共查询到20条相似文献,搜索用时 609 毫秒
1.
Jie Li 《统计学通讯:理论与方法》2020,49(22):5613-5626
AbstractIn this paper, we establish the complete convergence and complete integral convergence for arrays of row-wise extended independent random variables under sub-linear expectation space with some conditions. At the same time we extend some complete convergence and complete integral convergence theorems from the classical probability space to the sub-linear expectation space. The results generalize corresponding results obtained by Wu et al. (2017). 相似文献
2.
Steven Cook 《Journal of applied statistics》2006,33(2):233-240
In recent research, Elliott et al. (1996) have shown the use of local-to-unity detrending via generalized least squares (GLS) to substantially increase the power of the Dickey–Fuller (1979) unit root test. In this paper the relationship between the extent of detrending undertaken, determined by the detrending parameter &art1;, and the power of the resulting GLS-based Dickey–Fuller (DF-GLS) test is examined. Using Monte Carlo simulation it is shown that the values of &art1; suggested by Elliott et al. (1996) on the basis of a limiting power function seldom maximize the power of the DF-GLS test for the finite samples encountered in applied research. This result is found to hold for the DF-GLS test including either an intercept or an intercept and a trend term. An empirical examination of the order of integration of the UK household savings ratio illustrates these findings, with the unit root hypothesis rejected using values of &art1; other than that proposed by Elliott et al. (1996). 相似文献
3.
ABSTRACTWe propose an efficient numerical integration-based nonparametric entropy estimator for serial dependence and show that the new entropy estimator has a smaller asymptotic variance than Hong and White’s (2005) sample average-based estimator. This delivers an asymptotically more efficient test for serial dependence. In particular, the uniform kernel gives the smallest asymptotic variance for the numerical integration-based entropy estimator over a class of positive kernel functions. Moreover, the naive bootstrap can be used to obtain accurate inferences for our test, whereas it is not applicable to Hong and White’s (2005) sample averaging approach. A simulation study confirms the merits of our approach. 相似文献
4.
Yougui Wu 《统计学通讯:理论与方法》2020,49(6):1446-1461
AbstractIn diagnostic trials, clustered data are obtained when several subunits of the same patient are observed. Intracluster correlations need to be taken into account when analyzing such clustered data. A nonparametric method has been proposed by Obuchowski (1997) to estimate the Receiver Operating Characteristic curve area (AUC) for such clustered data. However, Obuchowski’s estimator is not efficient as it gives equal weight to all pairwise rankings within and between cluster. In this paper, we propose a more efficient nonparametric AUC estimator with two sets of optimal weights. Simulation results show that the loss of efficiency of Obuchowski’s estimator for a single AUC or the AUC difference can be substantial when there is a moderate intracluster test correlation and the cluster size is large. The efficiency gain of our weighted AUC estimator for a single AUC or the AUC difference is further illustrated using the data from a study of screening tests for neonatal hearing. 相似文献
5.
Cibele Queiroz da-Silva Eduardo G. Martins Vinícius Bonato Sérgio Furtado dos Reis 《统计学通讯:模拟与计算》2013,42(4):816-828
We develop a series of Bayesian statistical models for estimating survival of a neotropic didelphid marsupial, the Brazilian gracile mouse opossum (Gracilinanus microtarsus). These models are based on the Cormack–Jolly–Seber model (Cormack, 1964; Jolly 1965; Seber 1965) with both survival and recapture rates expressed as a function of covariates using a logit link. The proposed models allow taking into account heterogeneity in capture probability caused by the existence of different groups of individuals in the population. The models were applied to two cohorts (Cohort, 2000, 2001) with the first one including 14 and the second one 15 sampling occasions. The best models for each of the cohorts indicate that G. microtarsus is best described as partially semelparous, a condition in which mortality after the first mating is high but graded over time, with a fraction of males surviving for a second breeding season (Boonstra, 2005). 相似文献
6.
AbstractComplete expectation of life of an individual gives an intuitive and interesting perspective on the ageing process and is an important concept in the insurance sector for determination of premium. We propose a new test for testing equality of complete expectations of life of two groups/populations. Power of the new test is calculated through simulations and compared with the power of the tests given by Berger, Boos, and Guess (1988) and Aly (1997). It is observed that the proposed test statistic is more powerful than the competing tests for the cases considered in this paper. A real life illustration is included. 相似文献
7.
