Which Wald statistic? Choosing a parameterization of the Wald statistic to maximize power in k-sample generalized estimating equations

The Wald statistic is known to vary under reparameterization. This raises the question: which parameterization should be chosen, in order to optimize power of the Wald statistic? We specifically consider k-sample tests of generalized linear models (GLMs) and generalized estimating equations (GEEs) in which the alternative hypothesis contains only two parameters. An example is presented in which such an alternative hypothesis is of interest. Amongst a general class of parameterizations, we find the parameterization that maximizes power via analysis of the non-centrality parameter, and show how the effect on power of reparameterization depends on sampling design and the differences in variance across samples. There is no single parameterization with optimal power across all alternatives. The Wald statistic commonly used under the canonical parameterization is optimal in some instances but it performs very poorly in others. We demonstrate results by example and by simulation, and describe their implications for likelihood ratio statistics and score statistics. We conclude that due to poor power properties, the routine use of score statistics and Wald statistics under the canonical parameterization for GEEs is a questionable practice.     

关于外汇期货套期保值比率的实证研究

最佳套期保值比率(OHR)的估计方法一直是金融工程理论研究的核心问题,从最开始的幼稚法到JSE法 以及随后的很多其他改进方法,保值效率都有不同程度的提高。使用包含误差修正结构的GARCH模型估计外汇 (澳大利亚元)期货的套期保值比率。通过效率比较,证实该模型所得到的套期保值比率比起传统方法都具有更好 的降低风险能力。     

我国农村人口出生性别比偏高的动力机制研究

B超的滥用、强烈的男孩偏好以及对非法流产行为监控的失效共同构成我国出生性别比偏高的充要条件,三者中任一条件不满足都不可能出现出生性别比偏高。尽管B超发明和滥用前出生性别比并没有异常,但也不能说出生性别比偏高与受教育水平、传统文化等因素无关。事实上,这些因素通过影响男孩偏好和B超的可获得性而影响出生性别比。由此出发,促进出生性别比回复正常,短期内应标本兼治,以治标为主———坚决禁止B超的滥用,关键是加强立法和管理;长期内则必须治本———消除男孩偏好,关键是加速农村城市化。     

视频在IP网络中传输的质量研究

利用MEPEG-4视频TRACE作为输入源,通过分析MPEG-4视频的帧特性,提出了一种针对视频质量的网络传输服务质量保证机制;搭建了视频传输的仿真系统,分析了视频在网络传输中的特性,利用PSNR作为视频质量的衡量标准,在有服务质量保证和无服务质量保证机制的两种网络环境下做了仿真并比较结果,证明了提出的方法能有效提高视频质量．     

高Si/C高强度铸铁中C、Si、Si/C的作用及其选择

本文叙述了高Si/C高强度灰铸铁中碳、硅元素存在的形式及其对结晶过程的影响。试验表明,当碳当量一定时,随着Si/C的升高,初生奥氏体枝晶数量增多并且细化和强化,从而构成了强度的基础。该铸铁的强度模式应为“初生奥氏+共晶团”。本文对E型石墨存在的必然性和合理性也进行了讨论。     

Notes on Interval Estimation of Odds Ratio in Matched Pairs under Stratified Sampling

We develop four asymptotic interval estimators and one exact interval estimator for the odds ratio (OR) under stratified random sampling with matched pairs. We apply Monte Carlo simulation to evaluate the performance of these five interval estimators. We note that the conditional score test-based interval estimator with a monotonic transformation and the interval estimator based on the Mantel–Haenszel (MH) type point estimator with the logarithmic transformation are generally preferable to the others considered here. We also note that the conditional exact confidence interval can be of use when the total number of matched pairs with discordant responses is small.     

New results on the likelihood ratio and score tests for the von Mises distribution

In this paper, we derive Bartlett and Bartlett-type corrections [G.M. Cordeiro and S.L.P. Ferrari 1991, A modified score test statistic having chi-squared distribution to order n ^?1 , Biometrika 78 (1991), pp. 573–582] to improve the likelihood ratio and Rao's score statistics for testing the mean parameter and the concentration parameter in the von Mises distribution. Simple formulae are suggested for the corrections valid for small and large values of the concentration parameter that do not depend on the modified Bessel functions and can be useful in practical applications.     

Influence Diagnostics on Testing Linear Hypothesis in Linear Models with Correlated Errors

To assess the influence of observations on the parameter estimates, case deletion diagnostics are commonly used in linear regression models. For linear models with correlated errors we study the influence of observations on testing a linear hypothesis using single and multiple case deletions. The change in likelihood ratio test and F test theoretically is derived and it is shown these tests to be completely determined by two proposed generalized externally studentized residuals. An illustrative example of a real data set is also reported.     

Confidence intervals for the mean of a normal distribution with restricted parameter space

For a normal distribution with known variance, the standard confidence interval of the location parameter is derived from the classical Neyman procedure. When the parameter space is known to be restricted, the standard confidence interval is arguably unsatisfactory. Recent articles have addressed this problem and proposed confidence intervals for the mean of a normal distribution where the parameter space is not less than zero. In this article, we propose a new confidence interval, rp interval, and derive the Bayesian credible interval and likelihood ratio interval for general restricted parameter space. We compare these intervals with the standard interval and the minimax interval. Simulation studies are undertaken to assess the performances of these confidence intervals.     

On an asymptotic relative efficiency concept based on expected volumes of confidence regions

ABSTRACT

The paper deals with an asymptotic relative efficiency concept for confidence regions of multidimensional parameters that is based on the expected volumes of the confidence regions. Under standard conditions the asymptotic relative efficiencies of confidence regions are seen to be certain powers of the ratio of the limits of the expected volumes. These limits are explicitly derived for confidence regions associated with certain plugin estimators, likelihood ratio tests and Wald tests. Under regularity conditions, the asymptotic relative efficiency of each of these procedures with respect to each one of its competitors is equal to 1. The results are applied to multivariate normal distributions and multinomial distributions in a fairly general setting.