论文检索

困难情形下的众数检验AI 解读

Usually, when testing the null hypothesis that a distribution has one mode against the alternative that it has two, the null hypothesis is interpreted as entailing that the density of the sampling distribution has a unique point of zero slope, which is a local maximum. In this paper we argue that a more appropriate null hypothesis is that the density has two points of zero slope, of which one is a local maximum and the other is a shoulder. We show that when a test for a…

高维中的集中性与拟合优度：渐近分布无关方法AI 解读

A novel approach for constructing goodness-of-fit techniques in arbitrary finite dimensions is presented. Testing problems are considered as well as the construction of diagnostic plots. The approach is based on some new notions of mass concentration, and in fact, our basic testing problems are formulated as problems of ‘‘goodness-of-concentration.’’ It is this connection to concentration of measure that makes the approach conceptually simple. The presented test statistics…

利用局部锥形参数化检验模型阶数：混合总体与平稳 ARMA 过程AI 解读

In this paper, we address the problem of testing hypotheses using the likelihood ratio test statistic in nonidentifiable models, with application to model selection in situations where the parametrization for the larger model leads to nonidentifiability in the smaller model. We give two major applications: the case where the number of populations has to be tested in a mixture and the case of stationary ARMA$(p, q)$ processes where the order $(p, q)$ has to be tested. We give…

线性模型中稳健 M 估计量的崩溃点与变动指数AI 解读

The breakdown point behavior of $M$-estimators in linear models with fixed designs, arising from planned experiments or qualitative factors, is characterized. Particularly, this behavior at fixed designs is quite different from that at designs which can be corrupted by outliers, the situation prevailing in the literature. For fixed designs, the breakdown points of robust $M$-estimators (those with bounded derivative of the score function), depend on the design and the…

一般条件下降秩回归估计量的渐近分布AI 解读

In the regression model $\mathbf{Y} = \eta + \mathbf{BX} + \mathbf{Z}$ with $\mathbf{Z}$ unobserved, $\mathscr{E}\mathbf{Z} = \mathbf{0}$ and $\mathscr{E}\mathbf{ZZ}' = \mathbf{\Sigma}_{ZZ}$, the least squares estimator of $\mathbf{B}$ is $\hat{\mathbf{B}} = \mathbf{S}_{YX}\mathbf{S}_{XX}^{-1}$. If the rank of $\mathbf{B}$ is known to be $k$ less than the dimensions of $\mathbf{Y}$ and $\mathbf{X}$, the reduced rank regression estimator of $\mathbf{B}$, say $\mathbf{B}_k$,…

基于经验似然比的混合比例置信区间AI 解读

We consider the problem of estimating a mixture proportion using data from two different distributions as well as from a mixture of them. Under the model assumption that the log-likelihood ratio of the two densities is linear in the observations, we develop an empirical likelihood ratio based statistic for constructing confidence intervals for the mixture proportion. Under some regularity conditions, it is shown that this statistic converges to a chi-squared random variable.…

基于 L₂-Wasserstein 距离的拟合优度检验AI 解读

We consider the Wasserstein distance between a sample distribution and the set of normal distributions as a measure of nonnormality. By considering the standardized version of this distance we obtain a version of Shapiro–Wilk’s test of normality. The asymptotic behavior of the statistic is studied using approximations of the quantile process by Brownian bridges. This method differs from the “ad hoc” method of de Wet and Venter and permits a similar analysis for testing other…

摘要暂缺

摘要暂缺

摘要暂缺

非平稳分数单位根AI 解读

This paper deals with a scalar I ( d ) process { y j }, where the integration order d is any real number. Under this setting, we first explore asymptotic properties of various statistics associated with { y j }, assuming that d is known and is greater than or equal to ½. Note that { y j } becomes stationary when d < ½, whose case is not our concern here. It turns out that the case of d = ½ needs a separate treatment from d > ½. We then consider, under the normality…

