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加权 L² 分位数距离估计量的渐近性质AI 解读

The asymptotic properties of a family of minimum quantile function distance estimators are considered. These procedures take as the parameter estimates that vector which minimizes a weighted $L^2$ distance between the empirical quantile function and an assumed parametric family of quantile functions. Regularity conditions needed for these estimators to be consistent and asymptotically normal are presented. For single parameter families of distributions, the optimal form of…

独立非同分布数据模型中的稳健估计AI 解读

This paper concerns robust estimation of the parameter $\theta$ which indexes a parametric model for independent non-identically distributed data. For reasonable choices of contamination neighborhood and of what is to be estimated when the parametric model does not hold, we characterize asymptotically minimax robust estimates of $\theta$. When applied to the normal regression model, the theory yields recipes for the influence curves of optimal robust regression and scale…

区组设计中相对于最佳处理的同时推断AI 解读

In many practical situations, only inference concerning the unknown best treatment and comparisons of the individual treatments with respect to the best treatment are of primary interest. We give an explicit formulation of this problem in the framework of randomized complete block designs. A procedure based on sample means and two procedures based on signed ranks are proposed. It is seen that, for the problem considered, these procedures have a substantial advantage over…

独立同分布误差线性模型的经验分位数函数AI 解读

The regression quantile statistics of Koenker and Bassett (1978) are employed to construct an estimate of the error quantile function in linear models with iid errors. Some finite sample properties and the asymptotic behavior of the proposed estimator are derived. Comparisons with procedures based on residuals are made. The stackloss data of Brownlee (1965) is reanalyzed to illustrate the technique

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单因子多项 Probit 模型的高效数值求积方法AI 解读

A PROBLEM OF ESTIMATION that has long confronted many economists is the difficulty of estimating the parameters of equations with limited dependent variables on cross-section time-series (i.e., panel) data. While there are widely available packaged computer programs for estimating either (a) cross-section probit and Tobit models or (b) simple permanent-transitory, random-effects panel models with continuous dependent variables, there are no available computationally feasible…

两阶段最小绝对离差估计量AI 解读

In this paper the method of least absolute deviations is applied to the estimation of the parameters of a structural equation in the simultaneous equations model. A class of estimators called two stage least absolute deviations estimators is defined, their asymptotic properties are derived, and the problem of finding the optimal member of the class is considered. IN THIS PAPER WE APPLY the method of least absolute deviations to the estimation of the parameters of a…

结构特征价格模型的估计AI 解读

MANY COMMODITIES can be viewed as bundles of individual attributes for which no explicit markets exist. It is often of interest to estimate structural demand and supply functions for these attributes, but the absence of directly observable attribute prices poses a problem for such estimation. In an influential paper published several years ago, Rosen [3] proposed an estimation procedure to surmount this problem. This procedure has since been used in a number of applications…

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Maximum likelihood estimation of the parameters of the binary logistic regression model for pr(H|x) is discussed with separate discussion of sampling from (i) the conditional distribution of H given x, (ii) the joint distribution of H and x, and (iii) the conditional distribution of x given H. Difficulties associated with continuous x in the latter sampling scheme are discussed. To avoid these, penalized maximum likelihood estimates are introduced, which give estimates of…

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多元 Probit 模型中的依赖性检验AI 解读

A multivariate probit model is considered and the Lagrange multiplier or score statistic for testing independence is derived. The limiting distribution of the statistic takes a simple form under the null hypothesis and for local alternatives. The statistic is a natural generalization of Pearson's chi-squared for a 2 × 2 table. An example is given.

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具有多元随机效应协方差结构的多元重复测量与增长曲线模型AI 解读

The analysis of multiple-response, repeated-measurement or growth curve models with a multivariate random-effects covariance structure for individuals is considered. Results on estimation, hypothesis testing, and simultaneous confidence bounds for the parameters of the generalized linear model of Potthoff and Roy (1964) are derived for the multiple-response repeated-measurements model under the multivariate random-effects covariance structure. Two numerical examples are…

指数分布分位数的估计AI 解读

We consider the problem of estimating a quantile ξ + bσ of an exponential distribution on the basis of a random sample of size n ≥ 2. Here ξ and σ are unknown location and scale parameters and b is a given constant. For quadratic loss, it is established that the best equivariant estimator is inadmissible if 0 ≤ b < n-1 or b > 1 + n 1. For b > 1 + n 1 the estimator elsewhere, provides a noticeable improvement over δ0.

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随机完全区组设计中处理差异的渐近分布无关同时置信域AI 解读

Summary For a randomized complete block design with additive block effects, an asymptotically distribution-free simultaneous confidence region of pairwise treatment differences is presented. The corresponding confidence bound has an explicit form and is easily obtained. Asymptotic relative efficiency comparisons with other known confidence regions are made to show the advantage of the proposed procedure. The case of treatment against control is also discussed.

面板数据的多元回归模型AI 解读

Under stationarity, the heterogeneous stoahastic processes are the non-ergodic ones. We show that if a distributed lag is of finite order, then its coefficients are unconditional means of the underlying random coefficients. This result is applied to linear transformations of the process. The estimation framework is a multivariate wide-sense regression function. The identification analysis requires certain restrictions on the coefficients. The actual regression function is…

The modified form of the Cramér-von Mises statistic is employed for the problem of testing exponentiality with type I censored samples, in the presence of an unknown scale parameter θ. The asymptotic distribution of the Cramér-von Mises statistic is established when θ is estimated by its maximum likelihood estimator θ^⁠. Percentiles of the asymptotic distribution are obtained for various levels of censoring.

对称分布的非参数估计AI 解读

Substantial improvements in the accuracy of nonparametric estimates are achieved when the centre of a symmetric distribution is known. Resultant benefits for confidence bands for the distribution function are extended to confidence intervals for quantiles and also tolerance limits. When the symmetry centre is not known and must be estimated from the sample improvements in accuracy are still possible.

一种新的分布无关分位数估计量AI 解读

A new distribution-free estimator Qp of the pth population quantile is formulated, where Qp is a linear combination of order statistics admitting a jackknife variance estimator having excellent properties. The small sample efficiency of Qp is studied under a variety of light and heavy-tailed symmetric and asymmetric distributions. For the distributions and values of p studied, Qp is generally substantially more efficient than the traditional estimator based on one or two…

Box–Cox 变换在二元响应模型中的应用AI 解读

The power transformation suggested by Box & Cox (1964) is applied to the odds ratio to generalize the logistic model and to parameterize a certain type of lack of fit. Transformation of the design variable within the context of the dose-response problem is also considered.

广义 Behrens–Fisher 问题的 Mood 中位数检验修正AI 解读

A modification of Mood's median test is described which allows one to test for differences between two medians without making any assumptions on the shapes of the underlying populations. The proposed procedure is exactly distribution-free when the populations have the same shape and is asymptotically distribution-free when they do not. It is the retention of the exact distribution-free property when the populations have the same shape which distinguishes the proposed…

多变量 probit 模型中的依赖性检验AI 解读

A multivariate probit model is considered and the Lagrange multiplier or score statistic for testing independence is derived. The limiting distribution of the statistic takes a simple form under the null hypothesis and for local alternatives. The statistic is a natural generalization of Pearson's chi-squared for a 2 × 2 table. An example is given.