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k 均值与修剪 k 均值的稳健性性质AI 解读

The generalized k means method is based on the minimization of the discrepancy between a random variable (or a sample of this random variable) and a set with k points measured through a penalty function Φ. As in the M estimators setting (k = 1), a penalty function, Φ, with unbounded derivative, Ψ, naturally leads to nonrobust generalized k means. However, surprisingly the lack of robustness extends also to the case of bounded Ψ; that is, generalized k means do not inherit…

参数函数的拟合检验AI 解读

General methods for testing the fit of a parametric function are proposed. The idea underlying each method is to “accept” the prescribed parametric model if and only if it is chosen by a model selection criterion. Several different selection criteria are considered, including one based on a modified version of the Akaike information criterion and others based on various score statistics. The tests have a connection with nonparametric smoothing because they use orthogonal…

单整过程的线性与对数变换检验AI 解读

This article proposes nonnested tests of linear and logarithmic transformations of integrated processes against each other, where the innovations of both series follow autoregressive processes. It is shown that the null distributions of the test statistics for both the linear and logarithmic transformations are nonstandard when the processes have no drift, whereas they are asymptotically normal when the processes have positive drift. Monte Carlo experiments and illustrative…

全局最大值的检验AI 解读

We give simple necessary and sufficient conditions for consistency and asymptotic optimality of a root to the likelihood equation. Based on the results, a large-sample test is proposed for detecting whether a given root is consistent and asymptotically efficient, a property often possessed by the global maximizer of the likelihood function. A number of examples, and the connection between the proposed test and the test of White for model misspecification, are discussed.…

随机筛似然与一般回归模型AI 解读

Consider a semiparametric regression model Y = f(θ, X, ϵ), where f is a known function, θ is an unknown vector, ϵ consists of a random error and possibly of some unobserved variables, and the distribution F(·) of (ϵ, X) is unspecified. This article introduces, in a general setting, new methodology for estimating θ and F(·). The proposed method constructs a profile likelihood defined on random-level sets (a random sieve). The proposed method is related to empirical likelihood…

双重截断数据的非参数方法AI 解读

Truncated data play an important role in the statistical analysis of astronomical observations as well as in survival analysis. The motivating example for this article concerns a set of measurements on quasars in which there is double truncation. That is, the quasars are observed only if their luminosity occurs within a certain finite interval, bounded at both ends, with the interval varying for different observations. Nonparametric methods for the testing and estimation of…

用信号提取方法建模具有脉冲与变化基线的激素时间序列AI 解读

Hormones serve as regulating signals for many biological processes. In recent years, it was determined that many hormones are secreted in a pulsatile manner and that the pulsatile secretion pattern, in addition to the absolute concentration level, is important in regulating biological processes. Consequently, it is necessary to characterize the latent secretion patterns from measurements of concentration levels. The characterization is complicated by the presence of a…

时变暴露对重复二元结局边际均值的因果效应估计AI 解读

We provide sufficient conditions for estimating from longitudinal data the causal effect of a time-dependent exposure or treatment on the marginal probability of response for a dichotomous outcome. We then show how one can estimate this effect under these conditions using the g-computation algorithm of Robins. We also derive the conditions under which some current approaches to the analysis of longitudinal data, such as the generalized estimating equations (GEE) approach of…

摘要暂缺

有序响应变化的非参数两样本比较AI 解读

We discuss two-armed clinical trials in which an ordinal response is observed on entry and at follow-up. In certain subject areas, such data are often reduced to the counts of patients who have deteriorated, remained the same, or improved. We develop asymptotic distribution theory to compare this approach to the use of nonparametric tests based on poststratification of the follow-up responses according to the entry levels. The theory for the latter approach is established by…

关于全局最大值的检验AI 解读

We give simple necessary and sufficient conditions for consistency and asymptotic optimality of a root to the likelihood equation. Based on the results, a large-sample test is proposed for detecting whether a given root is consistent and asymptotically efficient, a property often possessed by the global maximizer of the likelihood function. A number of examples, and the connection between the proposed test and the test of White for model misspecification, are discussed.…

