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两样本问题的有效且自适应的非参数检验AI 解读

The notion of efficient test for a Euclidean parameter in a semiparametric model was introduced by Stein [Proc. Third Berkeley Symp. Math. Statist. Probab. 1 (1956) 187-195]. Such tests are locally most powerful for a wide class of infinite-dimensional nuisance parameters. The first formal application of this notion to a suitably parametrized two-sample problem was provided by Hájek [Ann. Math. Statist. 33 (1962) 1124-1147]. However, this and subsequent solutions appear to…

风险价值的半参数估计AI 解读

Value at Risk (VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition,…

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通过随机外显率确定遗传分布AI 解读

The aim of linkage analysis is to map the position of a gene contributing to an inheritable disease. The statistical model contains the disease allele frequency and penetrance parameters. Here I investigate the inheritance distribution, that is, the conditional distribution of the inheritance vector given phenotypes at the disease locus. Based on this, the likelihood and likelihood score function of Whittemore can be defined. As a result, a general semiparametric methodology…

从生存数据估计治愈率AI 解读

This article considers the utility of the bounded cumulative hazard model in cure rate estimation, which is an appealing alternative to the widely used two-component mixture model. This approach has the following distinct advantages: (1) It allows for a natural way to extend the proportional hazards regression model, leading to a wide class of extended hazard regression models. (2) In some settings the model can be interpreted in terms of biologically meaningful parameters.…

集合 VC 类的一个等价性结果AI 解读

Let and Θ be infinite sets and let × Θ. We show that the class of projections of A onto is a Vapnik–Chervonenkis ( VC ) class of sets if and only if the class of projections of A onto Θ is a VC class. We illustrate the result in the context of semiparametric estimation of a transformation model. In this application, the VC property is hard to establish for the projection class of interest but easy to establish for the other projection class.

异方差样本选择模型的半参数估计AI 解读

This paper considers estimation of a sample selection model subject to conditional heteroskedasticity in both the selection and outcome equations. The form of heteroskedasticity allowed for in each equation is multiplicative, and each of the two scale functions is left unspecified. A three-step estimator for the parameters of interest in the outcome equation is proposed. The first two stages involve nonparametric estimation of the “propensity score” and the conditional…

因变量可能受限的可分模型半参数估计AI 解读

In this paper we introduce a general method for estimating semiparametrically the different components in separable models. The family of separable models is quite popular in economic research because this structure offers clear interpretation, has straightforward economic consequences, and is often justified by theory. This family is also of statistical interest because it allows us to estimate high-dimensional complexity semiparametrically without running into the curse of…

平稳过程谱参数最小对比估计量的高阶渐近理论AI 解读

Let g(λ) be the spectral density of a stationary process and let fθ(λ), θ ∈ Θ, be a fitted spectral model for g(λ). A minimum contrast estimator of θ is defined that minimizes a distance between , where is a nonparametric spectral density estimator based on n observations. It is known that is asymptotically Gaussian efficient if g(λ) = fθ(λ). Because there are infinitely many candidates for the distance function , this paper discusses higher order asymptotic theory for in…

基于广义经验似然的矩条件模型选择准则AI 解读

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543–564; and Andrews and Lu, 2001, Journal of Econometrics 101, 123–164) leads to an alternative interpretation of the MSCs that emphasizes the common information-theoretic rationale underlying model selection procedures for both…

使用广义结构均值模型进行因果推断AI 解读

Summary We estimate cause–effect relationships in empirical research where exposures are not completely controlled, as in observational studies or with patient non-compliance and self-selected treatment switches in randomized clinical trials. Additive and multiplicative structural mean models have proved useful for this but suffer from the classical limitations of linear and log-linear models when accommodating binary data. We propose the generalized structural mean model to…

含未知函数的条件矩限制模型的有效估计AI 解读

(iii) the estimator for the asymptotic covariance of the 0 estimator is consistent and easy to compute; and (iv) the optimally weighted minimum distance estimator of 0 attains the semiparametric efficiency bound. We illustrate our results with two examples: a partially linear regression with an endogenous nonparametric part, and a partially additive IV regression with a link function.

