共查询到20条相似文献,搜索用时 62 毫秒
1.
The basic model in this paper is an AR(1) model with a structural break in the AR parameter β at an unknown time k0. That is, yt = β1yt ? 1I{t ? k0} + β2yt ? 1I{t > k0} + ?t, t = 1, 2, ???, T, where I{ · } denotes the indicator function. Suppose |β1| < 1, |β2| < 1, and {?t, t ? 1} is a sequence of i.i.d. random variables which are in the domain of attraction of the normal law with zero mean and possibly infinite variance, then the limiting distributions for the least squares estimators of β1 and β2 are studied in the present paper, which extend some results in Chong (2001). 相似文献
2.
Ding-Geng Chen 《统计学通讯:理论与方法》2013,42(18):5380-5391
ABSTRACTThis article investigates the robustness of the shrinkage Bayesian estimator for the relative potency parameter in the combinations of multivariate bioassays proposed in Chen et al. (1999), which incorporated prior information on the model parameters based on Jeffreys’ rules. This investigation is carried out for the families of t-distribution and Cauchy-distribution based on the characteristics of bioassay theory since the t-distribution approaches the normal distribution which is the most commonly used distribution in the applications of bioassay as the degrees of freedom increases and the t-distribution approaches the Cauchy-distribution as the degrees of freedom approaches 1 which is also an important distribution in bioassay. A real data is used to illustrate the application of this investigation. This analysis further supports the application of the shrinkage Bayesian estimator to the theory of bioassay along with the empirical Bayesian estimator. 相似文献
3.
Uchenna Chinedu Nduka 《统计学通讯:模拟与计算》2018,47(1):206-228
This paper considers the estimation of parameters of AR(p) models for time series with t-distribution via EM-based algorithms. The paper develops asymptotic properties for the estimation to show that the estimators are efficient. Also testing theory for the estimators is considered. The robustness of the estimators and various tests to deviations from an assumed model is investigated. The study shows that the algorithms have equal estimation efficiency even if the error distribution is miss-specified or perturbed by outliers. Interestingly, the estimators from these algorithms performed better than that of the Modified Maximum Likelihood (MML) considered in Tiku et al. (2000). 相似文献
4.
Suppose we have k( ? 2) normal populations with a common mean and possibly different variances. The problem of estimation of quantile of the first population is considered with respect to a quadratic loss function. In this paper, we have generalized the inadmissibility results obtained by Kumar and Tripathy (2011) for k = 2 to a general k( ? 2). Moreover, a massive simulation study has been done in order to numerically compare the risk values of various proposed estimators for the cases k = 3 and k = 4 and recommendations are made for the use of estimators under certain situations. 相似文献
5.
The skew t-distribution includes both the skew normal and the normal distributions as special cases. Inference for the skew t-model becomes problematic in these cases because the expected information matrix is singular and the parameter corresponding to the degrees of freedom takes a value at the boundary of its parameter space. In particular, the distributions of the likelihood ratio statistics for testing the null hypotheses of skew normality and normality are not asymptotically \(\chi ^2\). The asymptotic distributions of the likelihood ratio statistics are considered by applying the results of Self and Liang (J Am Stat Assoc 82:605–610, 1987) for boundary-parameter inference in terms of reparameterizations designed to remove the singularity of the information matrix. The Self–Liang asymptotic distributions are mixtures, and it is shown that their accuracy can be improved substantially by correcting the mixing probabilities. Furthermore, although the asymptotic distributions are non-standard, versions of Bartlett correction are developed that afford additional accuracy. Bootstrap procedures for estimating the mixing probabilities and the Bartlett adjustment factors are shown to produce excellent approximations, even for small sample sizes. 相似文献
6.
Let X = (X, Y) be a pair of lifetimes whose dependence structure is described by an Archimedean survival copula, and let X t = [(X ? t, Y ? t) | X > t, Y > t] denotes the corresponding pair of residual lifetimes after time t ≥ 0. Multivariate aging notions, defined by means of stochastic comparisons between X and X t , with t ≥ 0, were studied in Pellerey (2008), who considered pairs of lifetimes having the same marginal distribution. Here, we present the generalizations of his results, considering both stochastic comparisons between X t and X t+s for all t, s ≥ 0 and the case of dependent lifetimes having different distributions. Comparisons between two different pairs of residual lifetimes, at any time t ≥ 0, are discussed as well. 相似文献
7.
