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二项分布试验次数N估计量的不稳定行为AI 解读

The problem of estimating the number of trials in a Binomial distribution is known to be particularly difficult in certain circumstances. Both the maximum likelihood and method-of-moments estimators can produce very erratic results, being extremely sensitive to minor fluctuations in the data. But existing asymptotic theory for these estimators does not provide any insight into this peculiar behavior, as the theory typically produces asymptotic Normal distributions with…

二元数据方差分量的极大似然估计AI 解读

We consider a class of probit-normal models for binary data and describe ML and REML estimation of variance components for that class as well as best prediction for the realized values of the random effects. ML estimates are calculated using an EM algorithm; for complicated models EM includes a Gibbs step. The computations are illustrated through two examples.

Laplace 方法在有限混合分布中的应用AI 解读

An exact Bayesian analysis of finite mixture distributions is often computationally infeasible, because the number of terms in the posterior density grows exponentially with the sample size. A modification of the Laplace method is presented and applied to estimation of posterior functions in a Bayesian analysis of finite mixture distributions. The procedure, which involves computations similar to those required in maximum likelihood estimation, is shown to have high…

存在不可忽略无回答的分类数据模型AI 解读

When categorical outcomes are subject to nonignorable nonresponse, log-linear models may be used to adjust for the nonresponse. The models are fitted to the data in an augmented frequency table in which one index corresponds to whether or not the subject is a respondent. The likelihood function is maximized over pseudo-observed cell frequencies with respect to this log-linear model using an EM algorithm. Each E step of the EM algorithm determines the pseudo-observed cell…

非正则回归AI 解读

In an earlier paper, the author has studied asymptotic properties of maximum likelihood estimates for a class of nonregular models in which the range of the distribution depends on unknown parameters. Examples include Weibull and extreme value distributions. The present paper is concerned with the extension of this theory to the case when covariates are present. The proposed solution involves solving a linear programming problem for the regression parameters, followed by…

分组生存数据边际似然的最大化AI 解读

Grouped failure time data occur in studies where subjects are monitored periodically to determine whether failure has occurred in the intervening interval. Here the model under consideration is Cox's (1972, 1975) proportional hazards model, but the commonly used method of partial likelihood needs modification with grouped data due to a potentially large number of ties. This paper demonstrates how the Monte Carlo em algorithm (Wei & Tanner, 1990) can be used on grouped data…

移动平均模型的简单非迭代估计量AI 解读

We examine a simple noniterative estimator for the parameters of a general moving average process. This non-maximum-likelihood estimator derives moving average model parameters directly from the coefficients of an approximating autoregressive model. The estimator is evaluated through asymptotic expansions and by simulation, and is also compared with maximum likelihood and the related estimator of Durbin (1959). The comparison with maximum likelihood by simulation suggests a…

摘要暂缺

工具变量可采纳性检验：若干精细渐近结果AI 解读

This paper is concerned with the refined asymptotic properties of several tests for the admissibility of a subset of (overidentifying) instrumental variables. It derives maximum likelihood and linearized maximum likelihood tests and calculates size corrections to the order 1/T. The local power function of the size-corrected tests is the same to the order 1/T, irrespectively of the form of the test statistic or the limited information estimator used in its computation.…

对称性、回归设计与抽样分布AI 解读

When values of regressors are symmetrically disposed, many M -estimators in a wide class of models have a reflection property, namely, that as the signs of the coefficients on regressors are reversed, their estimators' sampling distribution is reflected about the origin. When the coefficients are zero, sign reversal can have no effect. So in this case, the sampling distribution of regression coefficient estimators is symmetric about zero, the estimators are median unbiased…

GARCH(1,1) 准最大似然估计量的渐近理论AI 解读

This paper investigates the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian GARCH(1,1) model. The rescaled variable (the ratio of the disturbance to the conditional standard deviation) is not required to be Gaussian nor independent over time, in contrast to the current literature. The GARCH process may be integrated (α + β = 1), or even mildly explosive (α + β > 1). A bounded conditional fourth moment of the rescaled variable is sufficient for the…

蒙特卡洛最大似然计算的收敛性AI 解读

SUMMARY Monte Carlo maximum likelihood for normalized families of distributions can be used for an extremely broad class of models. Given any family {hθ: θ ∈ θ} of non-negative integrable functions, maximum likelihood estimates in the family obtained by normalizing the functions to integrate to 1 can be approximated by Monte Carlo simulation, the only regularity conditions being a compactification of the parameter space such that the evaluation maps θ → hθ(x) remain…

