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作者：Li, GD; Li, WK
作者单位：University of Hong Kong
摘要：The recent paper by Peng & Yao (2003) gave an interesting extension of least absolute deviation estimation to generalised autoregressive conditional heteroscedasticity, GARCH, time series models. The asymptotic distributions of absolute residual autocorrelations and squared residual autocorrelations from the GARCH model estimated by the least absolute deviation method are derived in this paper. These results lead to two useful diagnostic tools which can be used to check whether or not a GARCH ...
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作者：Varin, C; Vidoni, P
作者单位：University of Padua; University of Udine
摘要：A composite likelihood consists of a combination of valid likelihood objects, usually related to small subsets of data. The merit of composite likelihood is to reduce the computational complexity so that it is possible to deal with large datasets and very complex models, even when the use of standard likelihood or Bayesian methods is not feasible. In this paper, we aim to suggest an integrated, general approach to inference and model selection using composite likelihood methods. In particular,...
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作者：Gervini, D; Gasser, T
作者单位：University of Wisconsin System; University of Wisconsin Milwaukee; University of Zurich
摘要：A random sample of curves can be usually thought of as noisy realisations of a compound stochastic process X(t) = Z{W(t)}, where Z(t) produces random amplitude variation and W(t) produces random dynamic or phase variation. In most applications it is more important to estimate the so-called structural mean mu(t) = E{Z(t)} than the crosssectional mean E{X(t)}, but this estimation problem is difficult because the process Z(t) is not directly observable. In this paper we propose a nonparametric ma...
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作者：Tseng, YK; Hsieh, FS; Wang, JL
作者单位：University of California System; University of California Davis
摘要：The accelerated failure time model is an attractive alternative to the Cox model when the proportionality assumption fails to capture the relationship between the survival time and longitudinal covariates. Several complications arise when the covariates are measured intermittently at different time points for different subjects, possibly with measurement errors, or measurements are not available after the failure time. Joint modelling of the failure time and longitudinal data offers a solution...
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作者：Ha, ID; Lee, Y
作者单位：Daegu Haany University; Seoul National University (SNU)
摘要：Hierarchical likelihood provides a statistically efficient procedure for frailty models. Recently, a method using the computationally attractive orthodox best linear unbiased predictor has been proposed; this uses Pearson-type estimation. We compare both approaches and discuss their relative merits. With semiparametric frailty models difficulties can arise for the orthodox method, if the number of nuisance parameters increases with the sample size. This difficulty is avoided by the use of the ...
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作者：Johnson, BA; Tsiatis, AA
作者单位：University of North Carolina; University of North Carolina Chapel Hill; North Carolina State University
摘要：Once treatment is found to be effective in clinical studies, attention often focuses on optimum or efficacious treatment delivery. In treatment duration-response studies, the optimum treatment delivery refers to the treatment length that optimises the mean response. In many studies, the treatment length is often left to the discretion of an attending investigator or physician but may be abruptly terminated because of treatment-terminating events. Thus, a recommended treatment length often deli...
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作者：Fang, KT; Mukerjee, R
作者单位：Hong Kong Baptist University; Indian Institute of Management (IIM System); Indian Institute of Management Calcutta
摘要：We consider a very general class of empirical discrepancy statistics that includes the Cressie-Read discrepancy statistics and, in particular, the empirical likelihood ratio statistic. Higher-order asymptotics for expected lengths of associated confidence intervals are investigated. An explicit formula is worked out and its use for comparative purposes is discussed. It is seen that the empirical likelihood ratio statistic, which enjoys interesting second-order power properties, loses much of i...
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作者：Ni, LQ; Cook, RD; Tsai, CL
作者单位：State University System of Florida; University of Central Florida; University of Minnesota System; University of Minnesota Twin Cities; University of California System; University of California Davis
摘要：We employ Lasso shrinkage within the context of sufficient dimension reduction to obtain a shrinkage sliced inverse regression estimator, which provides easier interpretations and better prediction accuracy without assuming a parametric model. The shrinkage sliced inverse regression approach can be employed for both single-index and multiple-index models. Simulation studies suggest that the new estimator performs well when its tuning parameter is selected by either the Bayesian information cri...
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作者：Sweeting, TJ
作者单位：University of London; University College London
摘要：Probability matching priors are priors for which the posterior probabilities of certain specified sets are exactly or approximately equal to their coverage probabilities. These priors arise as solutions of partial differential equations that may be difficult to solve, either analytically or numerically. Recently Levine & Casella (2003) presented an algorithm for the implementation of probability matching priors for an interest parameter in the presence of a single nuisance parameter. In this p...
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作者：Zhang, H; Zimmerman, DL
作者单位：Washington State University; University of Iowa
摘要：Two asymptotic frameworks, increasing domain asymptotics and infill asymptotics, have been advanced for obtaining limiting distributions of maximum likelihood estimators of covariance parameters in Gaussian spatial models with or without a nugget effect. These limiting distributions are known to be different in some cases. It is therefore of interest to know, for a given finite sample, which framework is more appropriate. We consider the possibility of making this choice on the basis of how we...
