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剖面似然的调整AI 解读

Conditional and marginal likelihoods constructed from parameter-dependent functions of the data have an additional parameter dependence that changes with the choice of supporting metric for the corresponding densities. We consider constructing marginal and conditional likelihoods by using densities expressed in terms of an instrinsic choice of support measure, based on either Euclidean metric or the constant information metric. Barndorff-Nielsen's (1983) approximation to the…

凸到达率的最大似然估计AI 解读

It is commonly believed that failures of a repairable system follow a time dependent Poisson process with ‘bathtub-shaped’ arrival rate. A natural problem then is maximum likelihood estimation of arrival rate subject to the constraint that it be convex. This paper employs theoretical considerations to reduce that task to a finite dimensional nonlinear programming problem and completes the solution by computer. The resulting estimates are interesting graphical presentations…

多市场固定价格模型的估计：伪最大似然方法的应用AI 解读

The past decade has seen the econometric implementation of macroeconomic multimarket fix-price models for a number of European countries. The procedure in use, the full information maximum likelihood method, unfortunately becomes very cumbersome and seems out of reach when additional features are incorporated in the model (disaggregation into micro markets, opinion surveys ...). One purpose of the present work is to prove the fruitfulness of the following estimation…

含辅助统计量模型中的等变估计AI 解读

This paper reformulates a result of Hora and Buehler on best equivariant estimators to treat a model admitting an ancillary statistic. The approach itself was established by Pitman, Girshick and Savage and Kiefer, and expanded by Zidek. The model considered in this paper is assumed to be generated as an orbit under a group acting on the parameter space. The general result obtained here is applied to a model in the Nile problem, a model with a known variation coefficient, a…

正态均值估计：损失的频率学派估计AI 解读

In estimation of a $p$-variate normal mean with identity covariance matrix, Stein-type estimators can offer significant gains over the $\operatorname{mle}$ in terms of risk with respect to sum of squares error loss. Their maximum risk is still equal to $p$, however, which will typically be their "reported loss." In this paper we consider use of data-dependent "loss estimators." Two conditions that are attractive for such a loss estimator are that it be an improved loss…

随机规划中统计估计量的渐近性质AI 解读

The aim of this article is to investigate the asymptotic behaviour of estimators of the optimal value and optimal solutions of a stochastic program. These estimators are closely related to the $M$-estimators introduced by Huber (1964). The parameter set of feasible solutions is supposed to be defined by a number of equality and inequality constraints. It will be shown that in the presence of inequality constraints the estimators are not asymptotically normal in general.…

利用独立性结构改进列联表概率估计AI 解读

Estimation of the cell probabilities in a two-way contingency table is considered when it is plausible that the table might have an independence structure relating to the two traits. In a classical nonparametric setup, the unrestricted maximum likelihood estimators of the cell probabilities are the corresponding sample proportions; under the assumption of independence, the restricted estimators are the product of the respective row and column sample proportions. The latter…

随机序约束下的多元分布估计AI 解读

Let F and G be the cdf's of two p-dimensional multivariate distributions, such that F is stochastically larger than G. A straightforward derivation is given of the generalized maximum likelihood estimators of F and G, based on random samples from each population. An algorithmic approach to computing these estimators is described and motivating numerical examples are discussed. The special case when F and G correspond to multivariate ordinal contingency tables is also…

含随机效应与 AR(1) 误差的纵向数据模型AI 解读

For longitudinal data on several individuals, linear models that contain both random effects across individuals and autocorrelation in the within-individual errors are studied. A score test for autocorrelation in the within-individual errors for the “conditional independence” random effects model is first developed. An explicit maximum likelihood estimation procedure using the scoring method for the model with random effects and (autoregressive) AR(1) errors is then derived.…

利用独立结构改进列联表概率估计AI 解读

Estimation of the cell probabilities in a two-way contingency table is considered when it is plausible that the table might have an independence structure relating to the two traits. In a classical nonparametric setup, the unrestricted maximum likelihood estimators of the cell probabilities are the corresponding sample proportions; under the assumption of independence, the restricted estimators are the product of the respective row and column sample proportions. The latter…

形状数据的统计分析AI 解读

The paper deals with the statistical shape analysis of landmark data. Bookstein (1986) introduced a plausible model and obtained a useful normal approximation for three landmarks. We use exact distribution theory and a normal approximation to consider maximum likelihood estimation. The Fisher information matrix for the normal approximation is given and we consider the hypothesis of shape change. Using these results, we analyse a practical example based on digitized shapes.…

