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条件 Logistic 回归的高效蒙特卡洛方法AI 解读

Exact inference for the logistic regression model is based on generating the permutation distribution of the sufficient statistics for the regression parameters of interest conditional on the sufficient statistics for the remaining (nuisance) parameters. Despite the availability of fast numerical algorithms for the exact computations, there are numerous instances where a data set is too large to be analyzed by the exact methods, yet too sparse or unbalanced for the maximum…

主研究与验证研究设计下含误分类和测量误差的 Logistic 回归推断AI 解读

In epidemiological studies, continuous covariates often are measured with error and categorical covariates often are misclassified. Using the logistic regression model to represent the relationship between the binary outcome and the perfectly measured and classified covariates, the model for the observed main study data is derived. This derivation relies on the assumption that the error in the continuous covariates is multivariate normally distributed and uses a chain of…

含缺失二元结局、辅助变量与全有或全无依从性的随机癌症预防试验分析AI 解读

The Prostate Cancer Prevention Trial is a randomized chemoprevention trial designed to compare the effect of daily finasteride versus placebo on prostate cancer determined by biopsy. Investigators have scheduled a biopsy at the end of the trial in 7 years or following a positive prostate-specific antigen (PSA) on annual screening. The analysis will need to adjust for two likely complications. First, some subjects will not receive a biopsy, depending in part on whether or not…

具有一类单纯形约束的离散分布估计AI 解读

Simplex constraints, such as monotonicity and convexity or concavity on the probabilities of a set of discrete distributions, are useful for modeling and analyzing discrete data. This article considers both maximum likelihood estimation and Bayesian estimation of discrete distribution with a class of simplex constraints using the Expectation-Maximization (EM) algorithm and the data augmentation (DA) algorithm. The formulation and implementation of EM and DA for binomial,…

结局缺失、辅助变量及全有或全无依从下的随机癌症预防试验分析AI 解读

The Prostate Cancer Prevention Trial is a randomized chemoprevention trial designed to compare the effect of daily finasteride versus placebo on prostate cancer determined by biopsy. Investigators have scheduled a biopsy at the end of the trial in 7 years or following a positive prostate-specific antigen (PSA) on annual screening. The analysis will need to adjust for two likely complications. First, some subjects will not receive a biopsy, depending in part on whether or not…

主研究与验证研究设计下含协变量误分类和测量误差的逻辑回归AI 解读

In epidemiological studies, continuous covariates often are measured with error and categorical covariates often are misclassified. Using the logistic regression model to represent the relationship between the binary outcome and the perfectly measured and classified covariates, the model for the observed main study data is derived. This derivation relies on the assumption that the error in the continuous covariates is multivariate normally distributed and uses a chain of…

随机波动率模型：条件正态分布与厚尾分布AI 解读

Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility process, is normal. In this paper, the SV model based on a conditional normal distribution is compared with SV specifications using conditional heavy-tailed distributions, especially Student's t-distribution and the generalized error distribution. To estimate the SV specifications, a simulated maximum…

半参数偏倚抽样模型中最大似然估计的大样本理论AI 解读

Vardi [Ann.Statist.13 178-203 (1985)] introduced an $s$-sample biased sampling model with known selection weight functions, gave a condition under which the common underlying probability distribution $G$ is uniquely estimable and developed simple procedure for computing the nonparametric maximum likelihood estimator (NPMLE) $\mathbb{G}_n$ of $G$. Gill, Vardi and Wellner thoroughly described the large sample properties of Vardi’s NPMLE, giving results on uniform consistency,…

《基于模拟的计量经济学方法》书评AI 解读

The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods , with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of…

连续与多类别混合数据的潜变量模型AI 解读

Summary Owing to the nature of the problems and the design of questionnaires, discrete polytomous data are very common in behavioural, medical and social research. Analysing the relationships between the manifest and the latent variables based on mixed polytomous and continuous data has proven to be difficult. A general structural equation model is investigated for these mixed outcomes. Maximum likelihood (ML) estimates of the unknown thresholds and the structural parameters…

尾部行为可能误设时风险管理视角下的最优估计AI 解读

Many financial time series show leptokurtic behavior--that is, fat tails. Such tail behavior is important for risk management. In this article I focus on the calculation of Value-at-Risk (VaR) as a downside-risk measure for optimal asset portfolios. Using a framework centered on the Student-t distribution, I explicitly allow for a discrepancy between the fat-tailedness of the true distribution of asset returns and that of the distribution used by the investment manager. As a…

