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线性模型自相关系数的修正最大似然估计量AI 解读

Two approximations to the maximum likelihood estimiator of the autocorrelation coefficient in first-order Markov disturbances in a linear model have been previously suggested by Durbin & Watson. A Monte Carlo study shows that one of these estimators is less absolutely biased and has smaller variance than the exact maximum likelihood estimator. Further, this estimator exhibits greater power in tests of autocorrelation when used in place of the standard Durbin-Watson…

基于伪二次收敛准则的高斯移动平均修正极大似然估计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.

伽马过程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.

美国制造业资本与职业类别之间的替代弹性AI 解读

This article presents estimates of the elasticities of substitution among capital and up to 12 sex-occupation categories of labor, as well as each input's elasticity of demand, for 12 U.S. manufacturing industries in 1960. These values are derived from a cross-section production function model using states as observations, estimated with data from the Censuses of Manufacturing and Population. The estimator is a nonlinear iterative Zellner procedure, which produces…

利用分线有线电视面板数据衡量和检验广告相对效果AI 解读

Various methods of estimating and testing the relative effectiveness of advertising campaigns using split-cable TV consumer panel data are examined. Sensitivities of the methods to missing observations, serial correlation, and the pattern of the expected advertising campaign impact over time are considered. The maximum likelihood estimators for both the case of no missing observations and the missing-observations case are derived, and a nonlinear model which allows for a…

双重抽样方案在误分类类别数据分析中的应用AI 解读

In order to resolve the difficulties involved in inference from a sample of categorical data obtained by using a fallible classifying mechanism (usually inexpensive), we consider, as in Tenenbein (1970, 1971, 1972), the utilization of an additional sample. The second sample is subjected to a simultaneous cross-classification of its elements by the fallible mechanism and by some true (usually expensive) classifying mechanism. The setup is general; i.e., the discussion can be…

变化率与初始值之间的关系AI 解读

Given a series of consecutive measurements on a random sample of individuals, it is often of interest to investigate whether there exists a relationship between the rate of change and the initial value. Assuming that the observations deviate in a random manner from the true values, straightforward regression computations will yield biased results. It is shown that, in the case of the normal distribution, the maximum likelihood (ML) estimates of the second-order moments of…

自回归移动平均模型分析：估计与预测AI 解读

The exact likelihood function from a set of observations generated by univariate stationary normal autoregressive–moving average models is derived. Convenient methods are developed to evaluate the exact likelihood function, specifically the inverse and determinant of the T × T covariance matrix of the observations, ΣT and the quadratic form, Z′ΣT-1Z, where Z is a T × 1 vector of observations. Computations of the least squares and the maximum likelihood estimates of the…

对数线性模型与期望格频数较小的频数表AI 解读

In the case of frequency data, traditional discussions such as Rao (1973, pages 355-363, 391-412) consider asymptotic properties of maximum likelihood estimates and chi-square statistics under the assumption that all expected cell frequencies become large. If log-linear models are applied, these asymptotic properties may remain applicable if the sample size is large and the number of cells in the table is large, even if individual expected cell frequencies are small.…

向量移动平均过程的精确与近似最大似然估计AI 解读

Summary This paper derives the exact likelihood function for the vector moving average process; the method used is a generalization of that adopted by Box and Jenkins (1970, Appendix A7.4) for the univariate process. Tunnicliffe Wilson (1973) has previously considered the estimation of parameters in multivariate time series models, and his procedure for moving averages is shown to be an approximation to maximum likelihood. A procedure for the computation of the exact…

高斯格点模型的变量测量误差估计AI 解读

Summary It can happen that the variates of primary interest in a simple Gaussian lattice scheme are not directly observable. An errors-in-variables formulation may then be appropriate. This note describes the corresponding maximum-likelihood estimation of unknown parameter values. An example is given.

交叉验证与 Akaike 准则选择模型的渐近等价性AI 解读

Summary A logarithmic assessment of the performance of a predicting density is found to lead to asymptotic equivalence of choice of model by cross-validation and Akaike's criterion, when maximum likelihood estimation is used within each model.

