摘要:

Approximations of the distribution for the maximum likelihood estimator of the dispersion matrix in the Growth Curve model due to Potthoff and Roy 0964) are considered. Three different approaches are presented. Two are based on an Edgeworth type expansion where as approximating distribution two different Wishart distributions are used. In a third approach we utilize the structure of the estimator and combine an Edgeworth type expansion with an approach put forward by Fujikoshi (1985).

ISSN:0233-1888    

DOI:10.1080/02331880108802722

出版商:Gordon & Breach Science Publishers    

年代:2000

数据来源: Taylor

摘要:

In this paper we derive asymptotic X2-tests for general linear hypotheses on variance components using repeated variance components models. In two examples, the two-way nested classification model and the two-way crossed classification model with interaction, we explicitly investigate the properties of the asymptotic tests in small sample sizes.

ISSN:0233-1888    

DOI:10.1080/02331880108802723

出版商:Gordon & Breach Science Publishers    

年代:2000

数据来源: Taylor

摘要:

In this paper we explore the use of Schweppe-type weights for a class of weighted Wiicoxon estimates and apply the corresponding estimates to an autoregressive time series model This special class of estimates is essentially the autoregressive analog of the HBR-estimates proposed by Chang et al. (1999) in the linear regression context. Assuming a stationary finite second moment autoregressive model of order p, asymptotic linearity properties are derived for the HBR-estimate. Based on these properties, the HBR-estimate is shown to be asymptotically normal at rate nl/2. Tests of general linear hypotheses as well as standard errors for confidence interval procedures can be based on such results. In a linear regression setting, the HBR-estimate is highly efficient and inherits a totally bounded influence function and a 50percent breakdown point. Examples and a Monte Carlo study over innovated and additive outlier models indicate that these properties of the HBR-estimate are preserved in an autoregressive time series context, Thus, the HBR-estimate provides a highly efficient and robust alternative for autoregressive time series estimation.

ISSN:0233-1888    

DOI:10.1080/02331880108802724

出版商:Gordon & Breach Science Publishers    

年代:2000

数据来源: Taylor

摘要:

We give an expression in terms of the Meixner polynomials of the first kind for unbiased estimators of functions of the mean based on the Winsorized mean in a geometric distribution. We also study some properties me proposed estimators like their asymptotic behavior and bounds for the variance

ISSN:0233-1888    

DOI:10.1080/02331880108802725

出版商:Gordon & Breach Science Publishers    

年代:2000

数据来源: Taylor