-
作者：Chen, Jiahua; Khalili, Abbas
作者单位：University of British Columbia
摘要：Order selection is a fundamental and challenging problem in the application of finite mixture models. In this article, we develop a new penalized likelihood approach. The new method, modified smoothly clipped absolute deviation (MSCAD), deviates from information-based methods such as Akaike information criterion (AIC) and Bayesian information criterion (BIC) by introducing two penalty functions that depend on the mixing proportions and the component parameters. It is consistent at estimating b...
-
作者：Gallant, A. Ronald; McCulloch, Robert E.
作者单位：Duke University; University of Texas System; University of Texas Austin
摘要：We consider a consumption-based asset pricing model that uses habit persistence to overcome the known statistical inadequacies of the classical consumption-based asset pricing model. We find that the habit model fits reasonably well and agrees with results reported in the literature if conditional heteroskedasticity is suppressed but that it does not fit nor do result,.; agree if conditional heteroskedasticity, well known to be present in financial market data, is allowed to manifest itself. W...
-
作者：Pesaran, M. Hashem; Timmermann, Allan
作者单位：University of Cambridge; University of Southern California; University of California System; University of California San Diego
摘要：The contingency table literature On tests for dependence among discrete multicategory variables is extensive. Standard tests assume, however, that draws are independent and only limited results exist Oil the effect of serial dependency-a problem that is important in areas Such as economics, finance, medical trials, and meteorology. This article proposes new tests of independence based on canonical correlations from dynamically augmented reduced rank regressions. The tests allow for an arbitrar...
-
作者：Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L.
作者单位：Chinese University of Hong Kong; Iowa State University; Peking University; University System of Georgia; Georgia Institute of Technology
摘要：Levy processes have been receiving increasing attention in financial modeling. One distinctive feature of such models is that their characteristic functions are readily available. Inference based on characteristic functions is very useful for studying Levy processes. By incorporating the recent advances in nonparametric approaches, empirical likelihood methods based on characteristic functions are developed in this paper for parameter estimation, testing a particular parametric class including...
-
作者：Bayarri, M. J.; Berger, James O.; Kennedy, Marc C.; Kottas, Athanasios; Paulo, Rui; Sacks, Jerry; Cafeo, John A.; Lin, Chin-Hsu; Tu, Jian
作者单位：University of Valencia; Duke University; Food & Environment Research Agency; University of California System; University of California Santa Cruz; Universidade de Lisboa; General Motors
摘要：The CRASH computer model simulates the effect of a vehicle colliding against different barrier types. If it accurately represents real vehicle crashworthiness, the computer model can be of great value in various aspects of vehicle design, such as the setting of timing of air bag releases. The goal of this study is to address the problem of validating the computer model for such design goals, based on utilizing computer model runs and experimental data from real crashes. This task is complicate...
-
作者：Gomes, M. L.; Pestana, D.
-
作者：Liu, Xuefeng; Daniels, Michael J.; Marcus, Bess
作者单位：East Tennessee State University; State University System of Florida; University of Florida; Brown University
摘要：Joint models for the association of a logitudinal binary and a longitudinal continuous process are proposed for situations in which their association is of direct interest. The models are parametrized such that the dependence between the two processes is characterized by unconstrained regression coefficients. Bayesian variable selection techniques are used to parsimoniously model these coefficients. A Markov chain Monte Carlo (MCMC) sampling algorithm is developed for sampling from the posteri...
-
作者：Sun, Liuquan; Zhang, Zhigang
作者单位：Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Memorial Sloan Kettering Cancer Center
摘要：The mean residual life function is an attractive alternative to the survival function or the hazard function of a survival time in practice. It provides the remaining life expectancy of a subject surviving Lip to time t. In this study. We propose a class of transformed mean residual life models for fitting survival data under right censoring. To estimate the model parameters. we make use of the inverse probability of censoring weighting approach and develop a system of estimating equations. Ef...
-
作者：Cook, R. Dennis; Forzani, Liliana
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET); National University of the Littoral
摘要：We obtain the maximum likelihood estimator of the central subspace under conditional normality of the predictors given the response. Analytically and in simulations we found that our new estimator can preform much better than sliced inverse regression, sliced average variance estimation and directional regression, and that it seems quite robust to deviations from normality.
-
作者：Craiu, Radu V.; Rosenthal, Jeffrey; Yang, Chao
作者单位：University of Toronto
摘要：Starting with the seminal paper of Haario, Saksman, and Tamminen (Haario, Saksman, and Tamminen 2001), a substantial amount of work has been done to validate adaptive Markov chain Monte Carlo algorithms. In this paper we focus on two practical aspects of adaptive Metropolis samplers. First, we draw attention to the deficient performance of standard adaptation when the target distribution is multimodal. We propose a parallel chain adaptation strategy that incorporates multiple Markov chains whi...
