共查询到20条相似文献,搜索用时 15 毫秒
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Pao-sheng Shen 《Annals of the Institute of Statistical Mathematics》2011,63(6):1207-1219
Patilea and Rolin (Ann Stat 34(2):925–938, 2006) proposed a product-limit estimator of the survival function for twice censored data. In this article,
based on a modified self-consistent (MSC) approach, we propose an alternative estimator, the MSC estimator. The asymptotic
properties of the MSC estimator are derived. A simulation study is conducted to compare the performance between the two estimators.
Simulation results indicate that the MSC estimator outperforms the product-limit estimator and its advantage over the product-limit
estimator can be very significant when right censoring is heavy. 相似文献
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In this paper, we propose a new biased estimator of the regression parameters, the generalized ridge and principal correlation estimator. We present its some properties and prove that it is superior to LSE (least squares estimator), principal correlation estimator, ridge and principal correlation estimator under MSE (mean squares error) and PMC (Pitman closeness) criterion, respectively. 相似文献
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Receiver operating characteristic (ROC) curves are often used to study the two sample problem in medical studies. However, most data in medical studies are censored. Usually a natural estimator is based on the Kaplan-Meier estimator. In this paper we propose a smoothed estimator based on kernel techniques for the ROC curve with censored data. The large sample properties of the smoothed estimator are established. Moreover, deficiency is considered in order to compare the proposed smoothed estimator of the ROC curve with the empirical one based on Kaplan-Meier estimator. It is shown that the smoothed estimator outperforms the direct empirical estimator based on the Kaplan-Meier estimator under the criterion of deficiency. A simulation study is also conducted and a real data is analyzed. 相似文献
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Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NM-QMLE) for non-stationary TGARCH(1,1) models. We show that, under mild regular conditions, there is no consistent estimator for the intercept, and the proposed estimator for any other parameter is consistent. 相似文献
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Vector-valued, asymptotically stationary stochastic processes on -compact locally compact abelian groups are studied. For such processes, we introduce a stationary spectral measure and show that it is discrete if and only if the asymptotically stationary covariance function is almost periodic. Using an almost periodic Fourier transform we recover the discrete part of the spectral measure and construct a natural, consistent estimator for the latter from samples of the process. 相似文献
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《随机分析与应用》2013,31(6):1525-1551
Abstract Vector-valued, asymptotically stationary processes on σ-compact locally compact amenable groups are studied. For such processes, we introduce associated spectral measures. Using an “almost periodic Fourier transform,” one can identify the almost periodic spectrum of the asymptotically stationary covariance, and we construct a natural, consistent estimator for this almost periodic spectrum. 相似文献
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本文研究了金融风险管理理论中风险价值(VaR)的非参数核光滑估计和经验估计的效率问题.对非独立的时间序列损失/收益样本,在均方误差(MSE)准则的意义下引入亏量的概念,亏量越大表明估计效率越低.并利用亏量对VaR模型的核光滑估计和基于样本分位数的经验估计进行了比较,在理论上证明了VaR模型的核光滑估计优于经验估计.同时,通过计算机模拟证实了理论获得的结论.本文还对国内沪深两市上的证券投资基金进行了实证分析,计算了样本基金的VaR风险度量的经验估计和核光滑估计,并计算了样本基金基于周收益率和VaR估计的风险调整收益(RAROC)值,以此对样本基金的业绩做出了有用的评价. 相似文献
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光滑分布函数分位数估计的注记(英) 总被引:1,自引:0,他引:1
文中通过光滑经验分布函数构造了分位数估计,建立该估计的Bahadu-强弱表示定理,并由Bahadur表示定理证明了该分估计估的重对数律和渐近正态性等深刻结果. 相似文献
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In this paper, the Bayes estimator of the error variance is derived in a linear regression model, and the parametric empirical Bayes estimator (PEBE) is constructed. The superiority of the PEBE over the least squares estimator (LSE) is investigated under the mean square error (MSE) criterion. Finally, some simulation results for the PEBE are obtained. 相似文献
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Motohiro Senda 《Journal of multivariate analysis》2006,97(9):1984-1996
