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作者：Hall, P; Koul, HL; Turlach, BA
作者单位：Australian National University
摘要：Considerable recent attention has been devoted to semiparametric estimation of the dependence index, or the Hurst constant, using methods based on information in either frequency or time domains. Convergence rates of estimators in the frequency domain have been derived, and in the present paper we obtain them for estimators in the time domain. It is shown that the latter can have superior performance for moderate-range time series, but are inferior in the context of long-range dependence.
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作者：Bosq, D
作者单位：Sorbonne Universite
摘要：We show that local irregularity of observed sample paths provides additional information which allows nonparametric estimators and predictors for continuous time processes to reach parametric rates in mean square as well as in a.s. uniform convergence. For example, we prove that under suitable conditions the kernel density estimator f(T) associated with the observed sample path (X-t, 0 less than or equal to t less than or equal to T) satisfies [GRAPHICS] where f denotes the unknown marginal de...
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作者：Nakayama, MK
作者单位：New Jersey Institute of Technology
摘要：Suppose that there are k greater than or equal to 2 different systems (i.e., stochastic processes), where each system has an unknown steady-state mean performance and unknown asymptotic variance. We allow for the asymptotic variances to be unequal and for the distributions of the k systems to be different. We consider the problem of running independent, single-stage simulations to make multiple comparisons of the steady-state means of the different systems. We derive asymptotically valid (as t...
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作者：Wu, HQ
作者单位：University of Michigan System; University of Michigan
摘要：Fitting a circle to a set of data points on a plane is very common in engineering and science. An important practical problem is how to choose the locations of measurement on a circular feature. So far little attention has been paid to this design issue and only some simulation results are available. Ill this paper, for Berman's bivariate four-parameter model, Phi-optimality is defined and shown to be equivalent to all phi(p)-criteria with p epsilon [-infinity, 1]. Then Phi-optimal exact desig...
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作者：Owen, AB
作者单位：Stanford University
摘要：Hybrids of equidistribution and Monte Carlo methods of integration can achieve the superior accuracy of the former while allowing the simple error estimation methods of the latter. One version, randomized (t, m, s)-nets, has the property that the integral estimates are unbiased and that the variance is o(1/n), for any square integrable integrand. Stronger assumptions on the integrand allow one to find rates of convergence. This paper shows that for smooth integrands over s dimensions, the vari...
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作者：Härdle, W; Spokoiny, V; Sperlich, S
作者单位：Humboldt University of Berlin; Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：Discrete choice models are frequently used in statistical and econometric practice. Standard models such as legit models are based on exact knowledge of the form of the link and linear index function. Semiparametric models avoid possible misspecification but often introduce a computational burden especially when optimization over nonparametric and parametric components are to be done iteratively. It is therefore interesting to decide between approaches. Here we propose a test of semiparametric...
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作者：Lazzeroni, LC; Lange, K
作者单位：Stanford University; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
摘要：Hardy-Weinberg equilibrium and linkage equilibrium are fundamental concepts in population genetics. In practice, testing linkage equilibrium in haplotype data is equivalent to testing independence in a large, sparse, multidimensional contingency table. Testing Hardy-Wieinberg and linkage equilibrium simultaneously on multilocus genotype data introduces the additional complications of missing information and symmetry constraints on marginal probabilities. To avoid unreliable large-sample approx...
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作者：Shen, XT
作者单位：University System of Ohio; Ohio State University
摘要：We develop a general theory which provides a unified treatment for the asymptotic normality and efficiency of the maximum likelihood estimates (MLE's) in parametric, semiparametric and nonparametric models. We find that the asymptotic behavior of substitution estimates for estimating smooth functionals are essentially governed by two indices: the degree of smoothness of the functional and the local size of the underlying parameter space. We show that when the local size of the parameter space ...
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作者：Konev, V; Pergamenshchikov, S
作者单位：Tomsk State University
摘要：This paper considers the problem of sequential point estimation of the mean of a stable autoregressive process with unknown scale and autoregressive parameters. The construction of a sequential procedure makes use of special stopping rules and some modifications of least-squares estimates. The procedure enables estimating the mean with prescribed mean-square accuracy uniformly in nuisance parameters. The uniform asymptotic normality and the asymptotic minimaxity of the sequential estimate are ...
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作者：Bhattacharyya, BB; Richardson, GD; Franklin, LA
作者单位：North Carolina State University; State University System of Florida; University of Central Florida; Indiana State University
摘要：Asymptotic inference for estimators of (alpha(n), beta(n)) in the spatial autoregressive model Z(ij)(n)= alpha(n)Z(i-1,j)(n) + beta(n)Z(i,j-1)(n) - alpha(n) beta(n)Z(i-1,j-1)(n) + epsilon(ij) is Obtained when alpha(n) and beta(n) are near unit roots. When alpha(n) and beta(n) are reparameterized by alpha(n) = e(c/n) and beta(n) = e(d/n), it is shown that if the one-step Gauss-Newton estimator of lambda(1)alpha(n) + lambda(2)beta(n) is properly normalized and embedded in the function space D([0...