《Journal of Statistical Computation and Simulation》2012,82(1-4):341-356
This paper investigates two “non-exact” t-type tests, t( k2) and t(k2), of the individual coefficients of a linear regression model, based on two ordinary ridge estimators. The reported results are built on a simulation study covering 84 different models. For models with large standard errors, the ridge-based t-tests have correct levels with considerable gain in powers over those of the least squares t-test, t(0). For models with small standard errors, t(k1) is found to be liberal and is not safe to use while, t(k2) is found to slightly exceed the nominal level in few cases. When tie two ridge tests art: not winners, the results indicate that they don't loose much against t(0). 相似文献
8.
This article is concerned with the estimating problem of heteroscedastic partially linear errors-in-variables models. We derive the asymptotic normality for estimators of the slope parameter and the nonparametric component in the case of known error variance with stationary $\alpha $ -mixing random errors. Also, when the error variance is unknown, the asymptotic normality for the estimators of the slope parameter and the nonparametric component as well as variance function is considered under independent assumptions. Finite sample behavior of the estimators is investigated via simulations too. 相似文献
9.
ABSTRACTBeth Ashmore reviews More Library Mashups: Exploring New Ways to Deliver Library Data; Michelle DeMars reviews Library Consortia: Models for Collaboration and Sustainability; Sarah Tusa reviews Library Management in Disruptive Times: Skills and Knowledge for an Uncertain Future. 相似文献
10.
《统计学通讯:理论与方法》2013,42(9):1605-1616
ABSTRACT We consider an extended growth curve model with k hierarchical within-individuals design matrices. The model includes the one whose mean structure consists of polynomial growth curves with k different degrees. First we propose certain simple estimators of the mean and covariance parameters which are closely related to the MLE's. Using these estimators we construct simultaneous confidence regions for each or all of k growth curves which is an extension of Fujikoshi.[2] A numerical example with k = 3 is also given. 相似文献
11.
The object of this paper is a Bayesian analysis of the autoregressive model X t ?=?ρX t?1?+?Y t where 0?Y t are independent random variables with an exponential distribution of parameter θ. Our study generalizes some results obtained by Turkmann (1990). Our analysis is based on a more general non-informative prior which allows us to improve the estimators of ρ and θ. 相似文献
12.
M. Qamarul Islam 《统计学通讯:理论与方法》2017,46(17):8521-8543
This paper discusses the problem of statistical inference in multivariate linear regression models when the errors involved are non normally distributed. We consider multivariate t-distribution, a fat-tailed distribution, for the errors as alternative to normal distribution. Such non normality is commonly observed in working with many data sets, e.g., financial data that are usually having excess kurtosis. This distribution has a number of applications in many other areas of research as well. We use modified maximum likelihood estimation method that provides the estimator, called modified maximum likelihood estimator (MMLE), in closed form. These estimators are shown to be unbiased, efficient, and robust as compared to the widely used least square estimators (LSEs). Also, the tests based upon MMLEs are found to be more powerful than the similar tests based upon LSEs. 相似文献
13.
ABSTRACTIn this paper, some of the properties of non parametric estimation of the expectation of g(X) (any function of X), by using a judgment poststratification sample (JPS), have been discussed. A class of estimators (including the standard JPS estimator and a JPS estimator proposed by Frey and Feeman (2012, Comput. Stat. Data An.) is considered. The paper provides mean and variance of the members of this class, and examines their consistency and asymptotic distribution. Specifically, the results are for the estimation of population mean, population variance, and cumulative distribution function. We show that any estimators of the class may be less efficient than simple random sampling (SRS) estimator for small sample sizes. We prove that the relative efficiency of some estimators in the class with respect to balanced ranked set sampling (BRSS) estimator tends to 1 as the sample size goes to infinity. Furthermore, the standard JPS mean estimator, and Frey–Feeman JPS mean estimator are specifically studied and we show that two estimators have the same asymptotic distribution. For the standard JPS mean estimator, in perfect ranking situations, optimum values of H (the ranking class size), for different sample sizes, are determined non parametrically for populations that are not heavily skewed or thick tailed. 相似文献
14.
