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作者：KONING, AJ
摘要：In this paper stochastic integrals with respect to the basic martingale are approximated by Gaussian processes. The probability inequalities governing this approximation are used to study goodness-of-fit tests based on sublinear functionals of weighted versions of these stochastic integrals. As special cases of these tests, generalized rank and supremum-type tests are considered.
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作者：ROUSSAS, GG; TRAN, LT
作者单位：Purdue University System; Indiana University Purdue University Fort Wayne
摘要：For i = 1, 2,..., let X(i) and Y(i) be R(d)-valued (d greater-than-or-equal-to 1 integer) and R-valued, respectively, random variables, and let {(X(i), Y(i))}, i greater-than-or-equal-to 1, be a strictly stationary and alpha-mixing stochastic process. Set m(x) = E(Y1\X1 = x), x is-an-element-of R(d), and let m(n)(x) be a certain recursive kernel estimate of m(x). Under suitable regularity conditions and as n --> infinity, it is shown that m(n)(x), properly normalized, is asymptotically normal ...
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作者：CHENG, CL; VANNESS, JW
作者单位：University of Texas System; University of Texas Dallas
摘要：This paper discusses robust estimation for structural errors-in-variables (EV) linear regression models. Such models have important applications in many areas. Under certain assumptions, including normality, the maximum likelihood estimates for the EV model are provided by orthogonal regression (OR) which minimizes the orthogonal distance from the regression line to the data points instead of the vertical distance used in ordinary regression. OR is very sensitive to contamination and thus effi...
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作者：HEYDE, CC
摘要：This paper is concerned with the size of confidence intervals for parameters of stochastic processes based on limit laws with two competing normalizations, one producing asymptotic normality and the other asymptotic mixed normality. It is shown that, in a certain sense, the interval based on asymptotic normality is preferable on average. Applications to estimation of parameters in nonergodic stochastic processes and to estimation of steady-state parameters in a simulation are given to illustra...
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作者：POSKITT, DS
摘要：In this paper a method of identifying stationary and invertible vector autoregressive moving-average time series is proposed. The models are presumed to be represented in (reversed) echelon canonical form. Consideration is given to both parameter estimation and the determination of structural indices, the evaluations being based on the use of closed form least squares calculations. Consistency of the technique is shown and the operational characteristics of the procedure when employed as a mea...
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作者：TRUONG, YK; STONE, CJ
作者单位：University of California System; University of California Berkeley
摘要：Consider a stationary time series (X(t), Y(t)), t = 0, +/- 1,..., with X(t) being R(d)-valued and Y(t) real-valued. The conditional mean function is given by theta(X0) = E(Y0\X0). Under appropriate regularity conditions, a local average estimator of this function based on a finite realization (X1, Y1),..., (X(n), Y(n)) can be chosen to achieve the optimal rate of convergence n-1/(2+d) both pointwise and in L2 norms restricted to a compact; and it can also be chosen to achieve the optimal rate ...
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作者：COMETS, F
作者单位：Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS)
摘要：We prove strong consistency of a class of maximum objective estimators for exponential parametric families of Markov random fields on Z(d), including both maximum likelihood and pseudolikelihood estimators, using large deviation estimates. We also obtain the optimality property for the maximum likelihood estimator in the sense of Bahadur.
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作者：HAWKINS, DL; KOCHAR, S; LOADER, C
作者单位：Indian Statistical Institute; Indian Statistical Institute Delhi; AT&T; Nokia Corporation; Nokia Bell Labs
摘要：Guess, Hollander and Proschan proposed tests for exponentiality versus IDMRL (increasing initially and then decreasing mean residual life) distributions when the change point, or corresponding quantile, is known. In this paper we propose two tests which do not require such knowledge of the change point. The tests are based on estimates of functionals of the cdf which discriminate between the exponential and IDMRL families.
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作者：FARAWAY, JJ
摘要：An adaptive maximum likelihood estimator based on the estimation of the log-density by B-splines is introduced. A data-driven method of selecting the smoothing parameter involved in the consequent density estimation is demonstrated. A Monte Carlo study is conducted to evaluate the small sample performance of the estimator in a location and a regression problem. The adaptive estimator is seen to compare favorably to some standard estimates. We show that the estimator is asymptotically efficient.
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作者：HE, XM; SIMPSON, DG
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：We relate various measures of the stability of estimates in general parametric families and consider their application to direction estimates on spheres. We show that constructions such as the SB-robustness of Ko and Guttorp and the information-standardized gross-error sensitivity of Hampel, Ronchetti, Rousseeuw and Stahel fit into a general framework in which one measures the effect of model contamination by the Kullback-Leibler discrepancy. We also define a breakdown point appropriate for a ...
