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彩池博彩市场中预期假说的半参数（分布无关）检验AI 解读

The expectations hypothesis maintains that a current forward or futures price should be an unbiased forecast of the expected future price. This paper tests the expectations hypothesis in the parimutuel gambling market for greyhound racing parametric and semiparametric estimators. Parimutuel gambling markets are similar to speculative asset markets in many regards. Conventional maximum likelihood tests of asset pricing require a priori specification of the statistical…

资产收益非对称随机波动率模型的估计AI 解读

A stochastic volatility model may be estimated by a quasi-maximum likelihood procedure by transforming to a linear state space form. The method is extended to handle correlation between the two disturbances in the model and applied to data on stock returns.

应该匹配哪些矩？AI 解读

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model…

捕获概率随时间变化的再捕获实验中的精确枢轴量AI 解读

Testing and confidence interval construction for a parameter are achieved by constructing a pivotal. In this paper we study construction of approximate pivotals from recapture models where capture probabilities possibly vary from occasion to occasion. We compare the asymptotic standard normality of various pivotals including analogues of the classical maximum likelihood/Wald, score and likelihood ratio statistics. Some bias adjustments are developed and indicate that the…

多项总体规模估计量的渐近正态性及艾滋病疫情反推应用AI 解读

Estimation of the unknown size of a multinomial distribution is required in some important applications. It has been previously shown that the maximum likelihood estimators of the size and other parameters in the multinomial distribution are asymptotically normal under suitable regularity conditions. Unfortunately, one of these conditions is difficult to verify in practice. Here we present an alternative regularity condition that is straightforwardly verifiable. An…

长序列向量一般线性过程的快速似然近似：分数差分应用AI 解读

The quadratic form appearing in the likelihood function of a Gaussian stationary and invertible vector general linear process is considered in this paper. A new expression for this quadratic form is developed, which allows repeated computations to be performed very efficiently by possibly using forecast and backcast values of the series. While the quadratic form itself involves the inverse of the covariance matrix, the new expression uses the autocovariances of the…

双变量生存函数的非参数估计及母婴传播艾滋病应用AI 解读

In this paper we propose a nonparametric estimator of the bivariate survival function when the two durations are subject to right censoring. We consider the situation where the duration variables are successive and are always observed in a particular order, and the censoring mechanism bears on their sum, rather than on each separately. Thus, is they are correlated, the second duration is right censored by a dependent variable. A nonparametric maximum likelihood estimator is…

重复测量中有序组效应的检验AI 解读

In the repeated measures experiment, testing procedures for ordered group effects are proposed using the likelihood ratio principle. The constrained maximum likelihood estimators of ordered group effects are approximated by the isotonic regression of the unconstrained maximum likelihood estimators. Based on these constrained maximum likelihood estimators, test statistics are constructed and are used for detecting ordered group effects. The limiting distributions of the…

有限混合模型中的自助法似然比推断AI 解读

SUMMARY Statistical inference using the likelihood ratio statistic for the number of components in a mixture model is complicated when the true number of components is less than that of the proposed model since this represents a non-regular problem: the true parameter is on the boundary of the parameter space and in some cases the true parameter is in a nonidentifiable subset of the parameter space. The maximum likelihood estimator is shown to converge to the subset…

广义线性模型残差最大似然估计的条件似然方法AI 解读

SUMMARY Residual maximum likelihood (REML) estimation is often preferred to maximum likelihood estimation as a method of estimating covariance parameters in linear models because it takes account of the loss of degrees of freedom in estimating the mean and produces unbiased estimating equations for the variance parameters. In this paper it is shown that REML has an exact conditional likelihood interpretation, where the conditioning is on an appropriate sufficient statistic…

不完整数据下稳健多元线性回归的贝叶斯分析AI 解读

The multivariate t distribution and other normal/independent multivariate distributions, such as the multivariate slash distribution and the multivariate contaminated distribution, are used for robust regression with complete or incomplete data. Most previous work focused on the method of maximum likelihood estimation for linear regression using normal/independent distributions. This article considers Bayesian estimation of multivariate linear regression models using…

单调剂量—响应曲线的估计AI 解读

Estimating monotone dose—response curves with independent, normal errors has been studied in detail in the literature. A simple procedure using a generalization of the studentized maximum modulus technique is proposed for constructing confidence bands for monotone regression functions. This procedure is shown to compare well with its predecessors. The center of this smooth and efficient confidence band is then used to estimate a smooth monotone regression function. Its…

聚类有序测量的边际回归模型AI 解读

This article constructs statistical models for clustered ordinal measurements. We specify two regression models: one for the marginal means and one for the marginal pairwise global odds ratios. Of particular interest are problems in which the odds ratio regression is a focus. Simple assumptions about higher-order conditional moments give a quadratic exponential likelihood function with second-order estimating equations (GEE2) as score equations. But computational difficulty…