合并多次PCR DNA分型实验数据：精子分型数据的应用AI 解读

The polymerase chain reaction (PCR) is a procedure by which the DNA in a single cell can be made to replicate many times in a test tube. By amplifying the DNA from individual sperm cells and typing the results, estimates of male recombination fractions can be made, which are valuable for creating genetic maps and locating regions of unusually intense crossover activity on the human genome. Because PCR typing results are subject to random error, stochastic models must be…

单整过程的线性与对数变换检验AI 解读

This article proposes nonnested tests of linear and logarithmic transformations of integrated processes against each other, where the innovations of both series follow autoregressive processes. It is shown that the null distributions of the test statistics for both the linear and logarithmic transformations are nonstandard when the processes have no drift, whereas they are asymptotically normal when the processes have positive drift. Monte Carlo experiments and illustrative…

含脉冲与变化基线的激素时间序列信号提取方法AI 解读

Hormones serve as regulating signals for many biological processes. In recent years, it was determined that many hormones are secreted in a pulsatile manner and that the pulsatile secretion pattern, in addition to the absolute concentration level, is important in regulating biological processes. Consequently, it is necessary to characterize the latent secretion patterns from measurements of concentration levels. The characterization is complicated by the presence of a…

摘要暂缺

脉冲响应的误差带AI 解读

We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about…

协整似然比检验的数值分布函数AI 解读

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously.…

存在加性异常值时的 ARCH 检验AI 解读

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected if AOs are neglected: the test rejects the null hypothesis of homoscedasticity too often when it is in fact true, while the test has difficulty detecting genuine GARCH effects. Several…

存在加性异常值时的 ARCH 检验AI 解读

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected if AOs are neglected: the test rejects the null hypothesis of homoscedasticity too often when it is in fact true, while the test has difficulty detecting genuine GARCH effects. Several…

汇率与货币基本面：长期限回归能告诉我们什么？AI 解读

The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange rates, and the findings are reconciled with those of an earlier study by Mark (1995). While there is some evidence of exchange rate predictability, contrary to earlier studies, no evidence is found of higher predictability at longer horizons. Additional evidence is presented that the linear VEC model…

长程依赖时间序列的宽频带对数周期图回归AI 解读

This paper discusses the properties of an estimator of the memory parameter of a stationary long-memory time-series originally proposed by Robinson. As opposed to ‘‘narrow-band’’ estimators of the memory parameter (such as the Geweke and Porter-Hudak or the Gaussian semiparametric estimators) which use only the periodogram ordinates belonging to an interval which degenerates to zero as the sample size $n$ increases, this estimator builds a model of the spectral density of…

基于自回归秩得分的自回归模型最优检验AI 解读

Locally asymptotically optimal tests based on autoregression rank scores are constructed for testing linear constraints on the structural parameters of AR processes. Such tests are asymptotically distribution free and do not require the estimation of nuisance parameters. They constitute robust, flexible and quite powerful alternatives to existing methods such as the classical correlogram-based parametric tests, the Gaussian Lagrange multiplier tests, the optimal non-Gaussian…

基于经验似然的多重分位数图置信管AI 解读

The nonparametric empirical likelihood approach is used to obtain simultaneous confidence tubes for multiple quantile plots based on $k$ independent (possibly right-censored) samples. These tubes are asymptotically distribution free, except when both $k \geq 3$ and censoring is present. Pointwise versions of the confidence tubes, however, are asymptotically distribution free in all cases. The various confidence tubes are valid under minimal conditions. The proposed methods…

Groeneboom introduced a jump process that can be used (among other things) to study the asymptotic properties of the Grenander estimator of a monotone density. In this paper we derive the asymptotic normality of a suitably rescaled version of the $L_1$ error of the Grenander estimator, using properties of this jump process.