《统计学通讯:理论与方法》2013,42(4):753-766
ABSTRACT A confidence interval and test are obtained for the mean of an asymmetric distribution using a random sample of size n. The method is based on N. J. Johnson's (1978) modified t-test, where terms of Cornish–Fisher expansions involving the third moment are used to adjust the conventional statistic to have more closely a Student's t-distribution with n ? 1 degrees of freedom. Johnson's (1978) test cannot be inverted uniquely, so a corresponding confidence interval for the mean may be disjointed. However, an artificial term of small order can be added to make inversion of the test a uniquely defined operation, which prevents such disjointedness. The resulting one-sided and two-sided intervals perform better than others in the literature with skewed distributions, and have good performance with a normal distribution. The two-sided interval may be recommended for general use if the sample size is 10 or more and the nominal confidence coefficient is 95% or less, or if the sample size is 30 or more and the confidence coefficient is 99% or less. 相似文献
15.
16.
The general mixed linear model can be denoted by y = X β + Z u + e , where β is a vector of fixed effects, u is a vector of random effects, and e is a vector of random errors. In this article, the problem of admissibility of Q y and Q y + q for estimating linear functions, ? = L ′β + M ′ u , of the fixed and random effects is considered, and the necessary and sufficient conditions for Q y (resp. Q y + q ) to be admissible in the set of homogeneous (resp. potentially inhomogeneous) linear estimators with respect to the MSE and MSEM criteria are investigated. We provide a straightforward alternative proof to the method that was utilized by Wu (1988), Baksalary and Markiewicz (1990), and Groß and Markiewicz (1999). In addition, we derive the corresponding results on the admissibility problem under the generalized MSE criterion. 相似文献
17.
In the presence of multicollinearity problem, ordinary least squares (OLS) estimation is inadequate. To circumvent this problem, two well-known estimation procedures often suggested are the unbiased ridge regression (URR) estimator given by Crouse et al. (1995) and the (r, k) class estimator given by Baye and Parker (1984). In this article, we proposed a new class of estimators, namely modified (r, k) class ridge regression (MCRR) which includes the OLS, the URR, the (r, k) class, and the principal components regression (PCR) estimators. It is based on a criterion that combines the ideas underlying the URR and the PCR estimators. The standard properties of this new class estimator have been investigated and a numerical illustration is done. The conditions under which the MCRR estimator is better than the other two estimators have been investigated. 相似文献
18.
《统计学通讯:理论与方法》2013,42(10):2031-2042
Abstract If the random variable X denotes the lifetime (X ≥ 0, with probability one) of a unit, then the random variable X t = (t ? X|X ≤ t), for a fixed t > 0, is known as `time since failure', which is analogous to the residual lifetime random variable used in reliability and survival analysis. The reversed hazard rate function, which is related to the random variable X t , has received the attention of many researchers in the recent past [(cf. Shaked, M., Shanthikumar, J. G., 1994). Stochastic Orders and Their Applications. New York: Academic Press]. In this paper, we define some new classes of distributions based on the random variable X t and study their interrelations. We also define a new ordering based on the mean of the random variable Xt and establish its relationship with the reversed hazard rate ordering. 相似文献
19.
Reza Modarres 《统计学通讯:理论与方法》2013,42(20):3750-3758
We consider three methods (oments, cut-points, and ranks) for testing the hypotheses of equality of two bivariate distribution functions (H 0a ) and exchangeability (H 0b ). To test H 0a , the asymptotic normality of the vector of mixed moments provides a statistic with an asymptotic chi-square distribution. With every observation, method of cut-points associates three 2 × 2 tables to record the proportions of the X, Y, and the combined samples that fall in the four regions around the observation. We measure the total squared deviations of the proportions in the combined sample from X and Y samples. The two methods are compared with the method of ranks based on the Puri and Sen (1971) multivariate two-sample rank test for location. To test H 0b we identify two bivariate distributions, one above and the other below the line of symmetry X = Y, to which a test of H 0a is applied. Under H 0b , matrix of mixed moments is symmetric and a quadratic form in differences of (r,s)-th and (s, r)-th mixed moments provides an asymptotic chi-square distribution. A permutation test is devised to apply the method of cut-points to the observations above and below the line of symmetry after they are folded. We also describe an adaption of the Puri-Sen rank test to assess H 0b . To estimate the power of the above methods under different types of alternatives and compare them to existing tests, we report on a Monte Carlo experiment that evaluates the finite-sample performance of these methods under the Plackett's family of bivariate distributions. 相似文献
20.
Dipak K. Dey 《Revue canadienne de statistique》1990,18(2):171-178
Simultaneous estimation of scale parameters is considered in mixture distributions under squared-error loss. A general class of estimators is obtained which dominates the componentwise best multiple estimators and the moment estimators. As special cases, improved estimators are obtained for the multivariate t-distribution and the p-variate Lomax distribution. 相似文献