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重新审视瑞典经济周期：1861—1988年AI 解读

The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency variation does not seem to be constant over time for all series; it is difficult to find a 'Swedish business cycle'. Pairwise Granger non-causality tests are adapted to the STAR case,…

杂论：含加性噪声的时间序列AI 解读

We put forward a state space model where the unobservable state variable can be any Gaussian stochastic process. We discuss both maximum likelihood estimation and Bayesian inference for this generalised model. The methodology developed in this paper is particularly important for the class of long memory plus noise models. Armed with the simulation smoother introduced in this paper, we can estimate a class of non-Gaussian measurement time series models with long memory in the…

非参数保序判别方法AI 解读

In many situations it is desirable that prediction/discriminant rules should satisfy ordering properties with respect to the explanatory variables. Here, optimal rules under both L1 and L2 type loss functions are characterised under the restriction that the rules be isotonic with respect to the partial ordering on the explanatory variables. An example is given where college grade-point average is predicted based upon high school rank and American College Testing scores.

多元生物等效性的统计检验AI 解读

Although the U.S. Food and Drug Administration (FDA, 1992) recommends testing bioequivalence of individual pharmacokinetic parameters one at a time, it seems reasonable and interesting to conduct a test simultaneously for all the parameters. In this paper, we discuss several ways to construct such tests. It is shown that the confidence set approach leads to a test which can be uniformly improved by the intersection of Schuirmann's two one-sided tests procedure. The latter…

对数线性模型精确条件检验的重要性抽样算法AI 解读

SUMMARY A simple but quite general simulation method for conducting exact conditional lackof-fit tests in log-linear models is proposed. Our Monte Carlo approximation utilises an importance sampling method motivated by the crude normal approximation to the Poisson distribution. Examples considered include tests of quasi-symmetry and related models for square tables and tests concerning higher-order interactions in multi-way tables. The method is competitive with direct…

双典型相关分析中的秩似然比检验AI 解读

The likelihood-ratio test for the hypothesis that the smallest of two canonical correlations is zero is Bartlett adjustable. This theoretical property says that the moments of the test criterion and of a scaled version of the asymptotic distribution have the same second-order expansion. Simulations show that scaling with the exact expectation improves the asymptotic distribution, but the expectation is approximated poorly by its second-order expansion. This can be explained…

频率学派与贝叶斯推断尾概率的简便通用近似公式AI 解读

We describe a simple general formula for approximating the p-value for testing a scalar parameter in the presence of nuisance parameters. The formula covers both frequentist and Bayesian contexts and does not require explicit nuisance parameterisation. Implementation is discussed in terms of computer algebra packages. Examples are given and the relationship to Barndorff-Nielsen's approximation is discussed.

似然比统计量的经验调整AI 解读

Consider a model parameterised by a scalar parameter of interest ψ and a nuisance parameter λ. Inference about ψ may be based on the signed square root of the likelihood ratio statistic, R. The statistic R is asymptotically distributed according to a standard normal distribution, with error O(n-½). To reduce the error of this normal approximation, several modifications to R have been proposed such as Barndorff-Nielsen's modified directed likelihood statistic, R*. In this…

两个伽马总体均值之比的概率误差AI 解读

The two-sample Student's t-interval can be derived by parametric bootstrap coverage calibration of the naive, plug-in interval that fails to account for the estimation of the common variance parameter. The same technique results in an essentially exact confidence interval for the ratio of two means based on independent samples from gamma distributions. The gamma problem is more difficult computationally because an exact pivot is not available. However, the computational…

方差分量模型中的正交性与变换AI 解读

We consider variance components and other models for repeated measures in which a general transformation is applied to the response variable. Using Cox & Reid's (1987) concept of parameter orthogonality and some approximations to the information matrix we show that the intraclass correlation coefficient in the one-way model is robust to the choice of transformation. This robustness result generalises to a vector of parameters determining the correlation structure, to more…

通过近似条件化改进精确检验AI 解读

The often conservative nature, for discrete data, of so-called exact tests seems usually the result of unnecessarily precise conditioning. We consider avoiding this by conditioning only approximately on the sufficient statistics for nuisance parameters. Modest relaxation of conditioning results in small loss in terms of the rationale for conditional inference, but can greatly reduce the difficulties caused by discreteness. Exact calculations of p-values based on approximate…

以目标估计降低偏差与均方误差AI 解读

Given a statistical functional T and a parametric family of distributions, a bias reduced functional $\tilde{T}$ is defined by setting the expected value of the statistic equal to the observed value. Under certain regularity conditions this new statistic, called the target estimator, will have smaller bias and mean square error than the original estimator. The theoretical aspects are analyzed by using higher order von Mises expansions. Several examples are given, including $M$…

