摘要:

Seemingly unrelated regressions (SUR) models appear frequently in econometrics and in the analyses of repeated measures designs and longitudinal data. It is known that iterative algorithms are generally required to obtain the MLEs of the regression parameters. Under a minimal set of lattice conditional independence (LCI) restrictions imposed on the covariance structure, however, closed-form MLEs can be obtained by standard linear regression techniques (Andersson and Perlman, 1993, 1994, 1998). In this paper, simulation is used to study the efficiency of these LCI model-based estimators. We also propose two possible improvements of the usual two-stage estimators for the regression parameters.

ISSN:0361-0918    

DOI:10.1080/03610910008813617

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

A method of estimating parameters of twophase nonlinear regression with smooth transition between phases is described. It consists of two stages, both utilizing the least square fit. In the first one, each phase is fitted separately and, simultaneously, a transition point is determined. In the second stage, the two phases are joined smoothly by a proper transition function, which depends on the transition point chosen by the grid search. The practical aspects of the method proposed are demonstrated on the data concerning the soil bulk density in dependence on the soil water content.

ISSN:0361-0918    

DOI:10.1080/03610910008813618

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

When the individual measurements are statistically independent, the maximum likelihood estimator calculated at the end of a sequential procedure overestimates the underlying effect. There are many clinical trials in which we are interested in comparing changes in responses between two treatment groups sequentially. Lee and DeMets (1991,JASA86, 757–762) proposed a group sequential method for comparing rates of change when a response variable is measured for eaeh patient at successive follow-up visits. They assumed that the response follows the linear mixed effects model and derived the asymptotic joint distribution of the sequentially computed statistics. In this article, we consider the maximum likelihood estimator (MLE), the median unbiased estimator (MUE) and the midpoint of a 100(1-α)% confidence interval as point estimators for the rate of change in the linear mixed effects model, and investigate their properties by Monte Carlo simulation.

ISSN:0361-0918    

DOI:10.1080/03610910008813619

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

Using Monte Carlo methods, the properties of systemwise generalisations of the Breusch-Godfrey test for autocorrelated errors are studied in situations when the error terms follow either normal or non-normal distributions, and when these errors follow either AR(1) or MA(1) processes. Edgerton and Shukur (1999) studied the properties of the test using normally distributed error terms and when these errors follow an AR(1) process. When the errors follow a non-normal distribution, the performances of the tests deteriorate especially when the tails are very heavy. The performances of the tests become better (as in the case when the errors are generated by the normal distribution) when the errors are less heavy tailed.

ISSN:0361-0918    

DOI:10.1080/03610910008813620

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

Macleanet al.(1976) applied a specific Box-Cox transformation to test for mixtures of distributions against a single distribution. Their null hypothesis is that a sample ofnobservations is from a normal distribution with unknown mean and variance after a restricted Box-Cox transformation. The alternative is that the sample is from a mixture of two normal distributions, each with unknown mean and unknown, but equal, variance after another restricted Box-Cox transformation. We developed a computer program that calculated the maximum likelihood estimates (MLEs) and likelihood ratio test (LRT) statistic for the above. Our algorithm for the calculation of the MLEs of the unknown parameters used multiple starting points to protect against convergence to a local rather than global maximum. We then simulated the distribution of the LRT for samples drawn from a normal distribution and five Box-Cox transformations of a normal distribution. The null distribution appeared to be the same for the Box-Cox transformations studied and appeared to be distributed as a chi-square random variable for samples of 25 or more. The degrees of freedom parameter appeared to be a monotonically decreasing function of the sample size. The null distribution of this LRT appeared to converge to a chi-square distribution with 2.5 degrees of freedom. We estimated the critical values for the 0.10, 0.05, and 0.01 levels of significance.

ISSN:0361-0918    

DOI:10.1080/03610910008813621

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

A simulation case study illustrating the implementation of a variance reduction technique appropriate for dichotomous response variables is presented. In this simulation study, concerning the power of the Cochran and Cox test for the equality of means under possibly unequal variances, variance reductions of around 80% or more are obtained. More importantly, a known property of the Cochran and Cox, its conservative character, is detected thanks to the use of variance reduction.

ISSN:0361-0918    

DOI:10.1080/03610910008813622

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

For multivariate normal data with non-monotone (i.e. arbitrary) missing data patterns, lattice conditional independence (LCI) models determined by the observed data patterns can be used to obtain closed-form MLEs (Andersson and Perlman, 1991, 1993). In this paper, three procedures — LCI models, the EM algorithm, and the complete-data method — are compared by means of a Monte Carlo experiment. When the LCI model is accepted by the LR test, the LCI estimate is more efficient than those based on the EM algorithm and the complete-data method. When the LCI model is not accepted, the LCI estimate may lose efficiency but still may be more efficient than the EM estimate if the observed data is sparse. When the LCI model appears too restrictive, it may be possible to obtain a less restrictive LCI model by.discarding only a small portion of the incomplete observations. LCI models appear to be especially useful when the observed data is sparse, even in cases where the suitability of the LCI model is uncertain.

ISSN:0361-0918    

DOI:10.1080/03610910008813623

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

We consider the sequential procedures developed by Robbins and Siegmund (1974), Louis (1975) and Zoubeidi (1992) for comparing the means of two treatments. We let the procedures have equal power functions and compare their Bayes and minimax risks using the invariance property of their power functions. For each of several formulations of the problem we determine the most relatively efficient procedure and compute its expected total sample size.

ISSN:0361-0918    

DOI:10.1080/03610910008813624

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

This paper discusses the problem of assessing the asymptotic distribution when parameters of the hypothesized distribution are estimated from a sample, pointing out a common mistake included in the paper by Sinclair, Spurr, and Ahmad (1990) which introduced two modifications of the Anderson-Darling goodness-of-fit test statistic. Their two test statistics modify the popular Anderson-Darling test statistic to be sensitive to departures of the fitted distribution from the true distribution in one or the other of the tails. This paper uses these new test statistics to develop tests of fit for the normal and exponential distributions. Easy to use formulas are given so the reader can perform these tests at any sample size without consulting exhaustive tables of percentage points. Finally a power study is given to demonstrate the test statistics’ viability against a broad range of alternatives.

ISSN:0361-0918    

DOI:10.1080/03610910008813625

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor

摘要:

The logrank test procedure for testing bivariate symmetry against asymmetry in matched-pair data is proposed. The presented test statistic is based on Mantel-Haenszel type statistics evaluated at diagonal grid points on the plane obtained from distinct uncensored failure times. The asymptotic results of the proposed test are derived and an example is shown to illustrate the methodology.

ISSN:0361-0918    

DOI:10.1080/03610910008813626

出版商:Marcel Dekker, Inc.    

年代:2000

数据来源: Taylor