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一般线性模型中响应变量的测量误差AI 解读

Problems where there is measurement error in the response variable in a general linear model are considered. With Y denoting the true value and U the observed/surrogate value, a rich class of measurement error models is considered in which (a) the mean of U given Y = y can be either linear or nonlinear in y, (b) the variance of U given Y = y can depend on y, and (c) the parameters in the model for U given Y can change across observations in the study. This could occur, for…

连续时间长记忆时间序列模型的估计AI 解读

A class of univariate fractional ARIMA models with a continuous time parameter is developed for the purpose of modeling long-memory time series. The spectral density of discretely observed data is derived for both point observations (stock variables) and integral observations (flow variables). A frequency domain maximum likelihood method is proposed for estimating the longmemory parameter and is shown to be consistent and asymptotically normally distributed, and some issues…

IGARCH(1,1)与协方差平稳GARCH(1,1)模型中准极大似然估计的一致性与渐近正态性AI 解读

This paper provides a proof of the consistency and asymptotic normality of the quasi-maximum likelihood estimator in GARCH(1,1) and IGARCH(1,1) models. In contrast to the case of a unit root in the conditional mean, the presence of a 'unit root' in the conditional variance does not affect the limiting distribution of the estimators; in both models, estimators are normally distributed. In addition, a consistent estimator of the covariance matrix is available, enabling the use…

英国职业养老金与工作流动：随机效应竞争风险模型估计AI 解读

We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive association between length of job tenure and pensionable status, allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement. We use a…

双阈值自回归条件异方差时间序列模型AI 解读

Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called double-threshold ARCH(DTARCH) model, which can handle the situation where both the conditional mean and the conditional variance specifications are piecewise linear given previous information. Potential applications of such models include financial data with different (asymmetric) behaviour in a visiting versus…

英国职业养老金与工作流动：随机效应竞争风险模型估计AI 解读

We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive association between length of job tenure and pensionable status, allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement. We use a…

半参数混合模型中的有效最大似然估计AI 解读

We consider maximum likelihood estimation in several examples of semiparametric mixture models, including the exponential frailty model and the errors-in-variables model. The observations consist of a sample of size n from the mixture density $\int p_{\theta}(x|z) d \eta(z)$. The mixing distribution is completely unknown. We show that the first component $\hat{\theta}_n$ of the joint maximum likelihood estimator , $(\hat{\theta}_n \hat{\eta}_n)$ is asymptotically normal and…

一类广义对数线性模型的极大似然方法AI 解读

We discuss maximum likelihood methods for fitting a broad class of multivariate categorical response data models. In particular, we derive the large-sample distributions for maximum likelihood estimators of parameters of product-multinomial generalized log-linear models. The large-sample behavior of other relevant likelihood-based statistics such as goodness-of-fit statistics and adjusted residuals is also described. The asymptotic results are derived within the framework of…

区间删失数据下的一类生存函数估计量AI 解读

A model of interval censorship of a failure time T is considered when there is only one inspection time Y. The observable data are n independent copies of the pair $(Y, \delta)$, where $\delta = [T \leq Y]$. We construct a class of self-consistent estimators of the survival function of T defined implicitly through two equations and show their strong consistency under certain conditions. The properties of the onparametric maximum likelihood estimator are also investigated.

区间删失比例风险模型的有效估计AI 解读

The maximum likelihood estimator (MLE) for the proportional hazards model with "case 1" interval censored data is studied. It is shown that the MLE for the regression parameter is asymptotically normal with $\sqrt{n}$ convergence rate and achieves the information bound, even though the MLE for the baseline cumulative hazard function only converges at $n^{1/3}$ rate. Estimation of the asymptotic variance matrix for the MLE of the regression parameter is also considered. To…

女性劳动供给与婚姻状态决策：生命周期模型AI 解读

This paper studies the interdependence between and the determinants of life-cycle marital status and labour force participation decisions of women. A dynamic utility maximization model is presented and estimated using longitudinal data on women from the Panel Study of Income Dynamics. The MLE method employed, involves solving a dynamic programming problem. Further, a minimum distance estimator is proposed which allows for the incorporation of wage data in a computationally…

用预测最小拟偏差准则选择广义线性模型AI 解读

We consider the problem of selecting a model with the best predictive ability in a class of generalised linear models. A predictive least quasi-deviance criterion is proposed to measure the predictive ability of a model. This criterion is obtained by applying the idea of the predictive minimum description length principle and the theory of quasi-likelihood functions. The resulting predictive quasi-deviance function is an extension of the predictive stochastic complexity of…

复杂抽样设计下双抽样框调查的估计AI 解读

In a dual frame survey, samples are drawn independently from two overlapping frames that are assumed to cover the population of interest. This article considers the case when at least one of the samples is selected by a complex design involving, e.g., multistage sampling. A “pseudo”—maximum likelihood estimator of a population total or a mean for such dual frame surveys is proposed. An advantage of the proposed estimator is that the same weights are used for all the…