ARMA 模型递归估计的稳健方法AI 解读

SUMMARY In this paper we consider the problem of fitting, recursively in time, an autoregressive moving average (ARMA) model to time series data where outliers may be present. Although many recursive estimation procedures are available for fitting ARMA models, they are based on the recursive least squares algorithm which is known to be badly affected by additive outliers. to minimize the impact of these sort of outliers we investigate some robustified versions of the…

区间删失与截断观测下分布函数非参数估计的说明AI 解读

SUMMARY This paper is concerned with the nonparametric estimation of the distribution function F from interval-censored and truncated data as discussed by Turnbull. It is observed that Turnbull's characterization of F̂, the maximum likelihood estimator of F, is not applicable in general when the data are interval censored and truncated. It is shown, however, that Turnbull's characterization can be easily modified to obtain the appropriate characterization of F̂.

广义混合模型中的估计AI 解读

SUMMARY Regression models containing fixed and random effects may have a response variable which is not normally distributed. The generalized mixed model includes both discrete and continuous response variables and is developed here for problems in which the regression variables enter linearly into the model. Best linear unbiased predictor methods are extended to maximum likelihood and residual maximum likelihood estimation procedures. Applications in modelling discrete…

使用加权似然 Bootstrap 的近似贝叶斯推断AI 解读

SUMMARY We introduce the weighted likelihood bootstrap (WLB) as a way to simulate approximately from a posterior distribution. This method is often easy to implement, requiring only an algorithm for calculating the maximum likelihood estimator, such as iteratively reweighted least squares. In the generic weighting scheme, the WLB is first order correct under quite general conditions. Inaccuracies can be removed by using the WLB as a source of samples in the…

误差修正模型中协整系数最大似然估计量的若干精确分布理论AI 解读

The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of integer order. The maximum likelihood estimator of the coefficients in a particular triangular system representation has matrix t-distribution tails with finite integer moments to order…

一种计算上可行的面板数据模拟估计量AI 解读

The author develops a practical extension of D. McFadden's method of simulated moments estimator for limited dependent variable models to the panel data case. The method is based on factorization of the method of simulated moments first order condition into transition probabilities, along with development of an accurate new method for simulating transition probabilities. Monte Carlo tests indicate that this method of simulated moments estimator performs quite well relative…

利用新古典消费者选择理论从购买数据构建市场图谱AI 解读

This article presents a new model for estimating the spatial representation of objects and preference vectors from actual choice behavior of individuals or households. It is based on neoclassical economic theory of consumer choice. The model integrates both decisions of which good(s) to buy and the quantity of purchase. Overall preference is decomposed into price effects and intrinsic preference for the good. A maximum likelihood method for estimating the model parameters is…

使用目标区间模型对欧洲货币体系汇率进行单变量分析AI 解读

Abstract The models in the literature on exchange‐rate target zones imply a non‐linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments…

通过条件化近似消除干扰参数AI 解读

The general problem of inference about a scalar parameter of interest θ in the presence of a nuisance parameter λ using conditional inference is considered.xml . A condition is given under which inference based on the conditional distribution of θ^, the maximum likelihood estimate of θ, given λ^o, the maximum likelihood estimate of λ for fixed θ = θ0, is optimal, in a certain sense. When this condition is not satisfied, it is shown that inference should be based on the…

指数族的稳健预测分布AI 解读

The bootstrap predictive distribution considered by Harris (1989) is modified by replacing the maximum likelihood estimator of the unknown parameter by its minimum Hellinger distance estimator. The predictive distribution thus obtained is asymptotically superior to the corresponding estimative distribution in terms of the average Kullback-Leibler divergence, when the true distribution is in the natural exponential family. Simulation results are provided for the binomial and…

循环协方差结构下组内相关系数的估计AI 解读

The maximum likelihood estimates of the parent-sib interclass correlation and other parameters are obtained, when the between sibs correlation matrix has a circular structure. The problem of testing hypotheses about interclass correlation is also considered.

异方差回归模型中非正则似然函数的札记AI 解读

The existence of maximum likelihood estimates for a class of heteroscedastic regression models is considered. For a given dispersion function we show that, under a weak condition, the likelihood is singular at points corresponding to nonreplicated observations, causing unrestricted maximum likelihood estimation to break down, whilst for an alternative class of dispersion functions we obtain a much stronger linear independence condition for the likelihood to be unbounded.