Guangyu Mao 《统计学通讯:理论与方法》2020,49(14):3572-3584
AbstractThis paper investigates a class of statistics based on Pearson’s correlation coefficient for testing the mutual independence of a random vector in high dimensions. Two existing statistics, proposed by Schott (2005) and Mao (2014) respectively, are special cases of the class. A generic testing theory for the class of statistics is developed, which clarifies under what conditions the class of statistics can be employed for the testing purpose. By virtue of the theory, three new tests are introduced, and related statistical properties are discussed. To examine our theoretical findings and check the performance of the new tests, simulation studies are applied. The simulation results justify the theoretical findings and show that the newly introduced tests perform well, as long as both the dimension and the sample size of the data are moderately large. 相似文献
8.
Xu Han 《Econometric Reviews》2017,36(6-9):946-969
ABSTRACTWe develop methods to estimate the number of factors when error terms have potentially strong correlations in the cross-sectional dimension. The information criteria proposed by Bai and Ng (2002) require the cross-sectional correlations between the error terms to be weak. Violation of this weak correlation assumption may lead to inconsistent estimates of the number of factors. We establish two data-dependent estimators that are consistent whether the error terms are weakly or strongly correlated in the cross-sectional dimension. To handle potentially strong cross-sectional correlations between the error terms, we use a block structure in which the within-block correlation may either be weak or strong, but the between-block correlation is limited. Our estimators allow imperfect knowledge and a moderate misspecification of the block structure. Monte-Carlo simulation results show that our estimators perform similarly to existing methods for cases in which the conventional weak correlation assumption is satisfied. When the error terms have a strong cross-sectional correlation, our estimators outperform the existing methods. 相似文献
9.
Bruce E. Hansen 《Econometric Reviews》2017,36(6-9):840-852
ABSTRACTMaasoumi (1978) proposed a Stein-like estimator for simultaneous equations and showed that his Stein shrinkage estimator has bounded finite sample risk, unlike the three-stage least square estimator. We revisit his proposal by investigating Stein-like shrinkage in the context of two-stage least square (2SLS) estimation of a structural parameter. Our estimator follows Maasoumi (1978) in taking a weighted average of the 2SLS and ordinary least square estimators, with the weight depending inversely on the Hausman (1978) statistic for exogeneity. Using a local-to-exogenous asymptotic theory, we derive the asymptotic distribution of the Stein estimator and calculate its asymptotic risk. We find that if the number of endogenous variables exceeds 2, then the shrinkage estimator has strictly smaller risk than the 2SLS estimator, extending the classic result of James and Stein (1961). In a simple simulation experiment, we show that the shrinkage estimator has substantially reduced finite sample median squared error relative to the standard 2SLS estimator. 相似文献
10.
AbstractThe idea of transforming one random variate to another with a more convenient density has been developed in the first half of the 20th century. In his thesis, Norman L. Johnson (1917–2004) developed a pioneering system of transformations of the standard normal distribution which gained substantial popularity in the second half of the 20th century and beyond. In Johnson’s 1949 Biometrika paper entitled Systems of frequency curves generated by methods of translation, summarizing that thesis, one of his primary interests was the behavior of the shape of the probability density functions as their parameter values change. Herein, we attempt to further elucidate this behavior through a series of geometric expositions of that transformation process. In these expositions insight is obtained into the behavior of Johnson’s density functions, and their skewness and kurtosis, as they converge to their limiting distributions, a topic which received little attention. 相似文献
11.
Interval estimation of the difference of two independent binomial proportions is an important problem in many applied settings. Newcombe (1998) compared the performance of several existing asymptotic methods, and based on the results obtained, recommended a method known as Wilson's method, a modified version of a method originally proposed for single binomial proportion. In this article, we propose a method based on profile likelihood, where the likelihood is weighted by noninformative Jeffrey' prior. By doing extensive simulations, we find that the proposed method performs well compared to Wilson's method. A SAS/IML program implementing this method is also given with this article. 相似文献
12.
This paper presents a new variable weight method, called the singular value decomposition (SVD) approach, for Kohonen competitive learning (KCL) algorithms based on the concept of Varshavsky et al. [18]. Integrating the weighted fuzzy c-means (FCM) algorithm with KCL, in this paper, we propose a weighted fuzzy KCL (WFKCL) algorithm. The goal of the proposed WFKCL algorithm is to reduce the clustering error rate when data contain some noise variables. Compared with the k-means, FCM and KCL with existing variable-weight methods, the proposed WFKCL algorithm with the proposed SVD's weight method provides a better clustering performance based on the error rate criterion. Furthermore, the complexity of the proposed SVD's approach is less than Pal et al. [17], Wang et al. [19] and Hung et al. [9]. 相似文献
13.