加速失效时间模型下的个体生存函数估计AI 解读

We use the semiparametric accelerated failure time model to predict the survival function and its related quantities for future subjects with a given set of covariates. We derive the large‐sample distribution for the subject‐specific cumulative hazard function estimate. We then propose a simple resampling technique for constructing pointwise confidence intervals and simultaneous bands for the corresponding survival function and its quantile function over a properly selected…

利用逻辑回归程序估计 ROC 曲线AI 解读

Estimation of a receiver operating characteristic, ROC, curve is usually based either on a fully parametric model such as a normal model or on a fully nonparametric model. In this paper, we explore a semiparametric approach by assuming a density ratio model for disease and disease‐free densities. This model has a natural connection with the logistic regression model. The proposed semiparametric approach is more robust than a fully parametric approach and is more efficient…

多元分数协整的半参数估计AI 解读

We consider the semiparametric estimation of fractional cointegration in a multivariate process of cointegrating rank r > 0. We estimate the cointegrating relationships by the eigenvectors corresponding to the r smallest eigenvalues of an averaged periodogram matrix of tapered, differenced observations. The number of frequencies m used in the periodogram average is held fixed as the sample size grows. We first show that the averaged periodogram matrix converges in…

终止事件发生时的复发事件频次AI 解读

Recurrent events arise in many longitudinal medical studies where time to a terminal event or failure is the primary endpoint. With incomplete follow-up data, the analysis of recurrent events is a challenge owing to their association with the failure. One specific quantity of interest rarely addressed in the statistical literature is the recurrence frequency at the failure time; an example is hospitalization frequency, which is often used as a rough measure of lifetime…

目标函数不光滑时半参数模型的估计AI 解读

We provide easy to verify sufficient conditions for the consistency and asymptotic normality of a class of semiparametric optimization estimators where the criterion function does not obey standard smoothness conditions and simultaneously depends on some nonparametric estimators that can themselves depend on the parameters to be estimated. Our results extend existing theories such as those of Pakes and Pollard (1989), Andrews (1994a), and Newey (1994). We also show that…

半参数模型：广义自洽方法AI 解读

Summary In semiparametric models, the dimension d of the maximum likelihood problem is potentially unlimited. Conventional estimation methods generally behave like O(d3). A new O(d) estimation procedure is proposed for a large class of semiparametric models. Potentially unlimited dimension is handled in a numerically efficient way through a Nelson–Aalen-like estimator. Discussion of the new method is put in the context of recently developed minorization–maximization…

高度分层研究中协变量缺失的似然方法AI 解读

Summary The paper considers canonical link generalized linear models with stratum-specific nuisance intercepts and missing covariate data. This family includes the conditional logistic regression model. Existing methods for this problem, each of which uses a conditioning argu- ment to eliminate the nuisance intercept, model either the missing covariate data or the missingness process. The paper compares these methods under a common likelihood framework. The semiparametric…

蒙特卡洛积分的统计模型理论AI 解读

Summary The task of estimating an integral by Monte Carlo methods is formulated as a statistical model using simulated observations as data. The difficulty in this exercise is that we ordinarily have at our disposal all of the information required to compute integrals exactly by calculus or numerical integration, but we choose to ignore some of the information for simplicity or computational feasibility. Our proposal is to use a semiparametric statistical model that makes…

长记忆参数半参数 Whittle 估计的 Edgeworth 展开AI 解读

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate and the original untapered one. For the tapered estimate, our higher-order correction…

结果依赖两阶段抽样下半参数回归的大样本理论AI 解读

Outcome-dependent, two-phase sampling designs can dramatically reduce the costs of observational studies by judicious selection of the most informative subjects for purposes of detailed covariate measurement. Here we derive asymptotic information bounds and the form of the efficient score and influence functions for the semiparametric regression models studied by Lawless, Kalbfleisch and Wild (1999) under two-phase sampling designs. We show that the maximum likelihood…

经典估计的 MCMC 方法AI 解读

This paper studies computationally and theoretically attractive estimators called the Laplace type estimators (LTE), which include means and quantiles of Quasi-posterior distributions defined as transformations of general (non-likelihood-based) statistical criterion functions, such as those in GMM, nonlinear IV, empirical likelihood, and minimum distance methods. The approach generates an alternative to classical extremum estimation and also falls outside the parametric…

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多期条件矩限制下最优非线性工具变量的形式AI 解读

We present the form of the optimal instrument in a system of multiperiod conditional moment restrictions in the presence of conditional heteroskedasticity. Using Hansen's (1985, Journal of Econometrics 30, 203–228) and Hansen, Heaton, and Ogaki's (1988, Journal of the American Statistical Association 83, 863–871) work on efficiency bounds for generalized method of moments estimators, we show that this form is an autoregressive recurrence parametrized by a few auxiliary…