通过 EM 算法对不完整数据进行最大似然估计AI 解读

Summary A broadly applicable algorithm for computing maximum likelihood estimates from incomplete data is presented at various levels of generality. Theory showing the monotone behaviour of the likelihood and convergence of the algorithm is derived. Many examples are sketched, including missing value situations, applications to grouped, censored or truncated data, finite mixture models, variance component estimation, hyperparameter estimation, iteratively reweighted least…

自回归移动平均模型的时域与频域估计AI 解读

The autoregressive moving average model is a stationary stochastic process $\{y_t\}$ satisfying $\sum^p_{k=0} \beta_ky_{t-k} = \sum^q_{g=0} \alpha_g\nu_{t-g}$, where the (unobservable) process $\{v_t\}$ consists of independently identically distributed random variables. The coefficients in this equation and the variance of $v_t$ are to be estimated from an observed sequence $y_1, \cdots, y_T$. To apply the method of maximum likelihood under normality the model is modified…

指数响应模型中的极大似然估计AI 解读

Exponential response models are a generalization of logit models for quantal responses and of regression models for normal data. In an exponential response model, $\{F(\theta): \theta \in \Theta\}$ is an exponential family of distributions with natural parameter $\theta$ and natural parameter space $\Theta \subset V$, where $V$ is a finite-dimensional vector space. A finite number of independent observations $S_i, i \in I$, are given, where for $i \in I, S_i$ has…

截断样本的原始规模估计AI 解读

Consider N (unknown) values of a variable X (discrete or continuous) independently sampled from a distribution with density f(x, θ), where θ is an unknown vector parameter. Suppose that the values of X belonging to a certain region R are not observable. This article deals with the problem of estimating N and θ in such situations which arise, for instance, in life testing and capture-recapture census. Asymptotic theory for maximum likelihood estimation of N and θ is presented…

截断样本的总体样本量估计AI 解读

Consider N (unknown) values of a variable X (discrete or continuous) independently sampled from a distribution with density f(x, θ), where θ is an unknown vector parameter. Suppose that the values of X belonging to a certain region R are not observable. This article deals with the problem of estimating N and θ in such situations which arise, for instance, in life testing and capture-recapture census. Asymptotic theory for maximum likelihood estimation of N and θ is presented…

对角线缺失列联表中最大似然估计的迭代方法比较AI 解读

This paper considers maximum likelihood estimation for the parameters of quasiindepen-dence in a contingency table with a miiming or excluded diagonal. Two of the methods discussed derive from the em algorithm of Dempster, Laird & Rubin (1977), the other two methods being Newton-Raphson and iterative scaling. Iterative scaling is found, empirically, to be the least efficient method.

有理谱密度连续时间高斯平稳过程的参数估计AI 解读

The estimation of parameters in a continuous time Gaussian stationary process with zero mean and rational spectral density is achieved by an adaptation of the maximum likelihood method. It consists of minimizing something analogous to the sum of the squares of the residuals in the discrete case. The estimate is shown to be asymptotically normal and efficient. A simple computational procedure is also given to construct the estimate.

高斯移动平均过程最大似然估计量的直接表示AI 解读

It has been known for several years that the maTin-mm likelihood estimator of the parameters of a discrete Gaussian moving average process is efficient and asymptotically normally distributed. A procedure is described in this paper which gives an expression for the maximum likelihood estimator of each parameter as a linear combination of a suitable large set of sample serial correlations. An illustration of this procedure is given.

高斯移动平均过程最大似然估计量的直接表示AI 解读

It has been known for several years that the maTin-mm likelihood estimator of the parameters of a discrete Gaussian moving average process is efficient and asymptotically normally distributed. A procedure is described in this paper which gives an expression for the maximum likelihood estimator of each parameter as a linear combination of a suitable large set of sample serial correlations. An illustration of this procedure is given.

This paper considers maximum likelihood estimation for the parameters of quasiindepen-dence in a contingency table with a miiming or excluded diagonal. Two of the methods discussed derive from the em algorithm of Dempster, Laird & Rubin (1977), the other two methods being Newton-Raphson and iterative scaling. Iterative scaling is found, empirically, to be the least efficient method.

方差分析混合模型中最大似然估计的渐近性质AI 解读

We show that in the mixed model of the analysis of variance, there is a sequence of roots of the likelihood equations which is consistent, asymptotically normal, and efficient in the sense of attaining the Cramer-Rao lower bound for the covariance matrix. These results follow directly by an application of a general result of Weiss (1971, 1973) concerning maximum likelihood estimates. This problem differs from standard problems in that we do not have independent, identically…

非均衡市场模型中极大似然估计量的渐近性质AI 解读

Michael J. Hartley, Parthasaradhi Mallela, The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium, Econometrica, Vol. 45, No. 5 (Jul., 1977), pp. 1205-1220