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误差修正模型的自适应估计AI 解读

This paper considers adaptive maximum likelihood estimation of reduced rank vector error correction models. It is shown that such models can be asymptotically efficiently estimated even in the absence of knowledge of the shape of the density function of the innovation sequence, provided that this density is symmetric. The construction of the estimator, involving the nonparametric kernel estimation of the unknown density using the residuals of a consistent preliminary…

多元 ARCH 模型估计量的强一致性AI 解读

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation,…

混合效应平滑样条方差分析AI 解读

Summary We propose a general family of nonparametric mixed effects models. Smoothing splines are used to model the fixed effects and are estimated by maximizing the penalized likelihood function. The random effects are generic and are modelled parametrically by assuming that the covariance function depends on a parsimonious set of parameters. These parameters and the smoothing parameter are estimated simultaneously by the generalized maximum likelihood method. We derive a…

动态二元混合模型：价格与交易量行为的建模AI 解读

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixing variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications with…

专利数据分析：混合泊松回归模型方法AI 解读

Count-data models are used to analyze the relationship between patents and research and development spending at the firm level, accounting for overdispersion using a finite mixed Poisson regression model with covariates in both Poisson rates and mixing probabilities. Maximum likelihood estimation using the EM and quasi-Newton algorithms is discussed. Monte Carlo studies suggest that (a) penalized likelihood criteria are a reliable basis for model selection and can be used to…

专利数据分析：混合泊松回归模型方法AI 解读

Count-data models are used to analyze the relationship between patents and research and development spending at the firm level, accounting for overdispersion using a finite mixed Poisson regression model with covariates in both Poisson rates and mixing probabilities. Maximum likelihood estimation using the EM and quasi-Newton algorithms is discussed. Monte Carlo studies suggest that (1) penalized likelihood criteria are a reliable basis for model selection and can be used to…

动态二元混合模型：价格与交易量行为建模AI 解读

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixture variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications…

论筛法与惩罚法AI 解读

We develop a general theory which provides a unified treatment for the asymptotic normality and efficiency of the maximum likelihood estimates (MLE's) in parametric, semiparametric and nonparametric models. We find that the asymptotic behavior of substitution estimates for estimating smooth functionals are essentially governed by two indices: the degree of smoothness of the functional and the local size of the underlying parameter space. We show that when the local size of…

一类动态非线性统计模型的估计与预测AI 解读

A class of nonlinear state-space models, characterized by a single source of randomness, is introduced. A special case, the model underpinning the multiplicative Holt-Winters method of forecasting, is identified. Maximum likelihood estimation based on exponential smoothing instead of a Kalman filter, and with the potential to be applied in contexts involving non-Gaussian disturbances, is considered. A method for computing prediction intervals is proposed and evaluated on…

广义帕累托分布的数据拟合AI 解读

The generalized Pareto distribution (GPD) was introduced by Pickands to model exceedances over a threshold. It has since been used by many authors to model data in several fields. The GPD has a scale parameter ([sgrave] > 0) and a shape parameter (−∞ < k < ∞). The estimation of these parameters is not generally an easy problem. When k > 1, the maximum likelihood estimates do not exist, and when k is between 1/2 and 1, they may have problems. Furthermore, for k ≤ −1/2, second…

利用 Voronoi 剖分非参数极大似然估计空间点过程特征AI 解读

This article addresses the problem of estimating the support domain of a bounded point process in presence of background noise. This situation occurs, for example, in the detection of a minefield from aerial observations. A maximum likelihood estimator for a mixture of uniform point processes is derived using a natural partition of the space defined by the data themselves: the Voronoi tessellation. The methodology is tested on simulations and compared to a model-based…

泊松与过度离散泊松回归中以计数代替事件时间的效率损失AI 解读

Inference for point processes is most efficient if the event times for each individual are available. Sometimes, the study design is such that only aggregated data are collected, consisting of the number of events or recurrences for each individual over the observation period. This article discusses the loss in efficiency of an analysis of the aggregated counts versus an analysis of the actual event times. One particular case is exemplified—that in which the purpose of the…

含误分类的单调有序重复测量建模及成熟过程应用AI 解读

Many longitudinal studies of children are concerned with the modeling of monotonic responses such as growth and sexual maturation. The National Heart, Lung, and Blood Institute Growth and Health Study (NGHS) is a longitudinal study designed to examine the effect of growth and maturation on the development of obesity and related cardiovascular risk factors among black and white adolescent girls. Sexual maturation is measured with an ordinal outcome and is known to be measured…

非参数反卷积的非线性平滑EM密度估计与自动平滑选择AI 解读

We study a nonparametric deconvolution density estimation problem. The estimator is obtained by an EM algorithm for a smoothed maximum likelihood estimation problem, which has a unique continuous solution. We present an implementation of the procedure incorporating a data-driven discrepancy principle for selecting the smoothing parameter. Simulations illustrate the good properties of the resulting estimator when the unknown distribution is smooth and has regularly varying…

自动选择平滑参数的非线性平滑 EM 反卷积密度估计AI 解读

We study a nonparametric deconvolution density estimation problem. The estimator is obtained by an EM algorithm for a smoothed maximum likelihood estimation problem, which has a unique continuous solution. We present an implementation of the procedure incorporating a data-driven discrepancy principle for selecting the smoothing parameter. Simulations illustrate the good properties of the resulting estimator when the unknown distribution is smooth and has regularly varying…

泊松及过度离散泊松回归中用计数替代事件时点的效率损失AI 解读

Inference for point processes is most efficient if the event times for each individual are available. Sometimes, the study design is such that only aggregated data are collected, consisting of the number of events or recurrences for each individual over the observation period. This article discusses the loss in efficiency of an analysis of the aggregated counts versus an analysis of the actual event times. One particular case is exemplified—that in which the purpose of the…

含误分类的单调有序重复测量模型及成熟过程应用AI 解读

Many longitudinal studies of children are concerned with the modeling of monotonic responses such as growth and sexual maturation. The National Heart, Lung, and Blood Institute Growth and Health Study (NGHS) is a longitudinal study designed to examine the effect of growth and maturation on the development of obesity and related cardiovascular risk factors among black and white adolescent girls. Sexual maturation is measured with an ordinal outcome and is known to be measured…

多元时间序列分析基础AI 解读

This study is devoted to the analysis of multivariate time series data. Such data might arise in business and economics, engineering, geophysical sciences, agriculture, and many other fields. The emphasis is on providing an account of the basic concepts and methods which are useful in analyzing such data. The book presupposes a familiarity with univariate time series as might be gained from one term of a graduate course, but it is otherwise self-contained. It covers the…

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理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

观测 Fisher 信息的二阶最优性AI 解读

The realized error of an estimate is determined not only by the efficiency of the estimator, but also by chance. For example, suppose that we have observed a bivariate normal vector whose expectation is known to be on a circle. Then, intuitively, the longer that vector happens to be, the more accurately its angle is likely to be estimated. Yet this chance, though its information is contained in the data, cannot be accounted for by the variance of the estimate. One way to…

寿命与疾病发病时间分布的有效估计AI 解读

We study efficient nonparametric maximum likelihood estimation of the distribution of onset and lifetime associated with an irreversible disease that is only detectable at sacrifice or death. We show that, if the onset distribution is continuous, then estimation of the lifetime distribution cannot be improved by using current status information on the time till onset. In this case the Kaplan-Meier estimator of the lifetime distribution is asymptotically efficient. The…