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估计函数的窗口子抽样及其在回归模型中的应用AI 解读

We propose a subsampling method for estimating the asymptotic standard error of a statistic β n that is the solution to an estimating equation 1/n Σn j=1 Uj(Y j Xj, β) = 0 where the data Yj may be temporally or spatially correlated and the estimating function may depend on covariates Xj . A key statistic that we consider in detail is a generalized linear model regression coefficient computed under the assumption of independence. The availability of a consistent variance…

二元失效时间数据的模型选择与半参数推断AI 解读

We propose model selection procedures for bivariate survival models for censored data generated by the Archimedean copula family. In route to constructing the selection methodology, we develop estimates of some time-dependent association measures, including estimates of the local and global Kendall's tau, local odds ratio, and other measures defined throughout the literature. We propose a goodness-of-fit-based model selection methodology as well as a graphical approach. We…

稀有事件生存数据的一类加权对数秩检验AI 解读

In many epidemiological and medical follow-up studies, a majority of study subjects do not experience the event of interest during the follow-up period. An important example is the ongoing prostate, lung, colorectal, and ovarian cancer Screening trial of the National Cancer Institute. In such a situation, the widely used Gp family of weighted log-rank statistics essentially reduces to the special case of the (unweighted) log-rank statistics. We propose a simple modification…

配电规模经济的半参数分析AI 解读

We estimate the costs of distributing electricity using data on municipal electric utilities in Ontario, Canada for the period 1993-5. The data reveal substantial evidence of increasing returns to scale with minimum efficient scale being achieved by firms with about 20,000 customers. Larger firms exhibit constant or decreasing returns. Utilities which deliver additional services (such as water|sewage), have significantly lower costs, indicating the presence of economies of…

半参数偏倚抽样模型中最大似然估计的大样本理论AI 解读

Vardi [Ann.Statist.13 178-203 (1985)] introduced an $s$-sample biased sampling model with known selection weight functions, gave a condition under which the common underlying probability distribution $G$ is uniquely estimable and developed simple procedure for computing the nonparametric maximum likelihood estimator (NPMLE) $\mathbb{G}_n$ of $G$. Gill, Vardi and Wellner thoroughly described the large sample properties of Vardi’s NPMLE, giving results on uniform consistency,…

样本极值的局部似然平滑AI 解读

Summary Trends in sample extremes are of interest in many contexts, an example being environmental statistics. Parametric models are often used to model trends in such data, but they may not be suitable for exploratory data analysis. This paper outlines a semiparametric approach to smoothing sample extremes, based on local polynomial fitting of the generalized extreme value distribution and related models. The uncertainty of fits is assessed by using resampling methods. The…

选择 Bootstrap 重复次数的三步法AI 解读

This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, confidence regions, hypothesis tests, p-values, and bias correction. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the percentage deviation of the bootstrap standard error estimate, confidence interval length, test's critical value, test's…

超高频数据的计量经济学AI 解读

A complete transactions record is defined to be ultra-high frequency data. The transaction arrival times and associated characteristics can be analyzed by marked point processes. The ACD model developed by Engle and Russell (1998) is then applied to IBM transactions data to develop semi-parametric hazard estimates and measures of conditional variances. Both returns and variances are negatively influenced by surprisingly long durations as suggested by asymmetric information…

降低半参数模型对滋扰参数的敏感性：拟得分方法AI 解读

This paper proposes a semiparametric extension of the projected score method of Waterman & Lindsay (1996) for the elimination of nuisance parameters. The procedure addresses cases where only the mean and the variance of the response variable are specified and where the mean function involves both parameters of interest and nuisance parameters. Important applications of the semiparametric model include quasilikelihood models for matched designs and for measurement error…

复发事件时间数据的条件回归分析AI 解读

Recurrence time data can be regarded as a specific type of correlated survival data in which recurrent event times of a subject are stochastically ordered. Given the ordinal nature of recurrence times, this article focuses on conditional regression analysis. A semiparametric hazards model, including the structural and episode-specific parameters, is proposed for recurrence time data. In this model the order of episodes serves as the stratification variable. Estimation of the…

利用半参数无应答模型调整不可忽略的随访退出AI 解读

Consider a study whose design calls for the study subjects to be followed from enrollment (time t = 0) to time t = T, at which point a primary endpoint of interest Y is to be measured. The design of the study also calls for measurements on a vector V t) of covariates to be made at one or more times t during the interval [0, T). We are interested in making inferences about the marginal mean μ0 of Y when some subjects drop out of the study at random times Q prior to the common…

