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基于修正方差比率函数给出一种检验厚尾序列持久性变点的统计量.在无变点的假设下得到了统计量的渐近分布.为避免检验渐近分布中的厚尾指数,构造Bootstrap抽样方法来确定渐近分布的经验临界值.数值模拟研究结果说明修正方差比率统计量及Bootstrap抽样方法的有效性. 相似文献
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In this paper, we propose a new test for testing the stability in macroeconomic time series, based on the LASSO variable selection approach and nonparametric estimation of a time-varying model. The wild bootstrap is employed to obtain its data-dependent critical values. We apply the new method to test the stability of bivariate relations among 92 major Chinese macroeconomic time series. We find that more than 70% bivariate relations are significantly unstable. 相似文献
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Summary This paper considers different bootstrap procedures for investigating the estimation of the fractional parameter d in a particular
case of long memory processes, i.e. for ARFIMA models withd in (0.0, 0.5). We propose two bootstrap techniques to deal with semiparametric estimation methods of d. One approach consists
of the local bootstrap method for time frequency initially suggested for the ARMA case by Paparoditis and Politis (1999),
and the other consists of the bootstrapping in the residuals of the frequency-domain regression equation. Through Monte Carlo
simulation, these alternative bootstrap methods are compared, based on the mean and the mean square error of the estimators,
with the well-known parametric and nonparametric bootstrap techniques for time series models. 相似文献
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This study considers the problem of testing a parameter change in general nonlinear integer-valued time series models where the conditional distribution of current observations is assumed to follow a one-parameter exponential family. We consider score-, (standardized) residual-, and estimate-based CUSUM tests and show that their limiting null distributions take the form of the functions of Brownian bridges. Based on the obtained results, we then conduct a comparison study of the performance of CUSUM tests through the use of Monte Carlo simulations. Our findings demonstrate that the standardized residual-based CUSUM test largely outperforms the others.
相似文献6.
Jen Reiczigel 《商业与工业应用随机模型》1996,12(2):107-117
A bootstrap test is developed for testing models specified by Goodman in 1985 and 1986 for the correspondence analysis of two-way contingency tables. It enables testing goodness-of-fit in relation with the usual matrix decomposition method. An approximate table of critical values for the proposed test statistic is presented. Bootstrap confidence interval construction is also included. The behaviour of the test statistic and the confidence intervals is studied using Monte Carlo simulation. 相似文献
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Heteroscedasticity checks for regression models 总被引:1,自引:0,他引:1
For checking on heteroscedasticity in regression models, a unified approach is proposed to constructing test statistics in
parametric and nonparametric regression models. For nonparametric regression, the test is not affected sensitively by the
choice of smoothing parameters which are involved in estimation of the nonparametric regression function. The limiting null
distribution of the test statistic remains the same in a wide range of the smoothing parameters. When the covariate is one-dimensional,
the tests are, under some conditions, asymptotically distribution-free. In the high-dimensional cases, the validity of bootstrap
approximations is investigated. It is shown that a variant of the wild bootstrap is consistent while the classical bootstrap
is not in the general case, but is applicable if some extra assumption on conditional variance of the squared error is imposed.
A simulation study is performed to provide evidence of how the tests work and compare with tests that have appeared in the
literature. The approach may readily be extended to handle partial linear, and linear autoregressive models. 相似文献
8.
