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多重退出模型中部分转移概率的非参数估计AI 解读

Nonparametric estimators are proposed for transition probabilities in partial Markov chains relative to multiple decrement models. The estimators are generalizations of the product limit estimator. We study the bias of the estimators, prove a strong consistency result and derive asymptotic normality of the estimators considered as stochastic processes. We also compute their efficiency relative to the maximum likelihood estimators in the case of constant forces of transition.

非嵌套非线性回归模型的检验AI 解读

In Pesaran [9], the test developed by Cox for comparing separate families of hypo-theses was applied to the choice between two non-nested linear single-equation econometric models. In this paper, the analysis is extended to cover multivariate nonlinear models whenever full information maximum likelihood estimation is possible. This allows formal comparisons not only of competing explanatory variables but also of alternative functional forms. The largest part of the paper…

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利用伪二次收敛准则修正高斯移动平均模型的最大似然估计AI 解读

A criterion is developed in this note for analysing the convergence properties of the direct representation for the maximum likelihood estimator of a Gaussian moving average. It is shown how this leads to a modified system for the estimator which is pseudoquadratically convergent. An illustration of the approach is given.

Gamma 与稳定过程的统计推断AI 解读

Problems of estimation and testing for nondecreasing pure jump gamma and stable additive processes are considered. The inference is based on a single realization of the process on a given time interval [0,t]. The maximum likelihood estimators of the parameters based on observation of the jumps of size greater than or equal to ε are found to be consistent as ε tends to 0 for the stable process but not for the gamma process.

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摘要暂缺

形式 Edgeworth 展开的有效性AI 解读

Let $\{Y_n\}_{n\geqq 1}$ be a sequence of i.i.d. $m$-dimensional random vectors, and let $f_1,\cdots, f_k$ be real-valued Borel measurable functions on $R^m$. Assume that $Z_n = (f_1(Y_n),\cdots, f_k(Y_n))$ has finite moments of order $s \geqq 3$. Rates of convergence to normality and asymptotic expansions of distributions of statistics of the form $W_n = n^{\frac{1}{2}}\lbrack H(\bar{Z}) - H(\mu)\rbrack$ are obtained for functions $H$ on $R^k$ having continuous derivatives…

线性支出系统高效估计札记AI 解读

An efficient method of estimating the linear expenditure system (LES) by maximum likelihood is introduced. A test for insuring that parameter estimates obtained by numerical maximization satisfy the first-order conditions is given. In some experiments the new method of estimating the LES is compared to the more conventional method of estimation and is found to use significantly less computer time than the conventional method.

生存参数假设检验的大小与功效评估AI 解读

Assuming the time-dependent component of Cox's form of the hazard function to be specified by the constant, Weibull, and Gompertz, produces three failure density models. Using simulation techniques, size and power comparisons between tests of hypotheses (concerning the regression parameters) arising from Cox's nonparametric method and tests arising from the three parametric models are made. The test statistics arise from the likelihood ratio criterion and the asymptotic…

样本量为三和四时柯西分布参数的最大似然估计AI 解读

Expressions are given for the joint maximum likelihood estimates of the location and scale parameters of a Cauchy distribution based on samples of size 3 and 4.

从不完整泊松样本估计完整样本量AI 解读

Maximum likelihood estimators and a modified maximum likelihood estimator are developed for estimating the zero class from a truncated Poisson sample when the available sample size itself is a random variable. All the estimators considered here are asymptotically equivalent in the usual sense; hence their asymptotic properties are investigated in some detail theoretically as well as by making use of Monte Carlo experiments. One modified estimator appears to be best with…

生存模型参数假设检验的尺寸与功效评估AI 解读

Assuming the time-dependent component of Cox's form of the hazard function to be specified by the constant, Weibull, and Gompertz, produces three failure density models. Using simulation techniques, size and power comparisons between tests of hypotheses (concerning the regression parameters) arising from Cox's nonparametric method and tests arising from the three parametric models are made. The test statistics arise from the likelihood ratio criterion and the asymptotic…

样本量为 3 和 4 时柯西分布参数的最大似然估计AI 解读

Expressions are given for the joint maximum likelihood estimates of the location and scale parameters of a Cauchy distribution based on samples of size 3 and 4.

线性支出系统高效估计札记AI 解读

An efficient method of estimating the linear expenditure system (LES) by maximum likelihood is introduced. A test for insuring that parameter estimates obtained by numerical maximization satisfy the first-order conditions is given. In some experiments the new method of estimating the LES is compared to the more conventional method of estimation and is found to use significantly less computer time than the conventional method.

带约束的间接最小二乘估计量AI 解读

An over-identified model could be defined as an exactly identified model that is subject to over-identifying restrictions. One could therefore define a constrained indirect least squares estimator for systems of equations similar to generalized least squares estimators under constraints for single equations. The estimator differs from three stage least squares in using the indirect least squares estimated covariance instead of the two stage least squares estimated…

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圆柱面变量模型及其应用AI 解读

Summary A suitable model when two random variables take values on a cylinder is proposed and its main properties are discussed. The maximum likelihood estimators for the parameters of the model are obtained and a likelihood ratio test of independence is derived. A numerical example is given.

绝对单调约束下剂量反应函数的最大似然估计AI 解读

Statistical properties are derived for maximum likelihood estimates of dose-response functions in which the response probability is related to the dose by means of a polynomial of unknown degree with nonnegative coefficients. Dose-response functions of this form are predicted by the multistage model of carcinogenesis. We first establish necessary and sufficient conditions for strong consistency of the estimates. For these results no assumptions are made about the polynomial…

计量经济模型的通用计算程序：SHAZAMAI 解读

to prepare and allow a large number of options. The program can be run in batch mode or interactively at a computer terminal. Computer core storage is dynamically allocated so that large problems are only limited by the size of the machine. SHAZAM is designed to grow so that new algorithms and procedures can easily be added by any programmer familiar with the internal structure of the program. Features of SHAZAM include ordinary least squares, two-stage least squares,…

自相关误差回归的极大似然估计程序AI 解读

The widely used Cochrane-Orcutt and Hildreth-Lu procedures for estimating the parameters of a linear regression model with first-order autocorrelation typically ignore the first observation. An alternative maximum likelihood procedure which incorporates the first observation and the stationarity condition of the error process is proposed in this paper. It is similar to the Cochrane-Orcutt procedure, and appears to be at least as computationally efficient. This estimator is…

谱估计量精确有限样本分布的近似AI 解读

In this paper an explicit and computationally convenient expansion of the exact finite sample distribution function of a quasi-maximum likelihood spectral estimator is given. In the majority of practical situations it will be necessary to estimate certain nuisance parameters of the distribution. Therefore, a method of evaluating these parameters is suggested and some Monte-Carlo evidence concerning the practical implementation of the results is given. 1 INTRODUCTfON AN…

最大似然估计精度评估：观测与期望 Fisher 信息AI 解读

This paper concerns normal approximations to the distribution of the maximum likelihood estimator in one-parameter families. The traditional variance approximation is 1/§, where θ is the maximum likelihood estimator and § is the expected total Fisher information. Many writers, including R. A. Fisher, have argued in favour of the variance estimate 1/I(x), where I(x) is the observed information, i.e. minus the second derivative of the log likelihood function at θ given data x.…