摘要暂缺

复发事件时间数据的条件回归分析AI 解读

Recurrence time data can be regarded as a specific type of correlated survival data in which recurrent event times of a subject are stochastically ordered. Given the ordinal nature of recurrence times, this article focuses on conditional regression analysis. A semiparametric hazards model, including the structural and episode-specific parameters, is proposed for recurrence time data. In this model the order of episodes serves as the stratification variable. Estimation of the…

固定效应动态面板模型的初始条件有多大信息量？AI 解读

I consider estimation of the autoregressive panel model with fixed effects yit=ci+βyi,t−1+εit. I investigate the estimation method developed by Blundell and Bond (1998), which makes use of the stationarity of the initial levels. I do it by numerically comparing the semiparametric information bounds for the case that incorporates the stationarity of the initial condition and for the case that does not. It is found that the efficiency gain can be substantial.

利用 Fourier 表示进行半参数回归的贝叶斯推断AI 解读

Summary This paper presents the Bayesian analysis of a semiparametric regression model that consists of parametric and nonparametric components. The nonparametric component is represented with a Fourier series where the Fourier coefficients are assumed a priori to have zero means and to decay to 0 in probability at either algebraic or geometric rates. The rate of decay controls the smoothness of the response function. The posterior analysis automatically selects the amount…

用变换模型分析竞争风险数据AI 解读

Summary We present a flexible class of marginal models for the cumulative incidence function. The semiparametric transformation model is utilized in a decomposition for the marginal failure probabilities which extends previous work on Farewell's cure model. Novel estimation, inference and prediction procedures are developed, with large sample properties derived from the theory of martingales and U-statistics. A small simulation study demonstrates that the methods are…

GARCH 模型中基于最大似然的估计量效率比较AI 解读

In this paper, we investigate the loss of asymptotic efficiency of semiparametric and quasi-maximum likelihood estimators relative to maximum likelihood estimators in models with Generalized Autoregressive Conditional Heteroscedasticity (GARCH). For a general time-varying location-scale model, the factors that contribute to differences in efficiency among the estimators can be divided in two categories. One pertains to the parametric specifications of the conditional mean…

求职理论隐含风险函数形状不等式约束下的半参数持续期模型推断AI 解读

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These…

求职理论所隐含风险率形状不等式约束下的半参数持续期模型推断AI 解读

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These…

部分线性可加 Cox 模型的有效估计AI 解读

The partly linear additive Cox model is an extension of the (linear) Cox model and allows flexible modeling of covariate effects semiparametrically. We study asymptotic properties of the maximum partial likelihood estimator of this model with right-censored data using polynomial splines. We show that, with a range of choices of the smoothing parameter (the number of spline basis functions) required for estimation of the nonparametric components, the estimator of the…

半参数部分线性测量误差模型的估计AI 解读

We consider the partially linear model relating a response $Y$ to predictors ($X, T$) with mean function $X^{\top}\beta + g(T)$ when the $X$’s are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis leads to biased estimates of both the parameter $\beta$ and the function $g(\cdot)$ when measurement error is ignored. We derive a simple modification of their estimator which is a semiparametric version of the usual parametric…

纵向数据的半参数加性回归模型AI 解读

In previous work we have studied a nonparametric additive time-varying regression model for longitudinal data recorded at irregular intervals. The model allows the influence of each covariate to vary separately with time. For small datasets, however, only a limited number of covariates may be handled in this way. In this paper, we introduced a semiparametric regression model for longitudinal data. The influence of some of the covariates varies nonparametrically with time…

分位数比较函数的半参数推断及其在受试者工作特征曲线中的应用AI 解读

In studies to compare two samples, more information may be available on one treatment than the other. When one population is modelled parametrically and the other nonparmetrically, we study large sample properties of a semiparametric sample quantile comparison function and show that it can have substantially smaller asymptotic variance than its nonparametric counterpart, especially near the boundaries. We describe applications to both two-sample tests and receiver operating…

随机分布及相关函数的贝叶斯非参数推断AI 解读

Summary In recent years, Bayesian nonparametric inference, both theoretical and computational, has witnessed considerable advances. However, these advances have not received a full critical and comparative analysis of their scope, impact and limitations in statistical modelling; many aspects of the theory and methods remain a mystery to practitioners and many open questions remain. In this paper, we discuss and illustrate the rich modelling and analytic possibilities that…