回顾性抽样问题的高阶精确方法AI 解读

In this paper we discuss the relationship between prospective and retrospective sampling problems. Estimates of the parameter of interest may be obtained by solving suitable estimating equations under both sampling schemes. Most common examples of such estimates include the maximum likelihood estimates. Some classical results and more recent development of the first-order asymptotic relationship between the estimators are reviewed. High-order expansions are given for the…

多元方差分量的改进非负定估计AI 解读

In this paper,we consider a multivariate one-way random effect model with equal replications. We propose nonnegative definite estimators for “between” and “within” components of variance. Under the Stein loss function, it is shown that the proposed estimators of the “within” component dominate the best unbiased estimator. Restricted maximum likelihood, truncated and order-preserving minimax estimators are also proposed. A Monte Carlo simulation is carried out to choose among…

多元分类响应的关联—边际建模：极大似然方法AI 解读

Generalized log-linear models can be used to describe the association structure and/or the marginal distributions of multivariate categorical responses. We simultaneously model the association structure and marginal distributions using association-marginal (AM) models, which are specially formulated generalized log-linear models that combine two models: an association (A) model, which describes the association among all the responses; and a marginal (M) model, which…

具有类似最大似然性质的缺失协变量加权估计方程AI 解读

In regression analysis, missing covariate data occurs often. A recent approach to analyzing such data is weighted estimating equations. With weighted estimating equations, the contribution to the estimating equation from a complete observation is weighted by the inverse probability of being observed. In this article we propose a weighted estimating equation that is almost identical to the maximum likelihood estimating equations. As such, we propose an EM-type algorithm to…

名义分组间部分测量潜在特质的比较AI 解读

This article presents a method for estimating the subgroup distributions of a latent trait measured as a normal variate in the population. This problem occurs in large-scale assessments, such as the National Assessment of Educational Progress, the National Adult Literacy Survey, and other programs where proficiencies are estimated via marginal maximum likelihood through a model based on item-response theory. Heretofore, estimates of subgroup means were often estimated using…

非可忽略缺失的分类生活质量数据矩估计程序AI 解读

Quality-of-life outcomes collected during clinical trials often have considerable amounts of missing data, which, if not appropriately accounted for, may lead to bias in inferences. We introduce a method-of-moments (MM) estimating procedure for a model designed to handle nonignorable missingness arising in categorical data measured on independent populations. The missingness mechanism is assumed to be the same across the populations. We derive necessary and sufficient…

具有类似最大似然性质的缺失协变量加权估计方程AI 解读

In regression analysis, missing covariate data occurs often. A recent approach to analyzing such data is weighted estimating equations. With weighted estimating equations, the contribution to the estimating equation from a complete observation is weighted by the inverse probability of being observed. In this article we propose a weighted estimating equation that is almost identical to the maximum likelihood estimating equations. As such, we propose an EM-type algorithm to…

不可忽略缺失下分类生活质量数据的矩估计AI 解读

Quality-of-life outcomes collected during clinical trials often have considerable amounts of missing data, which, if not appropriately accounted for, may lead to bias in inferences. We introduce a method-of-moments (MM) estimating procedure for a model designed to handle nonignorable missingness arising in categorical data measured on independent populations. The missingness mechanism is assumed to be the same across the populations. We derive necessary and sufficient…

不同类别子群间部分测量潜在特质的比较AI 解读

This article presents a method for estimating the subgroup distributions of a latent trait measured as a normal variate in the population. This problem occurs in large-scale assessments, such as the National Assessment of Educational Progress, the National Adult Literacy Survey, and other programs where proficiencies are estimated via marginal maximum likelihood through a model based on item-response theory. Heretofore, estimates of subgroup means were often estimated using…

一步局部拟似然估计AI 解读

Summary Local quasi-likelihood estimation is a useful extension of local least squares methods, but its computational cost and algorithmic convergence problems make the procedure less appealing, particularly when it is iteratively used in methods such as the back-fitting algorithm, cross-validation and bootstrapping. A one-step local quasi-likelihood estimator is introduced to overcome the computational drawbacks of the local quasi-likelihood method. We demonstrate that as…

GARCH 模型中基于最大似然的估计量效率比较AI 解读

In this paper, we investigate the loss of asymptotic efficiency of semiparametric and quasi-maximum likelihood estimators relative to maximum likelihood estimators in models with Generalized Autoregressive Conditional Heteroscedasticity (GARCH). For a general time-varying location-scale model, the factors that contribute to differences in efficiency among the estimators can be divided in two categories. One pertains to the parametric specifications of the conditional mean…

随机永久突变AI 解读

This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null…

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