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作者：Chen, K; Lo, SH
作者单位：Hong Kong University of Science & Technology; Columbia University
摘要：Prentice (1986) proposed the case-cohort design and studied a pseudolikelihood estimator of regression parameters in Cox's model. We derive a class of estimating equations for case-cohort sampling, each depending on a different estimator of the population distribution, which lead naturally to simple estimators that improve on Prentice's pseudolikelihood estimator. We also discuss an equivalence between case-control and case-cohort sampling in terms of the estimation of regression parameters in...
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作者：Xia, YC; Tong, H; Li, WK
作者单位：University of Hong Kong
摘要：Aiming to explore the relation between the response y and the stochastic explanatory vector variable X beyond the linear approximation, we consider the single-index model, which is a well-known approach in multidimensional cases. Specifically, we extend the partially linear single-index model to take the from y = beta(0)(T)X + phi(theta(0)(T)X) + epsilon, where epsilon is a random variable with E epsilon = 0 and var(epsilon)= sigma(2), unknown, beta(0) and theta(0) are unknown parametric vecto...
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作者：So, MKP
作者单位：Hong Kong University of Science & Technology
摘要：We put forward a state space model where the unobservable state variable can be any Gaussian stochastic process. We discuss both maximum likelihood estimation and Bayesian inference for this generalised model. The methodology developed in this paper is particularly important for the class of long memory plus noise models. Armed with the simulation smoother introduced in this paper, we can estimate a class of non-Gaussian measurement time series models with long memory in the state equation.
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作者：Skouras, K; Dawid, AP
作者单位：University of London; University College London
摘要：We study the asymptotic behaviour of probability forecasting systems, and discuss their usefulness as inferential tools for statistical problems such as model verification and selection. Our theoretical setting is the prequential, or predictive sequential, framework proposed by Dawid (1984). We study especially the notion of prequential efficiency of a forecasting system and present some new results. We focus on plug-in, or estimative, forecasting systems, where the forecast distribution is ge...
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作者：Slate, EH
作者单位：Cornell University
摘要：This paper proposes diagnostics that can indicate regions where multivariate distributions are poorly behaved in the sense that they are far from normal. The measure of nonnormality developed by Slate (1994) for univariate distributions is extended to multivariate parametric models by application to univariate marginal and conditional distributions. The approach is illustrated for univariate conditional distributions using dynamic graphics in Xlisp-Stat (Tierney, 1990). Examples show that the ...
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作者：Choi, E; Hall, P
作者单位：Australian National University
摘要：We introduce a data-perturbation method for reducing bias of a wide variety of density estimators, in univariate, multivariate spatial and spherical data settings. The method involves 'sharpening' the data by making them slightly more clustered than before, and then computing the estimator in the usual way, but from the sharpened data rather than the original data. The transformation depends in a simple, explicit way on the smoothing parameter employed for the density estimator, which may be b...
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作者：Brooks, SP; Roberts, GO
作者单位：University of Surrey; Lancaster University
摘要：In this paper we examine the method of Raftery & Lewis (1992) for estimating the convergence of Markov chain Monte Carlo, samplers when functionals of interest are in the form of parameter quantiles. Although popular, the method is commonly mis-applied to problems where quantiles are not of primary interest. We show how the method can be misleading in this case, and that it can seriously underestimate the true length of the burn-in. We provide a number of examples, comparing the convergence ra...
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作者：Aitchison, J; Bacon-Shone, J
作者单位：University of Glasgow; University of Hong Kong
摘要：When a sampled target composition is suspected of being a mixture of different compositions from a number of independent sources the question of the nature of the mixing mechanism arises. For the resolution of this question several models involving convex linear mixtures of compositions are considered and in particular the distributional problem of describing the pattern of variability of the target compositions, given information about the source distributions, is resolved in terms of approxi...
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作者：Hu, I
作者单位：Hong Kong University of Science & Technology
摘要：In this paper we study the consistency of parameter estimators in sequential nonlinear design. Our main tool is a recursion which holds for the sequence of posterior variances. Under mild conditions, we establish the strong consistency of Bayes estimators in stochastic regression models which cover a broad range of nonlinear problems. Four examples from nonlinear sequential design are discussed.
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作者：Lam, KF
作者单位：University of Hong Kong
摘要：A class of asymptotically distribution-free tests for the equality of the k risks in a competing risks model is considered. The tests can be derived by martingale theory or by a marginal likelihood approach. When the risks are dependent, the quantities to be compared would be the cause-specific hazard rates or equivalently the pseudosurvivor functions related to the cause-specific hazard rates. This class of tests allows one to compare k risks simultaneously for k > 2, is able to handle possib...
