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Author: Zhong Guan
Publisher:
ISBN:
Category : Statistical hypothesis testing
Languages : en
Pages : 358
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Author: Zhong Guan
Publisher:
ISBN:
Category : Statistical hypothesis testing
Languages : en
Pages : 358
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Book Description
Author: Art B. Owen
Publisher: CRC Press
ISBN: 1420036157
Category : Mathematics
Languages : en
Pages : 322
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Book Description
Empirical likelihood provides inferences whose validity does not depend on specifying a parametric model for the data. Because it uses a likelihood, the method has certain inherent advantages over resampling methods: it uses the data to determine the shape of the confidence regions, and it makes it easy to combined data from multiple sources. It al
Author: Mai Zhou
Publisher: CRC Press
ISBN: 1466554932
Category : Mathematics
Languages : en
Pages : 221
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Book Description
Empirical Likelihood Method in Survival Analysis explains how to use the empirical likelihood method for right censored survival data. The author uses R for calculating empirical likelihood and includes many worked out examples with the associated R code. The datasets and code are available for download on his website and CRAN. The book focuses on all the standard survival analysis topics treated with empirical likelihood, including hazard functions, cumulative distribution functions, analysis of the Cox model, and computation of empirical likelihood for censored data. It also covers semi-parametric accelerated failure time models, the optimality of confidence regions derived from empirical likelihood or plug-in empirical likelihood ratio tests, and several empirical likelihood confidence band results. While survival analysis is a classic area of statistical study, the empirical likelihood methodology has only recently been developed. Until now, just one book was available on empirical likelihood and most statistical software did not include empirical likelihood procedures. Addressing this shortfall, this book provides the functions to calculate the empirical likelihood ratio in survival analysis as well as functions related to the empirical likelihood analysis of the Cox regression model and other hazard regression models.
Author: Yan Liu
Publisher: Springer
ISBN: 9811001529
Category : Mathematics
Languages : en
Pages : 144
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Book Description
This book integrates the fundamentals of asymptotic theory of statistical inference for time series under nonstandard settings, e.g., infinite variance processes, not only from the point of view of efficiency but also from that of robustness and optimality by minimizing prediction error. This is the first book to consider the generalized empirical likelihood applied to time series models in frequency domain and also the estimation motivated by minimizing quantile prediction error without assumption of true model. It provides the reader with a new horizon for understanding the prediction problem that occurs in time series modeling and a contemporary approach of hypothesis testing by the generalized empirical likelihood method. Nonparametric aspects of the methods proposed in this book also satisfactorily address economic and financial problems without imposing redundantly strong restrictions on the model, which has been true until now. Dealing with infinite variance processes makes analysis of economic and financial data more accurate under the existing results from the demonstrative research. The scope of applications, however, is expected to apply to much broader academic fields. The methods are also sufficiently flexible in that they represent an advanced and unified development of prediction form including multiple-point extrapolation, interpolation, and other incomplete past forecastings. Consequently, they lead readers to a good combination of efficient and robust estimate and test, and discriminate pivotal quantities contained in realistic time series models.
