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作者：Siegmund, D; Yakir, B
作者单位：Stanford University; Hebrew University of Jerusalem
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作者：Lahiri, SN
作者单位：Iowa State University
摘要：Let {X-t} be a stationary time series and let d(T) (lambda) denote the discrete Fourier transform (DFT) of {X-0,...,XT-1} with a data taper. The main results of this paper provide a characterization of asymptotic independence of the DFTs in terms of the distance between their arguments under both short- and long-range dependence of the process (Xt). Further, asymptotic joint distributions of the DFTs d(T) (lambda(1T)) and d(T) (lambda(2T)) are also established for the cases T(lambda(1T) - lamb...
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作者：Lieberman, O; Rousseau, J; Zucker, DM
作者单位：Technion Israel Institute of Technology; Hebrew University of Jerusalem; Yale University; Institut Polytechnique de Paris; ENSAE Paris
摘要：We establish the validity of an Edgeworth expansion to the distribution of the maximum likelihood estimator of the parameter of a stationary, Gaussian, strongly dependent process. The result covers ARFIMA-type models, including fractional Gaussian noise. The method of proof consists of three main ingredients: (i) verification of a suitably modified version of Durbin's general conditions for the validity of the Edgeworth expansion to the joint density of the log-likelihood derivatives; (ii) app...
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作者：Breslow, N; McNeney, B; Wellner, JA
作者单位：University of Washington; University of Washington Seattle; Simon Fraser University; University of Washington; University of Washington Seattle
摘要：Outcome-dependent, two-phase sampling designs can dramatically reduce the costs of observational studies by judicious selection of the most informative subjects for purposes of detailed covariate measurement. Here we derive asymptotic information bounds and the form of the efficient score and influence functions for the semiparametric regression models studied by Lawless, Kalbfleisch and Wild (1999) under two-phase sampling designs. We show that the maximum likelihood estimators for both the p...
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作者：Regazzini, E; Lijoi, A; Prünster, I
作者单位：University of Pavia; University of Pavia
摘要：We consider the problem of determining the distribution of means of random probability measures which are obtained by normalizing increasing additive processes. A solution is found by resorting to a well-known inversion formula for characteristic functions due to Gurland. Moreover, expressions of the posterior distributions of those means, in the presence of exchangeable observations, are given. Finally, a section is devoted to the illustration of two examples of statistical relevance.
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作者：Kim, Y; Lee, J
作者单位：Ewha Womans University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We propose two Bayesian bootstrap extensions, the binomial and Poisson forms, for proportional hazards models. The binomial form Bayesian bootstrap is the limit of the posterior distribution with a beta process prior as the amount of the prior information vanishes, and thus can be considered as a default nonparametric Bayesian analysis. It is also the same as Lo's Bayesian bootstrap for censored data when covariates are absent. The Poisson form Bayesian bootstrap is equivalent to the Bayesian ...
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作者：Siegmund, D
作者单位：Stanford University
摘要：This paper reviews Herbert Robbins' research in sequential analysis (excluding stochastic approximation) from 1952 until roughly 1980. Its relation to the research of his contemporaries and its impact on subsequent research are described.
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作者：Averkamp, R; Houdré, C
作者单位：University of Freiburg; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); University System of Georgia; Georgia Institute of Technology
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作者：Cai, TT; Low, MG
作者单位：University of Pennsylvania
摘要：Precise asymptotic descriptions of the minimax affine risks and biasvariance tradeoffs for estimating linear functionals are given for a broad class of moduli. The results are complemented by illustrative examples including one where it is possible to construct an estimator which is fully adaptive over a range of parameter spaces.
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作者：Kreiss, JP; Paparoditis, E
作者单位：Braunschweig University of Technology; University of Cyprus
摘要：A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates that imitate the essential features of the data and the weak dependence structure of the periodogram while a nonparametric (kernel-based) correction is applied in order to catch features not represented by the parametric fit. The asymptotic theory d...