Inference for the mean difference in the two-sample random censorship model is an important problem in comparative survival and reliability test studies. This paper develops an adjusted empirical likelihood inference and a martingale-based bootstrap inference for the mean difference. A nonparametric version of Wilks' theorem for the adjusted empirical likelihood is derived, and the corresponding empirical likelihood confidence interval of the mean difference is constructed. Also, it is shown that the martingale-based bootstrap gives a correct first order asymptotic approximation of the corresponding estimator of the mean difference, which ensures that the martingale-based bootstrap confidence interval has asymptotically correct coverage probability. A simulation study is conducted to compare the adjusted empirical likelihood, the martingale-based bootstrap, and Efron's bootstrap in terms of coverage accuracies and average lengths of the confidence intervals. The simulation indicates that the proposed adjusted empirical likelihood and the martingale-based bootstrap confidence procedures are comparable, and both seem to outperform Efron's bootstrap procedure. 相似文献
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A Monte Carlo comparison of studentized bootstrap and permutation tests for heteroscedastic two-sample problems 总被引:1,自引:0,他引:1
The present Monte Carlo study compares bootstrap and permutation tests for semiparametric heteroscedastic two-sample testing
problems of Behrens-Fisher type. The underlying functionals to be tested are (a) the difference of the means and (b) the Wilcoxon
functionalP(Y < X) which is invariant under strictly increasing transformations. The consideration leads to semiparametric modifications of
Welch type tests for the Behrens-Fisher model and an extended two-sample Wilcoxon test which also works under some null hypothesis
with non-exchangeable distributions. The present Monte Carlo study confirms the high quality of studentized permutation tests
at finite sample size. They are typically better than tests with asymptotic critical values and for many situations and they
are also better than two-sample bootstrap tests when their type I error probabilities are compared. 相似文献
10.
基于OLS估计残差,本文将Bootstrap方法用于空间误差相关性LM-Error检验,综合考虑Bootstrap模拟抽样次数、空间衔接结构以及样本量,研究并比较空间误差相关Bootstrap LM-Error检验与渐近检验的水平扭曲。大量Monte Carlo实验结果显示,当模型误差不满足独立正态分布的假设条件时,空间误差相关LM-Error渐近检验的水平扭曲较大,采用Bootstrap方法可以较好地降低该水平扭曲;不管模型误差是否满足独立正态分布的假设条件,Bootstrap方法均能够有效地降低LMError渐近检验的水平扭曲。 相似文献
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Özge Karadağ Hülya Olmuş 《International Journal of Mathematical Education in Science & Technology》2013,44(8):1244-1252
The goal of this study is to compare the resampling methods including bootstrap and permutation tests against classical methods for paired samples. A simulation study was conducted to see the performance of both parametric and nonparametric methods under various assumptions such as non-normal populations and small or large sample sizes. The results of the simulation study are with respect to type I error and power of the test. 相似文献
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Peter Hall Brett Presnell Berwin A. Turlach 《Annals of the Institute of Statistical Mathematics》2000,52(3):507-518
Jackknife and bootstrap bias corrections are based on a differencing argument which does not necessarily respect the sign of the true parameter value. Depending on sampling variability they can over-correct, producing a final estimator that is negative when one knows on physical grounds that it should be positive. To overcome this problem we suggest a simple, alternative bootstrap approach, based on biased-bootstrap methods. Our technique has similar properties to the standard uniform-bootstrap method in cases where the latter does not endanger sign, but it respects sign in a canonical way when the standard method disregards it. 相似文献
13.
The study of the rodent fluctuations of the North was initiated in its modern form with Elton’s pioneering work. Many scientific studies have been designed to collect yearly rodent abundance data, but the resulting time series are generally subject to at least two “problems”: being short and non-linear. We explore the use of the continuous threshold autoregressive (TAR) models for analyzing such data. In the simplest case, the continuous TAR models are additive autoregressive models, being piecewise linear in one lag, and linear in all other lags. The location of the slope change is called the threshold parameter. The continuous TAR models for rodent abundance data can be derived from a general prey-predator model under some simplifying assumptions. The lag in which the threshold is located sheds important insights on the structure of the prey-predator system. We propose to assess the uncertainty on the location of the threshold via a new bootstrap called the nearest block bootstrap (NBB) which combines the methods of moving block bootstrap and the nearest neighbor bootstrap. The NBB assumes an underlying finite-order time-homogeneous Markov process. Essentially, the NBB bootstraps blocks of random block sizes, with each block being drawn from a non-parametric estimate of the future distribution given the realized past bootstrap series. We illustrate the methods by simulations and on a particular rodent abundance time series from Kilpisjärvi, Northern Finland. 相似文献
14.
