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作者：GAJEK, L; KALUSZKA, M
作者单位：Polish Academy of Sciences
摘要：The problem of Bayes estimation of the scale parameter is considered. Lower bounds for the asymptotic Bayes risk are given as the restricted parameter space increases to the positive half-line. The results are next applied to establish the second-order minimax estimator of the scale parameter. Surprisingly, the least favorable distribution coincides with that for the corresponding location parameter problem.
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作者：IOANNIDIS, EE
作者单位：Ruprecht Karls University Heidelberg
摘要：In this paper we propose a Capon-type estimator for the spectrum of a stationary time series. This estimator may be viewed as an alternative to classical periodogram-based estimators. Its advantage is that it copes with the ''leakage effect'' by using implicitly automatic adaptive windowing. We show its asymptotic equivalence to a random variable which is a quadratic form in the observations, thus obtaining the asymptotic normality of the Capon estimator. We also study its asymptotic bias and ...
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作者：BAI, JS
摘要：This paper studies the weak convergence of the sequential empirical process (K) over cap(n), of the estimated residuals in ARMA(p, q) models when the errors are independent and identically distributed. It is shown that, under some mild conditions, (K) over cap(n), converges weakly to a Kiefer process. The weak convergence is discussed for both finite and infinite variance time series models. An application to a change-point problem is considered.
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作者：WEISBERG, S; WELSH, AH
作者单位：Australian National University; Australian National University
摘要：We consider the fitting of generalized linear models in which the link function is assumed to be unknown, and propose the following computational method: First, estimate regression coefficients using the canonical link. Then, estimate the link via a kernel smoother, treating the direction in the predictor space determined by the regression coefficients as known. Then reestimate the direction using the estimated link and alternate between these two steps. We show that under fairly general condi...
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作者：FLURY, BD
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作者：GOTZE, F; HIPP, C
作者单位：Helmholtz Association; Karlsruhe Institute of Technology
摘要：Verifiable conditions are given for the validity of formal Edgeworth expansions for the distribution of sums X(1) + ... + X(n), where X(i) = F(Z(i), ..., Z(i + p - 1)) and Z(1),Z(2), ... is a strict sense stationary sequence that can be written as Z(j) = g(epsilon(j-k): k greater than or equal to 0) with an lid sequence (epsilon(i)) of innovations. These models include nonlinear functions of ARMA processes (Z(i)) as well as certain nonlinear AR processes. The results apply to many statistics i...
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作者：SUN, DC
摘要：Asymptotic expansions of posterior distributions are derived for a two-dimensional exponential family, which includes normal, gamma, inverse gamma and inverse Gaussian distributions. Reparameterization allows us to use a data-dependent transformation, convert the likelihood function to the two-dimensional standard normal density and apply a version of Stein's identity to assess the posterior distributions. Applications are given to characterize optimal noninformative priors in the sense of Ste...
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作者：GEYER, CJ
作者单位：University of Chicago
摘要：Limit theorems for an M-estimate constrained to lie in a closed subset of R(d), given under two different sets of regularity conditions. A consistent sequence of global optimizers converges under Chernoff regularity of the parameter set. A root n-consistent sequence of local optimizers converges under Clarke regularity of the parameter set. In either case the asymptotic distribution is a projection of a normal random vector on the tangent cone of the parameter set at the true parameter value. ...
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作者：SADROLHEFAZI, A; FINE, TL
作者单位：Cornell University
摘要：We consider the relationship between the finite-dimensional distributions of a stationary time series model and its asymptotic behavior in the framework of interval-valued probability (IVP), a simple generalization of additive probability measures. By Caratheodory's theorem, the specification of a countably additive probability measure on the algebra of cylinders C uniquely defines its behavior on sigma(C) (containing the tail events). If the measure is stationary, then the ergodic theorem ind...
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作者：BERAN, R; MILLAR, PW
摘要：Random coefficient regression models are important in modeling heteroscedastic eroscedastic multivariate linear regression in econometrics. The analysis of panel data is one example. In statistics, the random and mixed effects models of ANOVA, deconvolution models and affine mixture models are all special cases of random coefficient regression. Some inferential problems, such as constructing prediction regions for the modeled response, require a good nonparametric estimator of the unknown coef...
