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不可忽略缺失下分类生活质量数据的矩估计AI 解读

Quality-of-life outcomes collected during clinical trials often have considerable amounts of missing data, which, if not appropriately accounted for, may lead to bias in inferences. We introduce a method-of-moments (MM) estimating procedure for a model designed to handle nonignorable missingness arising in categorical data measured on independent populations. The missingness mechanism is assumed to be the same across the populations. We derive necessary and sufficient…

脑电轨迹的评估与比较：非平稳时间序列中的潜在结构AI 解读

We explore and illustrate the use of time series decomposition methods for evaluating and comparing latent structure in nonstationary electroencephalographic (EEG) traces obtained from depressed patients during brain seizures induced as part of electroconvulsive therapy (ECT). Analysis of the patterns of change over time in the frequency structure of such EEG data provides insight into the neurophysiological mechanisms of action of this effective but poorly understood…

用广义断点回归设计评估加州囚犯分类制度AI 解读

Published studies using the regression discontinuity design have been limited to cases in which linear regression is applied to a categorical treatment indicator and an equal interval outcome. This is unnecessarily narrow. We show here how a generalization the usual regression discontinuity design can be applied in a wider range of situations. We focus on the use of categorical treatment and response variables, but we also consider the more general case of any regression…

流行病学分型数据建模与疾病传播的似然推断AI 解读

A model for epidemiologic typing data is introduced, and likelihood ratio methods are developed for evaluating these data as evidence about disease spread. The observed data consist of microorganism subtypes from an index case of infectious disease, cases clustered with the index case, and a reference sample. The likelihood methods are evaluated via probabilities of observing epidemiologic subtypes that represent strong and sometimes misleading evidence favoring one…

多准则决策合并：原住民捕鲸管理程序的竞争性开发AI 解读

International Whaling Commission management of aboriginal subsistence whaling will eventually use an aboriginal whaling management procedure (AWMP) chosen from a collection of candidate procedures after grueling simulation testing. An AWMP is a fully automatic algorithm designed to operate on the results of an assessment (i.e., a statistical estimation problem relying on sparse series of whale abundance data) to produce a catch limit in each year of real or simulated…

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非动态面板中的门槛效应：估计、检验与推断AI 解读

Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment…

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协整对数似然比检验渐近分布的近似AI 解读

Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted χ 2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

长记忆依赖下 Durbin–Watson 统计量的渐近理论AI 解读

In time series regression models with “short-memory” residual processes, the Durbin–Watson statistic ( DW ) has been used for the problem of testing for independence of the residuals. In this paper we elucidate the asymptotics of DW for “long-memory” residual processes. A standardized Durbin–Watson statistic ( SDW ) is proposed. Then we derive the asymptotic distributions of SDW under both the null and local alternative hypotheses. Based on this result we evaluate the local…

具有 AR(1) 扰动的不等间隔面板数据回归AI 解读

This paper deals with the estimation of unequally spaced panel data regression models with AR(1) remainder disturbances. A feasible generalized least squares (GLS) procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns. This procedure is simple to compute and provides natural estimates of the serial correlation and variance components parameters. The paper also provides a locally best invariant test for zero…

通常似然与调整似然所对应的置信区间AI 解读

Summary In the presence of nuisance parameters, we drive an explicit higher order asymptotic formula to compare the expected lengths of confidence intervals given by likelihood ratio statistics arising from the usual profile likelihood and various adjustments thereof. Highest posterior density regions, with approximate frequentist validity, are also included in the study.

一步局部拟似然估计AI 解读

Summary Local quasi-likelihood estimation is a useful extension of local least squares methods, but its computational cost and algorithmic convergence problems make the procedure less appealing, particularly when it is iteratively used in methods such as the back-fitting algorithm, cross-validation and bootstrapping. A one-step local quasi-likelihood estimator is introduced to overcome the computational drawbacks of the local quasi-likelihood method. We demonstrate that as…

一类 m out of n Bootstrap 置信区间AI 解读

Summary It is widely known that bootstrap failure can often be remedied by using a technique known as the ‘m out of n’ bootstrap, by which a smaller number, m say, of observations are resampled from the original sample of size n. In successful cases of the bootstrap, the m out of n bootstrap is often deemed unnecessary. We show that the problem of constructing nonparametric confidence intervals is an exceptional case. By considering a new class of m out of n bootstrap…

自回归时间序列模型的先验与成分结构AI 解读

Summary New approaches to prior specification and structuring in autoregressive time series models are introduced and developed. We focus on defining classes of prior distributions for parameters and latent variables related to latent components of an autoregressive model for an observed time series. These new priors naturally permit the incorporation of both qualitative and quantitative prior information about the number and relative importance of physically meaningful…

利用 Fourier 表示进行半参数回归的贝叶斯推断AI 解读

Summary This paper presents the Bayesian analysis of a semiparametric regression model that consists of parametric and nonparametric components. The nonparametric component is represented with a Fourier series where the Fourier coefficients are assumed a priori to have zero means and to decay to 0 in probability at either algebraic or geometric rates. The rate of decay controls the smoothness of the response function. The posterior analysis automatically selects the amount…

贝叶斯—置信域的构造AI 解读

Summary We obtain approximate Bayes–confidence intervals for a scalar parameter based on directed likelihood. The posterior probabilities of these intervals agree with their unconditional coverage probabilities to fourth order, and with their conditional coverage probabilities to third order. These intervals are constructed for arbitrary smooth prior distributions. A key feature of the construction is that log-likelihood derivatives beyond second order are not required,…

仅基于似然函数的概率上界AI 解读

Summary In the problem of parametric statistical inference with a finite parameter space, we propose some simple rules for defining posterior upper and lower probabilities directly from the observed likelihood function, without using any prior information. The rules satisfy the likelihood principle and a basic consistency principle (‘avoiding sure loss’), they produce vacuous inferences when the likelihood function is constant, and they have other symmetry, monotonicity and…

用变换模型分析竞争风险数据AI 解读

Summary We present a flexible class of marginal models for the cumulative incidence function. The semiparametric transformation model is utilized in a decomposition for the marginal failure probabilities which extends previous work on Farewell's cure model. Novel estimation, inference and prediction procedures are developed, with large sample properties derived from the theory of martingales and U-statistics. A small simulation study demonstrates that the methods are…

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GARCH 模型中基于最大似然的估计量效率比较AI 解读

In this paper, we investigate the loss of asymptotic efficiency of semiparametric and quasi-maximum likelihood estimators relative to maximum likelihood estimators in models with Generalized Autoregressive Conditional Heteroscedasticity (GARCH). For a general time-varying location-scale model, the factors that contribute to differences in efficiency among the estimators can be divided in two categories. One pertains to the parametric specifications of the conditional mean…

网格Bootstrap与自回归模型AI 解读

A "grid" bootstrap method is proposed for confidence-interval construction, which has improved performance over conventional bootstrap methods when the sampling distribution depends upon the parameter of interest. The basic idea is to calculate the bootstrap distribution over a grid of values of the parameter of interest and form the confidence interval by the no-rejection principle. Our primary motivation is given by autoregressive models, where it is known that…