Summary The aim of this paper is to propose new selection criteria for the orders of selfexciting threshold autoregressive (SETAR)
models. These criteria use bootstrap methodology; they are based on a weighted mean of the apparent error rate in the sample
and the average error rate obtained from bootstrap samples not containing the point being predicted. These new criteria are
compared with the traditional ones based on the Akaike information criterion (AIC). A simulation study and an example on a
real data set end the paper. 相似文献
15.
The paper considers the problem of testing for a change point in the parameters of AR(p) models.It is shown that the asymptotically limiting distribution of the residual CUSUM of squares test(RCUSQ) is still the sup of a standard Brownian bridge under null hypothesis.We also show via simulations that our asymptotic results provide good approximations in finite samples. 相似文献
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The asymptotic distribution of some test criteria for a covariance matrix are derived under local alternatives. Except for the existence of some higher moments, no assumption as to the form of the distribution function is made. As an illustration, a case of t distribution included normal model is considered and the power of the likelihood ratio test and Nagao's test for sphericity, as described in Srivastava and Khatri and Anderson, is computed. Also, the power is computed using the bootstrap method. In the case of t distribution, the bootstrap approximation does not appear to be as good as the one obtained by the asymptotic expansion method. 相似文献
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Helmut Herwartz 《商业与工业应用随机模型》2000,16(1):47-71
The so‐called ‘Monday effect’ has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock exchange the paper compares estimation results of parametric and non‐parametric autoregressive models with respect to possible weekday dependence of return data. Allowing for heteroskedastic error distributions the wild bootstrap is used to infer against time‐varying means and correlation of return data in parametric models and to obtain confidence bands for non‐parametric estimates. It is shown that time dependence is an important feature describing the dynamics of German stock market returns in the period 1960–1979. Within two subsamples obtained from the period 1980–1997 the evidence in favour of such effects is mitigated substantially. Copyright © 2000 John Wiley & Sons, Ltd. 相似文献
18.
含结构变点的厚尾序列平稳性的Bootstrap检验 总被引:1,自引:0,他引:1
The paper proposes a statistic to test stationarity of series with κ-stable innovations and structural breaks,obtains the asymptotical distribution of the statistic,and proves the consistency of the test.To obtain critic values for the test without the estimation of the index κ,the paper proposes the bootstrap procedures to approximate the distribution,and proves the consistency of the procedures.The simulations demonstrate that the bootstrap test is practical and powerful. 相似文献
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Andrés M. Alonso Daniel Peña Juan Romo 《Annals of the Institute of Statistical Mathematics》2003,55(4):765-796
Several techniques for resampling dependent data have already been proposed. In this paper we use missing values techniques
to modify the moving blocks jackknife and bootstrap. More specifically, we consider the blocks of deleted observations in
the blockwise jackknife as missing data which are recovered by missing values estimates incorporating the observation dependence
structure. Thus, we estimate the variance of a statistic as a weighted sample variance of the statistic evaluated in a “complete”
series. Consistency of the variance and the distribution estimators of the sample mean are established. Also, we apply the
missing values approach to the blockwise bootstrap by including some missing observations among two consecutive blocks and
we demonstrate the consistency of the variance and the distribution estimators of the sample mean. Finally, we present the
results of an extensive Monte Carlo study to evaluate the performance of these methods for finite sample sizes, showing that
our proposal provides variance estimates for several time series statistics with smaller mean squared error than previous
procedures. 相似文献
20.
Asymptotic properties of the parametric bootstrap procedure for maximum pseudolikelihood estimators and hypothesis tests are studied in the general framework of associated populations. The technique is applied to the analysis of toxicological experiments which, based on pseudolikelihood inference for clustered binary data, fits into this framework. It is shown that the bootstrap approximation can be used as an interesting alternative to the classical asymptotic distribution of estimators and test statistics. Finite sample simulations for clustered binary data models confirm the asymptotic theory and indicate some substantial improvements. 相似文献