered. The maximum likelihood (ML) estimator is consistent but a new phenomenon arises in its limit distribution theory. The estimator consists of a mixture of two components, one of which is parallel to and the other orthogonal to the direction of the true parameter vector, with the…

数据窥探的现实检验AI 解读

Data snooping occurs when a given set of data is used more than once for purposes of inference or model selection. When such data reuse occurs, there is always the possibility that any satisfactory results obtained may simply be due to chance rather than to any merit inherent in the method yielding the results. This problem is practically unavoidable in the analysis of time-series data, as typically only a single history measuring a given phenomenon of interest is available…

弱识别下的广义矩估计AI 解读

This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures documented in previous Monte Carlo…

离散响应的混合多项 Logit 模型AI 解读

This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity conditions, any discrete choice model derived from random utility maximization has choice probabilities that can be approximated as closely as one pleases by a MMNL model. Practical estimation of a parametric mixing family can be carried out by Maximum Simulated Likelihood Estimation or Method of Simulated…

近单位根、协整与利率期限结构AI 解读

The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption…

多重预测涵盖检验AI 解读

In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts is whether one forecast encompasses its competitors, in the sense that they contain no useful information not present in the superior forecast. We develop tests for this notion of multiple forecast encompassing which are robust to properties expected in the forecast errors, and apply the tests to…

二元变量分布中多元全正性的似然比检验AI 解读

Multivariate Totally Positive $(MTP_2)$ binary distributions have been studied in many fields, such as statistical mechanics, computer storage and latent variable models. We show that $MTP_2$ is equivalent to the requirement that the parameters of a saturated log-linear model belong to a convex cone, and we provide a Fisher-scoring algorithm for maximum likelihood estimation.We also show that the asymptotic distribution of the log-likelihood ratio is a mixture of chi-squares…

高斯混合筛估计的收敛速度AI 解读

Gaussian mixtures provide a convenient method of density estimation that lies somewhere between parametric models and kernel density estimators.When the number of components of the mixture is allowed to increase as sample size increases, the model is called a mixture sieve.We establish a bound on the rate of convergence in Hellinger distance for density estimation using the Gaussian mixture sieve assuming that the true density is itself a mixture of Gaussians; the underlying…

调查抽样中的局部多项式回归估计AI 解读

Estimation of finite population totals in the presence of auxiliary information is considered. A class of estimators based on local polynomial regression is proposed. Like generalized regression estimators, these estimators are weighted linear combinations of study variables, in which the weights are calibrated to known control totals, but the assumptions on the superpopulation model are considerably weaker. The estimators are shown to be asymptotically design-unbiased and…

纵向数据的非参数动态加性回归模型AI 解读

In this work we study additive dynamic regression models for longitudinal data. These models provide a flexible and nonparametric method for investigating the time-dynamics of longitudinal data. The methodology is aimed at data where measurements are recorded at random time points. We model the conditional mean of responses given the full internal history and possibly time-varying covariates. We derive the asymptotic distribution for a new nonparametric least squares…

回归函数单调性的检验AI 解读

We consider the problem of testing monotonicity of the regression function in a nonparametric regression model. We introduce test statistics that are functionals of a certain natural $U$-process. We study the limiting distribution of these test statistics through strong approximation methods and the extreme value theory for Gaussian processes. We show that the tests are consistent against general alternatives.

面板 Probit 中的异方差误设：GMM 与模拟最大似然的小样本比较AI 解读

This paper compares generalized method of moments (GMM) and simulated maximum likelihood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance matrix of the latent normal regression model. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of the optimal instruments for given conditional…

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