基于方差估计量之差的回归函数形式一致检验AI 解读

In this paper we study the problem of testing the functional form of a given regression model. A consistent test is proposed which is based on the difference of the least squares variance estimator in the assumed regression model and a nonparametric variance estimator. The corresponding test statistic can be shown to be asymptotically normal under the null hypothesis and under fixed alternatives with different rates of convergence corresponding to both cases. This provides a…

Bradley–Terry 配对比较模型中参数个数趋于无穷时的渐近理论AI 解读

We are concerned here with establishing the consistency and asymptotic normality for the maximum likelihood estimator of a “merit vector” $(u_0,\dots,u_t)$, representing the merits of $t +1$ teams (players, treatments, objects), under the Bradley–Terry model, as $t \to \infty$. This situation contrasts with the well-known Neyman–Scott problem under which the number of parameters grows with $t$ (the amount of sampling), and for which the maximum likelihood estimator fails…

基于数据深度的多元分析：描述统计、图形与推断（含讨论及作者答复）AI 解读

A data depth can be used to measure the “depth” or “outlyingness” of a given multivariate sample with respect to its underlying distribution. This leads to a natural center-outward ordering of the sample points. Based on this ordering, quantitative and graphical methods are introduced for analyzing multivariate distributional characteristics such as location, scale, bias, skewness and kurtosis, as well as for comparing inference methods. All graphs are one-dimensional curves…

含平稳回归变量的VAR模型协整秩推断AI 解读

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic distribution of the trace statistic for cointegration rank. The nuisance parame-ters are characterized as canonical correlations between the common trends (which in this case also involve the…

洛伦兹曲线排序的统计推断AI 解读

In this paper we consider the issue of performing statistical inference for Lorenz curve orderings. This involves testing for an ordered relationship in a multivariate context and making comparisons among more than two population distributions. Our approach is to frame the hypotheses of interest as sets of linear inequality constraints on the vector of Lorenz curve ordinates, and apply order-restricted statistical inference to derive test statistics and their sampling…

基于逐阶段检验的多重置信集AI 解读

Recent years have seen suggested constructions of multiple confidence sets related to stagewise multiple tests by some authors. These methods are a type of mixture between test and confidence interval methods, because confidence interval statements are made only for some parameters, whereas test statements for fixed parameter values are made for the other parameters. In this article I define a concept—confidence directional set—giving a confidence bound for one parameter,…

剂量反应与毒性研究中无需多重性调整的逐步置信区间AI 解读

Not all simultaneous inferences need multiplicity adjustment. If the sequence of individual inferences is predefined, and failure to achieve the desired inference at any step renders subsequent inferences unnecessary, then multiplicity adjustment is not needed. This can be justified using the closed testing principle to test appropriate hypotheses that are nested in sequence, starting with the most restrictive one. But what hypotheses are appropriate may not be obvious in…

调查抽样中校准估计量的扩展AI 解读

Estimators from the family of calibration estimators are often used when auxiliary information about a population is available. By viewing calibration as an algebraic problem, this article extends the calibration technique to estimate population parameters other than totals and means, and also extends the technique to the case where there is no solution to the calibration equation. These extensions permit the development of estimators for small domains that have a synthetic…

动态异质面板的混合均值组估计AI 解读

It is now quite common to have panels in which both T, the number of time series observations, and N, the number of groups, are quite large and of the same order of magnitude. The usual practice is either to estimate N separate regressions and calculate the coefficient means, which we call the mean group (MG) estimator, or to pool the data and assume that the slope coefficients and error variances are identical. In this article we propose an intermediate procedure, the…

通过模拟进行滤波：辅助粒子滤波器AI 解读

This article analyses the recently suggested particle approach to filtering time series. We suggest that the algorithm is not robust to outliers for two reasons: The design of the simulators and the use of the discrete support to represent the sequentially updating prior distribution. Here we tackle the first of these problems.

摘要暂缺

非嵌套假设检验的默认贝叶斯因子AI 解读

Bayesian hypothesis testing for nonnested hypotheses is studied, using various “default” Bayes factors, such as the fractional Bayes factor, the median intrinsic Bayes factor, and the encompassing and expected intrinsic Bayes factors. The different default methods are first compared with each other and with the p value in normal one-sided testing, to illustrate the basic issues. General results for one-sided testing in location and scale models are then presented. The…