Two-period crossover design is one of the commonly used designs in clinical trials. But, the estimation of treatment effect is complicated by the possible presence of carryover effect. It is known that ignoring the carryover effect when it exists can lead to poor estimates of the treatment effect. The classical approach by Grizzle (1965) consists of two stages. First, a preliminary test is conducted on carryover effect. If the carryover effect is significant, analysis is based only on data from period one; otherwise, analysis is based on data from both periods. A Bayesian approach with improper priors was proposed by Grieve (1985) which uses a mixture of two models: a model with carryover effect and another without. The indeterminacy of the Bayes factor due to the arbitrary constant in the improper prior was addressed by assigning a minimally discriminatory value to the constant. In this article, we present an objective Bayesian estimation approach to the two-period crossover design which is also based on a mixture model, but using the commonly recommended Zellner–Siow g-prior. We provide simulation studies and a real data example and compare the numerical results with Grizzle (1965)’s and Grieve (1985)’s approaches. 相似文献
14.
Extending the bifurcating autoregressive (BAR) process (cf. Cowan and Staudte, 1986) to multi-casting (multi-splitting) data, Hwang and Choi (2009) introduced multi-casting autoregression (MCAR, for short) defined on multi-casting tree structured data. This article is concerned with the case when the MCAR model is partially specified only through conditional mean and variance without directly imposing autoregressive (AR) structure. The resulting class of models will be referred to as P-MCAR (partially specified MCAR). The P-MCAR considerably enlarges the class of multi-casting models including (as special cases) MCAR, random coefficient MCAR, conditionally heteroscedastic multi-casting models and binomial-thinning processes. Moment structures for this broad P-MCAR class are investigated. Least squares (LS) estimation method is discussed and asymptotic relative efficiency (ARE) of the generalized-LS over ordinary-LS is obtained in a closed form. A simulation study is conducted to illustrate results. 相似文献
15.
ABSTRACT This paper reviews and extends the literature on the finite sample behavior of tests for sample selection bias. Monte Carlo results show that, when the “multicollinearity problem” identified by Nawata (1993) is severe, (i) the t-test based on the Heckman–Greene variance estimator can be unreliable, (ii) the Likelihood Ratio test remains powerful, and (iii) nonnormality can be interpreted as severe sample selection bias by Maximum Likelihood methods, leading to negative Wald statistics. We also confirm previous findings (Leung and Yu, 1996) that the standard regression-based t-test (Heckman, 1979) and the asymptotically efficient Lagrange Multiplier test (Melino, 1982), are robust to nonnormality but have very little power. 相似文献
16.
Yuttana Ratibenyakool 《统计学通讯:理论与方法》2020,49(14):3537-3556
17.
ABSTRACTThe K-nearest-neighbor (Knn) method is known to be more suitable in fitting nonparametrically specified curves than the kernel method (with a globally fixed smoothing parameter) when data sets are highly unevenly distributed. In this paper, we propose to estimate a nonparametric regression function subject to a monotonicity restriction using the Knn method. We also propose using a new convergence criterion to measure the closeness between an unconstrained and the (monotone) constrained Knn-estimated curves. This method is an alternative to the monotone kernel methods proposed by Hall and Huang (2001), and Du et al. (2013). We use a bootstrap procedure for testing the validity of the monotone restriction. We apply our method to the “Job Market Matching” data taken from Gan and Li (2016) and find that the unconstrained/constrained Knn estimators work better than kernel estimators for this type of highly unevenly distributed data. 相似文献
18.
In this article, we propose a nonparametric method to test for symmetry in bivariate data. By using the extension of Fisher's exact treatment for 2 × 2 contingency tables proposed by Freeman and Halton (1951), we can test the hypothesis of equal distribution for two samples of integer valued variables. Then, by counting the number of observations belonging to each cell of a symmetric, appropriately built grid, we can produce the two samples of integers required to use this test for equal distribution. The resulting test for symmetry is potentially extendible to higher dimensions. A simulation study is performed to compare with some known tests (Bowker, 1948; Hollander, 1971; and its improvement given in Krampe and Kuhnt, 2007). Our proposal represents a competitive option as a test for symmetry. 相似文献
19.
This article presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005) and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedroni (2001), and Breitung (2005). We study the impact of stable autoregressive roots approaching the unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the performance of the tests and estimators. The data are simulated from three-dimensional individual specific VAR systems with cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic components are considered. 相似文献
20.
We carried out a simulation study based on the methodology of Newcombe (1998) to compare tests for the difference of two binomial proportions by applying different continuity corrections on saddlepoint approximation to tail probabilities. In this article, we proposed a new continuity correction based on the least common multiple of two sample sizes. We evaluated that the best test should have the actual Type I error rates that are, on the whole, closest to α, but not exceeding α, where α is nominal level of significance. 相似文献