利用仅含方位角的跟踪数据进行路径样条估计AI 解读

In many applications, bearings are measured to a moving object with the goal of estimating the object's course of movement. If movement is appropriately modeled as a smooth deterministic curve in the plane, then a cubic spline is a reasonable representation of the curve. Maximum likelihood estimators are presented for parameters of regression splines, assuming that observation errors follow a Von Mises distribution. Location estimates are obtainable even when data are…

矩阵对数协方差模型AI 解读

A flexible method is introduced to model the structure of a covariance matrix C and study the dependence of the covariances on explanatory variables by observing that for any real symmetric matrix A, the matrix exponential transformation, C = exp (A), is a positive definite matrix. Because there is no constraint on the possible values of the upper triangular elements on A, any possible structure of interest can be imposed on them. The method presented here is not intended to…

置换数据的似然推断及其基因调控应用AI 解读

Given that all the cells of an individual have the same genetic information stored in their DNA, how can cells be as different as those of the retina and heart? Nature solves this problem through gene regulation, which often involves the binding of regulatory proteins to regulatory sites. These sites are short subsequences of 10 to 20 DNA base pairs whose pattern may be multinomially modeled. These sites usually occur “upstream” of the genes they regulate in a segment of a…

中位数回归模型的拟似然AI 解读

This article proposes quasi-likelihood equations for median regression models. The quasi-likelihood can be used for dependent observations such as repeated measurements or time series data. To construct a quasi-likelihood equation, we need to specify the relation between the median and the dispersion and also specify the dependency of the observations. If a monotone transformation of the original observation has a Laplace distribution, then the quasi-likelihood is the exact…

利用先验反馈法进行序约束下的最大似然估计AI 解读

Algorithms for deriving isotonic regression estimators in order-restricted linear models and more generally restricted maximum likelihood estimators are usually quite dependent on the particular problem considered. We propose here an optimization method based on a sequence of formal Bayes estimates whose variances converge to zero. This method, akin to simulated annealing, can be applied “universally”; that is, as long as these Bayes estimators can be derived by exact…

仅方位跟踪数据的轨迹样条估计AI 解读

In many applications, bearings are measured to a moving object with the goal of estimating the object's course of movement. If movement is appropriately modeled as a smooth deterministic curve in the plane, then a cubic spline is a reasonable representation of the curve. Maximum likelihood estimators are presented for parameters of regression splines, assuming that observation errors follow a Von Mises distribution. Location estimates are obtainable even when data are…

置换数据的似然推断及其基因调控应用AI 解读

Given that all the cells of an individual have the same genetic information stored in their DNA, how can cells be as different as those of the retina and heart? Nature solves this problem through gene regulation, which often involves the binding of regulatory proteins to regulatory sites. These sites are short subsequences of 10 to 20 DNA base pairs whose pattern may be multinomially modeled. These sites usually occur “upstream” of the genes they regulate in a segment of a…

逻辑回归：自学教程AI 解读

to Logistic Regression.- Important Special Cases of the Logistic Model.- Computing the Odds Ratio in Logistic Regression.- Maximum Likelihood Techniques: An Overview.- Statistical Inferences Using Maximum Likelihood Techniques.- Modeling Strategy Guidelines.- Modeling Strategy for Assessing Interaction and Confounding.- Additional Modeling Strategy Issues.- Assessing Goodness of Fit for Logistic Regression.- Assessing Discriminatory Performance of a Binary Logistic Model:…

利用先验反馈法进行顺序约束下的极大似然估计AI 解读

Algorithms for deriving isotonic regression estimators in order-restricted linear models and more generally restricted maximum likelihood estimators are usually quite dependent on the particular problem considered. We propose here an optimization method based on a sequence of formal Bayes estimates whose variances converge to zero. This method, akin to simulated annealing, can be applied “universally”; that is, as long as these Bayes estimators can be derived by exact…

左删失持续时间模型中半参数效率界的实现AI 解读

Consider the estimation of unemployment duration when the statistician samples individuals from the pool of unemployed persons and later interviews them and asks how long they had been unmployed. This incurs the problem of left-censoring; ignoring left-censoring overestimates the mean duration since longer spells tend to be observed more frequently than shorter ones. Lancaster (1979) gives a simple and convenient solution to the problem by introducing a conditional maximum…

单位圆上或附近根的 MA(1) 过程极大似然估计AI 解读

This paper considers maximum likelihood estimation for the moving average parameter θ in an MA(1) model when θ is equal to or close to 1. A derivation of the limit distribution of the estimate θ LM , defined as the largest of the local maximizers of the likelihood, is given here for the first time. The theory presented covers, in a unified way, cases where the true parameter is strictly inside the unit circle as well as the noninvertible case where it is on the unit circle.…