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作者：De Jong, P
作者单位：University of London; London School Economics & Political Science
摘要：An algorithm, called the scan sampler, is developed and discussed. The scan sampler has a variety of uses for time series analysis based on the state space model with non-Gaussian observations. The algorithm is based on the Kalman filter/smoothing algorithm. It can be used for Bayesian inference using Markov chain Monte Carlo and to find posterior modes.
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作者：Kong, FH; Slud, E
作者单位：Westat; University System of Maryland; University of Maryland College Park
摘要：In testing for significance of treatment effect within two-sample censored survival data with measured covariates, it is known (Tsiatis, Rosner & Tritchler, 1985) that adjusting the logrank test statistic using a proportional-hazards model for covariate effect can substantially increase efficiency. Extending the robust score statistics described by Lin & Wei (1989), we show how to estimate and optimise the relative efficiencies of such score statistics based on various possible working models,...
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作者：Hu, IC
摘要：In this paper Ne use posterior covariance matrices to study the strong consistency of Bayes estimators in stochastic regression models under various assumptions on the stochastic regressors. The random errors are assumed to form a martingale difference sequence. Several results are obtained using a recursion satisfied by the sequence of posterior covariance matrices. These results suggest that the posterior covariance matrix is a useful tool in studying strong consistency problems in stochasti...
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作者：Wong, CS; Li, WK
摘要：This paper addresses the null distribution of the Lagrange-multiplier statistic for the threshold autoregression with conditional heteroscedasticity. The problem is nonstandard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We generalise the results of Chan (1990) and Chan & Tong (1990) to show that the asymptotic null distribution of the Lagrange-multiplier statistic is a functional of a zero-mean Gaussian process. The generalisation is not ...
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作者：Wong, H; Li, WK
作者单位：University of Hong Kong
摘要：Tsay (1987) developed the conditional heteroscedastic, autoregressive moving-average model, which includes the conditional heteroscedastic autoregressive and random coefficient autoregressive models as special cases. This paper establishes the multivariate conditional heteroscedastic autoregressive moving-average model, and considers its theoretical properties and applications. Maximum likelihood estimation of the model is discussed in detail. A representation of the information matrix is obta...
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作者：Parmigiani, G
作者单位：Duke University
摘要：This paper studies a decision theoretic method for timing medical examinations. The specific model is motivated by screening asymptomatic individuals for hidden disease or risk-increasing conditions. Ideas and strategies may be applied more broadly to problems in which a stochastic process is monitored over time with a costly and possibly faulty data collection procedure. The decision space is modelled as a space of functions, termed screening intensity functions. Results include explicit rule...
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作者：Qaqish, BF; Zhou, HB; Cai, JW
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We derive the relationship between the population model and the sample model in the case of case-control sampling of clustered responses. The derived formulae provide insight into why methods that ignore the sampling scheme fail to provide consistent estimators in this case. The differences between clustered and independent responses in the context of the case-control design are discussed.
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作者：Qin, J; Zhang, B
作者单位：University System of Ohio; University of Toledo
摘要：We test the logistic regression assumption under a case-control sampling plan. After reparameterisation, the assumed logistic regression model is equivalent to a two-sample semiparametric model in which the log ratio of two density functions is linear in data. By identifying this model with a biased sampling model, we propose a Kolmogorov-Smirnov-type statistic to test the validity of the logistic link function. Moreover, we point out that this test statistic can also be used in mixture sampli...
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作者：Antoniadis, A; Gijbels, I; Gregoire, G
作者单位：Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); Universite Catholique Louvain
摘要：In this paper we discuss how to use wavelet decompositions to select a regression model. The methodology relies on a minimum description length criterion which is used to determine the number of nonzero coefficients in the vector of wavelet coefficients. Consistency properties of the selection rule are established and simulation studies reveal information on the distribution of the minimum description length selector. We then apply the selection rule to specific problems, including testing for...
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作者：Shephard, N; Pitt, MK
作者单位：University of Oxford
摘要：In this paper we provide methods for estimating non-Gaussian time series models. These techniques rely on Markov chain Monte Carlo to carry out simulation smoothing and Bayesian posterior analysis of parameters, and on importance sampling to estimate the likelihood function for classical inference. The time series structure of the models is used to ensure that our simulation algorithms are efficient.
