Equivalence of prospective and retrospective models in the Bayesian analysis of case-control studies
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病例对照研究贝叶斯分析中前瞻与回顾模型的等价性AI 解读 ↓
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The natural likelihood to use for a case‐control study is a ‘retrospective’ likelihood, i.e. a likelihood based on the probability of exposure given disease status. Prentice & Pyke (1979) showed that, when a logistic regression form is assumed for the probability of disease given exposure, the maximum likelihood estimators and asymptotic covariance matrix of the log odds ratios obtained from the retrospective likelihood are the same as those obtained from the ‘prospective’ likelihood, i.e. that based on probability of disease given exposure. We prove a similar result for the posterior distribution of the log odds ratios in a Bayesian analysis. This means that the Bayesian analysis of case‐control studies may be done using a relatively simple model, the logistic regression model, which treats data as though generated prospectively and which does not involve nuisance parameters for the exposure distribution.
RBF 核高斯过程最大似然估计的精确渐近理论
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The Normalized Maximum Likelihood (NML) codelength, or stochastic complexity, represents a principled criterion for universal coding. While recent coarea-based formulations provided a calculation method for smooth models, this framework collapses for the non-smooth estimators ubiquitous in modern machine learning (e.g., Lasso, Sparse SVMs). In this work, we provide a rigorous framework for computing the NML for regular path-differentiable Lipschitz (PDL) estimators. By…
Hájek 卷积定理的二阶扩展及统计应用
For a class of regular estimators, Hájek, in his celebrated ``Convolution Theorem,'' showed that the asymptotic distribution of a regular estimator is the convolution of the distribution of an efficient estimator and some residual distribution. This result constitutes the foundation of the concept of asymptotic efficiency of regular estimators. In this paper, we provide a second-order version of that classical result. Introducing a class of second-order regular estimators…
适用于多资产的计算高效多元波动率模型
This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties such as identifiability and computational tractability for many assets.A sufficient condition for strict stationarity is derived for the process.Two quasi-maximum likelihood estimation methods are proposed for the new model without and with…
可扩展的 VARMA 模型估计
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高光谱解混的乘性变量误差模型
Estimating endmember spectra and their corresponding abundances from hyperspectral images is a fundamental inverse problem in remote sensing. The standard linear mixing model relies on additive homoscedastic errors, which misspecifies the mean-variance relationship inherent to optical measurements for which the noise intensity might be proportional to the signal magnitude. This leads to confidence intervals with poor coverage. To address these limitations, we propose a…