具有分数单整误差的协整时间序列渐近推断AI 解读

Vector valued autoregressive models with fractionally integrated errors are considered. The possibility of the coefficient matrix of the model having eigenvalues with absolute values equal or close to unity is included. Quadratic approximation to the log-likelihood ratios in the vicinity of auxiliary estimators of the parameters is obtained and used to make a rough identification of the approximate unit eigenvalues, including complex ones, together with their multiplicities.…

协整回归中的有效去趋势AI 解读

This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to…

具有多种隐含单位根的多元时间序列：第二部分AI 解读

This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183–214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435–468). We propose an estimation procedure that…

相关数据回归的加权经验自适应方差估计AI 解读

Summary Estimating equations based on marginal generalized linear models are useful for regression modelling of correlated data, but inference and testing require reliable estimates of standard errors. We introduce a class of variance estimators based on the weighted empirical variance of the estimating functions and show that an adaptive choice of weights allows reliable estimation both asymptotically and by simulation in finite samples. Connections with previous bootstrap…

蒙特卡洛近似对双重 Bootstrap 置信区间覆盖误差的影响AI 解读

Summary A double-bootstrap confidence interval must usually be approximated by a Monte Carlo simulation, consisting of two nested levels of bootstrap sampling. We provide an analysis of the coverage accuracy of the interval which takes account of both the inherent bootstrap and Monte Carlo errors. The analysis shows that, by a suitable choice of the number of resamples drawn at the inner level of bootstrap sampling, we can reduce the order of coverage error. We consider also…

利用平滑样条进行广义可加混合模型推断AI 解读

Summary Generalized additive mixed models are proposed for overdispersed and correlated data, which arise frequently in studies involving clustered, hierarchical and spatial designs. This class of models allows flexible functional dependence of an outcome variable on covariates by using nonparametric regression, while accounting for correlation between observations by using random effects. We estimate nonparametric functions by using smoothing splines and jointly estimate…

摘要暂缺

随机时间序列李雅普诺夫指数非参数估计的渐近分布AI 解读

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more relevant for chaotic processes, we are only able to establish asymptotic normality at a slower rate of convergence. We provide consistent confidence intervals for both cases. We apply our…

学习下随机过程的贝叶斯表示：重访 de Finetti 定理AI 解读

A probability distribution governing the evolution of a stochastic process has infinitely many Bayesian representations of the form mu = integral operator [subscript theta] mu[subscript theta] delta lambda (theta). Among these, a natural representation is one whose components (mu[subscript theta]'s) are 'learnable' (one can approximate mu[subscript theta] by conditioning mu on observation of the process) and 'sufficient for prediction' (mu[subscript theta]'s predictions are…

广义矩估计模型中的结构稳定性检验AI 解读

This article proposes a new methodology for testing structural stability in models estimated via generalized method of moments. Like most previous studies of this general problem, attention is focused on the case in which some aspect of the model potentially changes at a single point in the sample, known as the “breakpoint.” Unlike this earlier work, however, our approach is based on a decomposition of the null hypothesis into two components involving parameter constancy and…

失业流动的时间序列证据：样本时期的重要性AI 解读

Worker flows to and from unemployment occur at all stages of the U.S. business cycle. The flows' dynamics affect the dynamics of the unemployment rate. This article studies the dynamics of unemployment flows and the unemployment rate and explores and documents changes over time. Rigorous diagnostic tests are used to investigate the structural stability of projectional relationships involving flows and the unemployment rate.

部分调整模型中的随机时间聚合AI 解读

How is econometric analysis (of partial adjustment models) affected by the fact that, although data collection is done at regular, fixed intervals of time, economic decisions are made at random intervals of time? This article addresses this question by modeling the economic decision-making process as a general point process. Under random-time aggregation, (1) inference on the speed of adjustment is biased-adjustments are a function of the intensity of the point process and…

双重异方差随机前沿成本函数的估计AI 解读

This article extends the results obtained by S. B. Caudill, J. M. Ford, and D. M. Gropper (1995) in estimating and testing stochastic frontier cost functions in the presence of heteroskedastic inefficiency using cross-section data. It suggests the estimation of the model under the assumption of heteroskedasticity in both random terms. This avoids any possible misspecification bias and the use of incorrect tests. The same data as used by Caudill, Ford, and Gropper supports…