一般随机序约束下生存函数的非参数极大似然估计及其对偶AI 解读

This paper discusses estimation of survival functions under an arbitrary partial stochastic ordering of the underlying populations. This technique is especially useful when data are not easily acquired from one or more of the populations, but data from the other populations are available. Estimation of the ordered survival functions entails use of a Fenchel duality theorem that results in an algorithm to identify and resolve violations of the underlying ordering. The…

自相关误差回归模型的大样本推断AI 解读

Based on intermittent observations from several independent regression models with autocorrelated errors, we derive tests of homogeneity, and the maximum likelihood estimate of the common regression parameter. The estimate for the regression parameter is based on aggregated data in the form of sample means at each time point. The limit distributions of the test statistics, and the estimate are considered.

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线性潜变量模型与协方差结构AI 解读

The observed vector is taken as a linear combination of latent (unobservable) vector variables. The loading matrices are functions of a vector parameter; the covariance matrix of one latent vector may depend on another vector parameter and the covariance matrices of the other latent vectors are unrestricted positive definite matrices; and the different latent vectors are uncorrelated. The covariance matrix of the observed vector is a function of the two parameter vectors and…

通胀指数的经验测量：多指标分布滞后方法AI 解读

Zellner (1970) considered an interesting model containing an unobservable variable that was treated as a linear combination of many observable variables. Goldberger (1972a,b, 1974) extended Zellner's model to the case of several dependent variables in the multiple causes model (MCM) and the multiple indicator multiple cause model. This article presents a dynamic extension of the MCM that allows for a geometrically distributed lag in the unobservable variable. The maximum…

混合形式原假设检验的一般框架AI 解读

A general framework for asymptotic tests is proposed. The framework contains as particular cases tests based on various estimation techniques: maximum likelihood methods, pseudo-maximum likelihood (PML) methods and quasi-generalized PML methods, m -estimation methods, moments or generalized moments method, and asymptotic least squares. Moreover the null hypothesis has a general mixed form, including the usual implicit and explicit form.

ARMA 模型中的镜像与不变分布AI 解读

The finite sample distributions of estimators and test statistics in ARMA time series models are generally unknown. For typical sample sizes, the approximations provided by asymptotic distributions are often unsatisfactory. Hence simulation or numerical integration methods are used to investigate the distributions. In practice only a limited part of the parameter space is examined using these methods. Thus any results which allow us to infer properties from one portion of…

非正态性对含结构变化的单一结构方程估计的影响AI 解读

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…

时变协方差下国际 CAPM 的检验AI 解读

Abstract We perform maximum‐likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The ‘betas’ in our CAPM vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change. We let the covariances change over time as a function of macroeconomic data, and an alternative model allows the covariances to follow a…

平稳线性过程极限定理的括号条件AI 解读

This paper aims at improvement in regularity conditions on spectral densities for the limit theorems of the quasi maximum-likelihood estimator and the quasi likelihood-ratio statistic. The approach parallels the Daniels-Huber-Pollard proofs of central limit theorems under nonstandard conditions for i.i.d. situations. The results of the paper enable one to dispense with excessive regularity conditions on the spectral density.

通过非参数混合推广逻辑回归AI 解读

Logistic regression is a common technique for analyzing the effect of a covariate vector x on the number of successes y in m trials when y has a binomial distribution. But at times either the logistic curve does not describe the probability of success p(x) adequately, or m is larger than 1 and y is more variable than the binomial distribution allows. Overdispersion relative to the binomial distribution is possible if the m trials in a set or “litter” are positively…

模型隐含假设对参数推断的影响AI 解读

In choosing a model, there are important considerations beyond the goodness of fit, namely that the subsequent inferences should not rely on questionable assumptions implicit in the model, because otherwise they will be suspect. The two-parameter lognormal distribution provides an example. The symmetry on the log scale leads to the anomaly that relative frequencies of classes in the lower tail can substantially affect inferences on the upper tail. This is contrary to the…

不完全修复系统的可靠性估计AI 解读

This study of statistical inference for repairable systems focuses on the development of estimation procedures for the life distribution F of a new system based on data on system lifetimes between consecutive repairs. The Brown—Proschan imperfect-repair model postulates that at failure the system is repaired to a condition as good as new with probability p, and is otherwise repaired to the condition just prior to failure. In treating issues of statistical inference for this…