Author: Yanmei Xie
Publisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 125
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Book Description
Missing covariate data occurs often in regression analysis, which frequently arises in the health and social sciences as well as in survey sampling. This dissertation contains three topics in nonignorable covariate-missing data problems, in which we study methods for the analysis of a nonignorable covariate-missing data problem in an assumed conditional mean function when some covariates are completely observed but other covariates are missing for some subjects. First, by exploitation of a probability model of missingness and a working conditional score model from a semiparametric perspective, we propose a unified approach to constructing a system of unbiased estimating equations, where there are more equations than unknown parameters of interest. These unbiased estimating equations naturally incorporate the incomplete data into the data analysis, making it possible to seek efficient estimation of the parameter of interest even when the working regression function is not specified to be the optimal regression function. Based on the proposed estimating equations, we introduce three maximum empirical likelihood estimators of the underlying regression parameters and compare their efficiencies with other existing competitors. By utilizing the proposed empirical likelihood method on a data set from the US National Health and Nutrition Examination Survey (NHANES), we study the effect of daily alcohol consumption on hypertension. Second, we explore unconstrained and constrained empirical likelihood ratio statistics to construct empirical likelihood confidence regions for the underlying regression parameters without and with constraints. We establish the asymptotic distributions of the proposed empirical likelihood ratio statistics. The proposed empirical likelihood methods have a better finite-sample performance than other existing competitors in terms of coverage probability and interval length. An analysis on the data set from the US NHANES demonstrates that increased alcohol consumption per day is significantly associated with increased systolic blood pressure. In addition, higher body mass index and older age have a significantly higher risk of hypertension. Third, we propose a pseudo empirical likelihood ratio statistic, yet it is demonstrated following an asymptotically chi-squared distribution. Our proposed method allows for confidence interval construction without variance estimation and thus is more computationally feasible. Simulation results suggest that the proposed empirical likelihood confidence interval has a better finite-sample performance than the corresponding Wald-based competitor in terms of coverage probability and interval length. Moreover, the proposed empirical likelihood ratio test is always superior to the Wald method in terms of their power performances in our simulation studies.
Author: Kaitai Fang
Publisher: World Scientific
ISBN: 9812567763
Category : Mathematics
Languages : en
Pages : 470
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Book Description
Index. Subject index -- Author index
Author: Yun Gong
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages :
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Book Description
In 1988, Owen introduced empirical likelihood as a nonparametric method for constructing confidence intervals and regions. Since then, empirical likelihood has been studied extensively in the literature due to its generality and effectiveness. It is well known that empirical likelihood has several attractive advantages comparing to its competitors such as bootstrap: determining the shape of confidence regions automatically using only the data; straightforwardly incorporating side information expressed through constraints; being Bartlett correctable. The main part of this thesis extends the empirical likelihood method to several interesting and important statistical inference situations. This thesis has four components. The first component (Chapter II) proposes a smoothed jackknife empirical likelihood method to construct confidence intervals for the receiver operating characteristic (ROC) curve in order to overcome the computational difficulty when we have nonlinear constrains in the maximization problem. The second component (Chapter III and IV) proposes smoothed empirical likelihood methods to obtain interval estimation for the conditional Value-at-Risk with the volatility model being an ARCH/GARCH model and a nonparametric regression respectively, which have applications in financial risk management. The third component(Chapter V) derives the empirical likelihood for the intermediate quantiles, which plays an important role in the statistics of extremes. Finally, the fourth component (Chapter VI and VII) presents two additional results: in Chapter VI, we present an interesting result by showing that, when the third moment is infinity, we may prefer the Student's t-statistic to the sample mean standardized by the true standard deviation; in Chapter VII, we present a method for testing a subset of parameters for a given parametric model of stationary processes.
Author: Yudi Pawitan
Publisher: OUP Oxford
ISBN: 0191650579
Category : Mathematics
Languages : en
Pages : 543
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Book Description
Based on a course in the theory of statistics this text concentrates on what can be achieved using the likelihood/Fisherian method of taking account of uncertainty when studying a statistical problem. It takes the concept ot the likelihood as providing the best methods for unifying the demands of statistical modelling and the theory of inference. Every likelihood concept is illustrated by realistic examples, which are not compromised by computational problems. Examples range from a simile comparison of two accident rates, to complex studies that require generalised linear or semiparametric modelling. The emphasis is that the likelihood is not simply a device to produce an estimate, but an important tool for modelling. The book generally takes an informal approach, where most important results are established using heuristic arguments and motivated with realistic examples. With the currently available computing power, examples are not contrived to allow a closed analytical solution, and the book can concentrate on the statistical aspects of the data modelling. In addition to classical likelihood theory, the book covers many modern topics such as generalized linear models and mixed models, non parametric smoothing, robustness, the EM algorithm and empirical likelihood.
Author: Michael R. Kosorok
Publisher: Springer Science & Business Media
ISBN: 0387749780
Category : Mathematics
Languages : en
Pages : 482
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Book Description
Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.
Author: Min Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 304
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Book Description
