Journal of the Japan Statistical Society. Japanese issue最新文献_第8页

Bartlett Correctability of Empirical Likelihood for Time Series 时间序列经验似然的Bartlett可校正性

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2010-03-22 DOI: 10.14490/JJSS.40.221

N. Chan, Li Liu

引用次数: 10

Empirical Likelihood Estimation for a Class of Stable Processes 一类稳定过程的经验似然估计

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2010-03-22 DOI: 10.14490/JJSS.40.207

Hiroaki Ogata

引用次数: 2

Recent Developments of Threshold Estimation for Nonlinear Time Series 非线性时间序列阈值估计研究进展

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2010-03-22 DOI: 10.14490/JJSS.40.277

Ngai Hang, Y. Kutoyants

{"title":"Recent Developments of Threshold Estimation for Nonlinear Time Series","authors":"Ngai Hang, Y. Kutoyants","doi":"10.14490/JJSS.40.277","DOIUrl":"https://doi.org/10.14490/JJSS.40.277","url":null,"abstract":"In this article, several important problems of threshold estimation in a Bayesian framework for nonlinear time series models are discussed. The paper starts with the issue of calculating the maximum likelihood and the Bayesian estimators for threshold autoregressive models. It turns out that the asymptotic efficiency of the Bayesian estimators in this type of singular estimation problems is superior than the maximum likelihood estimators. To illustrate the properties of these estimators and to explain the proposed method, the paper begins with the study of a linear threshold autoregressive model with i.i.d. Gaussian noise. The paper then extends the idea to other nonlinear and non-Gaussian models and illustrates the paradigm of limiting likelihood ratio, which is applicable to a much wider class of nonlinear models. The article also investigates the robustness issue and the possibility of restricting the observation window by narrow bands, which allows one to obtain asymptotically efficient estimators. Finally, the paper indicates how these results can be generalized from a TAR(1) model to a higher-order TAR(p) model with multiple thresholds. The paper concludes with a discussion of other related problems and illustrates the methodology by numerical simulations.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132319422","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

A Posterior Density for the Difference Between Two Binominal Proportions and the Highest Posterior Density Credible Interval 两个二项比例之差的后验密度和最高后验密度可信区间

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2010-03-22 DOI: 10.14490/JJSS.40.265

Youhei Kawasaki, E. Miyaoka

引用次数: 11

SHRINKAGE GMM ESTIMATION IN CONDITIONAL MOMENT RESTRICTION MODELS 条件矩约束模型中的收缩GMM估计

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.239

R. Okui

引用次数: 0

A Saddlepoint Approximation to the Limiting Distribution of a k -sample Baumgartner Statistic k样本Baumgartner统计量极限分布的鞍点逼近

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.133

H. Murakami, T. Kamakura, Midori Taniguchi

{"title":"A Saddlepoint Approximation to the Limiting Distribution of a k -sample Baumgartner Statistic","authors":"H. Murakami, T. Kamakura, Midori Taniguchi","doi":"10.14490/JJSS.39.133","DOIUrl":"https://doi.org/10.14490/JJSS.39.133","url":null,"abstract":"Testing hypothesis is one of the most important problems in a nonparametric statistic. Various nonparametric test statistics have been proposed and discussed for a long time. We use the exact critical value for testing hypothesis when the sample sizes are small. However, for large sample sizes, it is very difficult to evaluate the exact critical value. Therefore, the limiting distributions of nonparametric tests are needed for testing the hypothesis. The purpose of this paper is to derive the limiting distribution of a k-sample Baumgartner test proposed by Murakami (2006). At first we consider a two-sample problem, which is one of the most common types of statistical problems. Let X = (X1, . . . , Xn) and Y = (Y1, . . . , Ym) be two random samples of size n and m independent observations, each of which has a continuous distribution described as F (x) and G(y), respectively. Let R1 < · · · < Rn and H1 < · · · < Hm denote the combined-samples ranks of the X-value and Y -value in increasing order of magnitude, respectively. One of the problems is to test the hypothesis H0 : F = G against H1 : not H0. Baumgartner et al. (1998) defined a novel nonparametric two-sample statistic for the hypothesis as","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134157206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

ASYMPTOTIC EFFICIENCY OF ESTIMATING FUNCTION ESTIMATORS FOR NONLINEAR TIME SERIES MODELS 非线性时间序列模型估计函数估计量的渐近效率

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.209

Tomoyuki Amano

引用次数: 2

Two Sample Problem for Rounded Data 舍入数据的两个样本问题

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.233

Y. Nishiyama

引用次数: 0

A Saddlepoint Approximation to a Nonparametric Test for Ordered Alternatives 有序方案非参数检验的鞍点逼近

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.143

H. Murakami, T.H.M. Kawamura

引用次数: 3

SYSTEMATIC APPROACH FOR PORTMANTEAU TESTS IN VIEW OF THE WHITTLE LIKELIHOOD RATIO 基于小似然比的组合检验系统方法

Journal of the Japan Statistical Society. Japanese issue Pub Date : 2009-12-01 DOI: 10.14490/JJSS.39.177

M. Taniguchi, Tomoyuki Amano

{"title":"SYSTEMATIC APPROACH FOR PORTMANTEAU TESTS IN VIEW OF THE WHITTLE LIKELIHOOD RATIO","authors":"M. Taniguchi, Tomoyuki Amano","doi":"10.14490/JJSS.39.177","DOIUrl":"https://doi.org/10.14490/JJSS.39.177","url":null,"abstract":"Box and Pierce (1970) proposed a test statistic TBP which is the squared sum of m sample autocorrelations of the estimated residual process of an autoregressivemoving average model of order (p,q). TBP is called the classical portmanteau test. Under the null hypothesis that the autoregressive-moving average model of order (p,q) is adequate, they suggested that the distribution of TBP is approximated by a chi-square distribution with (m-p-q) degrees of freedom, “if m is moderately large”. This paper shows that TBP is understood to be a special form of the Whittle likelihood ratio test T PW for autoregressive-moving average spectral density with m-dependent residual processes. Then, it is shown that, for any finite m, T PW does not converge to a chi-square distribution with (m-p-q) degrees of freedom in distribution, and that if we assume Bloomfield’s exponential spectral density, T PW is asymptotically chisquare distributed for any finite m .F rom this observation we propose a modified T † PW which is asymptotically chi-square distributed. In view of the likelihood ratio, we also mention the asymptotics of a natural Whittle likelihood ratio test T WL R which is always asymptotically chi-square distributed. Its local power is also evaluated. Numerical studies illuminate interesting features of T PW , T † PW , and T WL R. Because many versions of the portmanteau test have been proposed and been used in a variety of fields, our systematic approach for portmanteau tests and proposal of tests will give another view and useful applications.","PeriodicalId":326924,"journal":{"name":"Journal of the Japan Statistical Society. Japanese issue","volume":"100 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121080007","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9