By employing the empirical likelihood method, confidence regions for the stationary AR（p）-ARCH（q） models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-li...By employing the empirical likelihood method, confidence regions for the stationary AR（p）-ARCH（q） models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation.展开更多
In lifetime data analysis, naturally recorded observations are length-biased data if the probability to select an item is proportional to its length. Based on i.i.d, observations of the true distribution, empirical li...In lifetime data analysis, naturally recorded observations are length-biased data if the probability to select an item is proportional to its length. Based on i.i.d, observations of the true distribution, empirical likelihood （EL） procedure is proposed for the inference on mean residual life （MRL） of naturally recorded item. The limit distribution of the EL based log-likelihood ratio is proved to be the chi-square distribution. Under right censorship, since the EL based log-likelihood ratio leads to a scaled chi-square distribution and estimating the scale parameter leads to lower coverage of confidence interval, we propose an algorithm to calculate the likelihood ratio （LR） directly. The corresponding log-likelihood ratio converges to the standard chi-square distribution and the corresponding confidence interval has a better coverage. Simulation studies are used to support the theoretical results.展开更多
The maximum entropy method has been widely used in many fields, such as statistical mechanics,economics, etc. Its crucial idea is that when we make inference based on partial information, we must use the distribution ...The maximum entropy method has been widely used in many fields, such as statistical mechanics,economics, etc. Its crucial idea is that when we make inference based on partial information, we must use the distribution with maximum entropy subject to whatever is known. In this paper, we investigate the empirical entropy method for right censored data and use simulation to compare the empirical entropy method with the empirical likelihood method. Simulations indicate that the empirical entropy method gives better coverage probability than that of the empirical likelihood method for contaminated and censored lifetime data.展开更多
基金Supported by the Fundamental Research Funds for the Central Universities (No. 2010LKSX04)Supported by the National Natural Science Foundation of China (No. 10731010)
文摘By employing the empirical likelihood method, confidence regions for the stationary AR（p）-ARCH（q） models are constructed. A self-weighted LAD estimator is proposed under weak moment conditions. An empirical log-likelihood ratio statistic is derived and its asymptotic distribution is obtained. Simulation studies show that the performance of empirical likelihood method is better than that of normal approximation of the LAD estimator in terms of the coverage accuracy, especially for relative small size of observation.
基金Supported by the National Natural Science Foundation of China(No.11171230,11231010,11471272)
文摘In lifetime data analysis, naturally recorded observations are length-biased data if the probability to select an item is proportional to its length. Based on i.i.d, observations of the true distribution, empirical likelihood （EL） procedure is proposed for the inference on mean residual life （MRL） of naturally recorded item. The limit distribution of the EL based log-likelihood ratio is proved to be the chi-square distribution. Under right censorship, since the EL based log-likelihood ratio leads to a scaled chi-square distribution and estimating the scale parameter leads to lower coverage of confidence interval, we propose an algorithm to calculate the likelihood ratio （LR） directly. The corresponding log-likelihood ratio converges to the standard chi-square distribution and the corresponding confidence interval has a better coverage. Simulation studies are used to support the theoretical results.
基金Supported by the National Natural Science Foundation of China(No.11171230,11231010)
文摘The maximum entropy method has been widely used in many fields, such as statistical mechanics,economics, etc. Its crucial idea is that when we make inference based on partial information, we must use the distribution with maximum entropy subject to whatever is known. In this paper, we investigate the empirical entropy method for right censored data and use simulation to compare the empirical entropy method with the empirical likelihood method. Simulations indicate that the empirical entropy method gives better coverage probability than that of the empirical likelihood method for contaminated and censored lifetime data.