The least squares (LS) estimator seems the natural estimator of the coefficients of a Gaussian linear regression model. However, if the dimension of the vector of coefficients is greater than 2 and the residuals are independent and identically distributed, this conventional estimator is not admissible. James and Stein [Estimation with quadratic loss, Proceedings of the Fourth Berkely Symposium vol. 1, 1961, pp. 361-379] proposed a shrinkage estimator (James-Stein estimator) which improves the least squares estimator with respect to the mean squares error loss function. In this paper, we investigate the mean squares error of the James-Stein (JS) estimator for the regression coefficients when the residuals are generated from a Gaussian stationary process. Then, sufficient conditions for the JS to improve the LS are given. It is important to know the influence of the dependence on the JS. Also numerical studies illuminate some interesting features of the improvement. The results have potential applications to economics, engineering, and natural sciences. 相似文献
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根据线性回归模型Y=Xβ+,εE(ε)=0,COV(ε)=σ2,对回归系数的有偏估计c-(K,S)型估计进一步研究;讨论了c-(K,S)型估计的基本性质;并在均方误差阵(M SEM)准则下讨论了c-(K,S)型估计相对于最小二乘估计的优良性,有助于线性回归系数有偏估计的进一步改进. 相似文献
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A Maximum A Posteriori (MAP) estimator for trajectories of diffusions observed via a noisy non-linear sensor, defined in [1] for diffusions evolving in "flat" spaces, is extended to arbitrary nondegenerate diffusions in W (subject to some technical constraints). An existence theorem for the MAP trajectories estimator is proved. Finally, relations between the trajectories MAP estimator and the pointwise MAP estimator are demonstrated. Some open problems concerning the issue of finite dimensionality of the MAP trajectories estimator are pointed out 相似文献
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Choongrak Kim Byeong U. Park Woochul Kim Chiyon Lim 《Annals of the Institute of Statistical Mathematics》2003,55(2):359-367
Estimation of a survival function from randomly censored data is very important in survival analysis. The Kaplan-Meier estimator
is a very popular choice, and kernel smoothing is a simple way of obtaining a smooth estimator. In this paper, we propose
a new smooth version of the Kaplan-Meier estimator using a Bezier curve. We show that the proposed estimator is strongly consistent.
Numerical results reveal the that proposed estimator outperforms the Kaplan-Meier estimator and its kernel weighted smooth
version in the sense of mean integrated square error.
This research is supported by the Korea Research Foundation (1998-015-d00047) made in the program year of 1998. 相似文献
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In this paper a new minimum distance estimator is defined in case that the residuals of an AR(1)-process are contaminated normally distributed. This estimator is asymtotically normally distributed and in most cases less biased than the least square estimator. Furthermore, a method is presented to numerically calculate the minimum distance estimator as a root of an implicit function. 相似文献
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In this paper moving-average processes with no parametric assumption on the error distribution are considered. A new convolution-type estimator of the marginal density of a MA(1) is presented. This estimator is closely related to some previous ones used to estimate the integrated squared density and has a structure similar to the ordinary kernel density estimator. For second-order kernels, the rate of convergence of this new estimator is investigated and the rate of the optimal bandwidth obtained. Under limit conditions on the smoothing parameter the convolution-type estimator is proved to be
-consistent, which contrasts with the asymptotic behavior of the ordinary kernel density estimator, that is only
-consistent. 相似文献
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In this paper, we propose a stochastic restricted s–K estimator in the linear model with additional stochastic linear restrictions by combining the ordinary mixed estimator(OME) with the s–K estimator. It is shown that the proposed estimator is superior to the OME and the s–K estimator under the mean squared error matrix criterion under some conditions. Finally, a numerical example and a Monte Carlo simulation study are given to verify the theoretical results. 相似文献
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回归系数Stein压缩估计的小样本性质 总被引:10,自引:0,他引:10
本文在广义均方误差(GMSE)准则下给出了回归系数β的Stein估计优于最小二乘(LS)估计的充分必要条件,然后在Pitman Closeness(PC)准则下比较了Stein估计相对于LS估计的优良性,本文最后给出了一个特别的注记。 相似文献