摘要:

AbstractThis paper discusses the choice of sample size for experiments concerned with inference onR=P(Y

ISSN:0319-5724    

DOI:10.2307/3315521

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractWe consider the asymptotic behaviour of least‐squares andM‐estimates of the autoregressive parameter when the process is an infinite‐variance random walk. It is shown that certainM‐estimates converge faster than least‐squares estimates and that they are also asymptotical

ISSN:0319-5724    

DOI:10.2307/3315522

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractA time series is said to be nearly nonstationary if some of its characteristic roots are close to the unit circle. For a seasonal time series, such a notion of near‐nonstationarity is studied in a double‐array setting. This approach not only furnishes a natural transition between stationarity and nonstationarity, but also unifies the corresponding asymptotic theories in a seasonal‐time‐series context. The general theory is expressed in terms of functionals of independent diffusion processes. The asymptotic results have applications to estimation and testing in a nearly nonstationary situation and serve as a useful alternative to the common practice of seasonal adj

ISSN:0319-5724    

DOI:10.2307/3315523

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractInference concerning the structure of stationary stochastic processes can be investigated by looking at properties of various cumulant spectral densities of order two and higher. However, except for cases when cumulants and product moments are identical, estimation of higher‐order cumulant spectral densities has been restricted by the dependence of higher‐order cumulants on lower‐order product moments. By first estimating product moments and then using an identity between product moments and cumulants, asymptotically unbiased and consistent estimates of cumulants are obtained. This in turn leads to asymptotically unbiased and consistent estimators of higher‐order cumulant spectral densities. In addition, asymptotic normality of product‐moment estimators is exhibited under weak d

ISSN:0319-5724    

DOI:10.2307/3315524

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractThe efficiency of an estimator depends heavily on the tails of the distribution of the observations. Several partial orders have been defined to compare probability distributions according to their tails. In this paper we show that the asymptotic relative efficiency of twoL‐estimators with monotone weight functions is isotonic with respect to the partial orders defined by van Zwet (1964) and Lawrence (1975). We also give results concerning trimmed mean

ISSN:0319-5724    

DOI:10.2307/3315525

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractThe relation between Hodges–Lehmann efficiency and Pitman efficiency is studied in the context of testing one‐sided hypotheses about a real‐valued parameter. It is first shown that for tests based on sums of independently and identically distributed observations local Hodges‐Lehmann efficiency is equivalent to Pitman efficiency. Then, it is proved that this equivalence also carries over to tests based on two broad classes ofM‐estimators for the location problem. In all cases considered explicit formulas of the Hodges‐Lehmann efficacies a

ISSN:0319-5724    

DOI:10.2307/3315526

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractWhittle has proved a theorem that gives the optimal control of Gaussian processes in terms of the mathematical expectation of a function of the time and the place where the uncontrolled processes hit the boundary of the stopping region for the first time. In this paper we obtain formulae for the joint probability density function of the first hitting time and place and, in the time‐invariant case, for the moment generating function of the first exit time of the optimally controlled processes. Two particular one‐dimensional cases are conside

ISSN:0319-5724    

DOI:10.2307/3315527

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractThe semimartingale decomposition of a Markov chain, whose value at some future time is known, is obtained by considering an enlarged filtration.

ISSN:0319-5724    

DOI:10.2307/3315528

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractIn fitting a generalized linear model, many authors have noticed that data sets can show greater residual variability than predicted under the exponential family. Two main approaches have been used to model this overdispersion. The first approach uses a sampling density which is a conjugate mixture of exponential family distributions. The second uses a quasilikelihood which adds a new scale parameter to the exponential likelihood. The approaches are compared by means of a Bayesian analysis using noninformative priors. In examples, it is indicated that the posterior analysis can be significantly different using the two approaches.

ISSN:0319-5724    

DOI:10.2307/3315529

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY

摘要:

AbstractWe formulate in a reasonable sense a class of optimality functionals for comparing feasible statistical designs available in a given setup. It is desired that the optimality functionals reflect symmetric measures of the lack of information contained in the designs being compared. In view of this, Kiefer's (1975) universal optimality criterion is seen to rest on stringent conditions, some of which can be relaxed while preserving optimality (in an extended sense) of the so‐calledbalanceddesign

ISSN:0319-5724    

DOI:10.2307/3315530

出版商:Wiley‐Blackwell    

年代:1989

数据来源: WILEY