广义线性测量误差模型中的工具变量估计AI 解读

Instrumental variable estimation in generalized linear measurement error models are studied. For models with canonical link functions, unbiased estimating equations are derived. The maximum likelihood estimator for the normal theory, structural linear instrumental variable model is shown to be a solution to the estimating equations derived herein. Logistic regression is studied in detail. An example is given and a simulation study described for the logistic model based on…

利用前瞻性数据估计HIV母婴传播率与儿童艾滋病潜伏期AI 解读

This article considers the estimation of the rate of vertical human immunodeficiency virus (HIV) transmission and the pediatric acquired immune deficiency syndrome (AIDS) incubation period using data from birth cohort studies. Standard methods of analysis, which ignore children whose infection status is not established, may lead to biased estimates. Methods based on modeling the disappearance of HIV antibody or appearance of virus are inefficient, as they essentially rely on…

环境时间序列的非线性加性模型及地面臭氧应用AI 解读

Environmental time series usually vary systematically in response to meteorological conditions and thus often are not stationary. In this article a class of additive models are introduced for environmental time series, in which both mean levels and variances of the series are nonlinear functions of relevant meteorological variables. Backfitting algorithms in nonlinear regression are adopted to estimate the unknown functions in the model, and the maximum likelihood method is…

利用高斯混合平滑估计混合分布AI 解读

We propose a method of estimating mixing distributions using maximum likelihood over the class of arbitrary mixtures of Gaussians subject to the constraint that the component variances be greater than or equal to some minimum value h. This approach can lead to estimates of many shapes, with smoothness controlled by parameter h. We show that the resulting estimate will always be a finite mixture of Gaussians, each having variance h. The nonparametric maximum likelihood…

随机序约束下生存概率的贝叶斯推断AI 解读

In the statistical analysis of survival data arising from two populations, it often happens that the analyst knows, a priori, that the life lengths in one population are stochastically shorter than those in the other. Nevertheless, survival probability estimates, if determined separately from the corresponding samples, may not be consistent with this prior assumption, because of inherent statistical variability in the observations. This problem has been considered in a…

多离散度分量广义线性混合模型的偏差校正AI 解读

General formulas are derived for the asymptotic bias in regression coefficients and variance components estimated by penalized quasi-likelihood (PQL) in generalized linear mixed models with canonical link function and multiple sets of independent random effects. Easily computed correction matrices result in variance component estimates that have satisfactory asymptotic behavior for small values of the variance components and significantly reduce bias for larger values. Both…

极大似然分析中的带符号根偏差剖面与置信区间AI 解读

We investigate a natural extension of the profile t plot of Bates and Watts to a general parametric function g(θ) of the parameters θ in a general maximum likelihood analysis. Although the basic purpose of the extension, called the signed root deviance profile (SRDP), is to construct likelihood ratio (LR) confidence intervals for g(θ), it has various other applications that significantly extend its usefulness. The tangent to the plot of the SRDP at the maximum likelihood…

环境时间序列的非线性可加模型：地面臭氧数据应用AI 解读

Environmental time series usually vary systematically in response to meteorological conditions and thus often are not stationary. In this article a class of additive models are introduced for environmental time series, in which both mean levels and variances of the series are nonlinear functions of relevant meteorological variables. Backfitting algorithms in nonlinear regression are adopted to estimate the unknown functions in the model, and the maximum likelihood method is…

最大似然分析中的带符号根离差剖面与置信区间AI 解读

We investigate a natural extension of the profile t plot of Bates and Watts to a general parametric function g(θ) of the parameters θ in a general maximum likelihood analysis. Although the basic purpose of the extension, called the signed root deviance profile (SRDP), is to construct likelihood ratio (LR) confidence intervals for g(θ), it has various other applications that significantly extend its usefulness. The tangent to the plot of the SRDP at the maximum likelihood…

利用前瞻性数据估计HIV母婴传播率与儿童艾滋病潜伏期AI 解读

This article considers the estimation of the rate of vertical human immunodeficiency virus (HIV) transmission and the pediatric acquired immune deficiency syndrome (AIDS) incubation period using data from birth cohort studies. Standard methods of analysis, which ignore children whose infection status is not established, may lead to biased estimates. Methods based on modeling the disappearance of HIV antibody or appearance of virus are inefficient, as they essentially rely on…

随机序约束下生存概率的贝叶斯推断AI 解读

In the statistical analysis of survival data arising from two populations, it often happens that the analyst knows, a priori, that the life lengths in one population are stochastically shorter than those in the other. Nevertheless, survival probability estimates, if determined separately from the corresponding samples, may not be consistent with this prior assumption, because of inherent statistical variability in the observations. This problem has been considered in a…