With the help of today’s computers, it is always relatively easy to find maximum-likelihood estimators of one or more parameters of any specific statistical distribution, and use these to construct the corresponding ...With the help of today’s computers, it is always relatively easy to find maximum-likelihood estimators of one or more parameters of any specific statistical distribution, and use these to construct the corresponding approximate confidence interval/region, facilitated by the well-known asymptotic properties of the likelihood function. The purpose of this article is to make this approximation substantially more accurate by extending the Taylor expansion of the corresponding probability density function to include quadratic and cubic terms in several centralized sample means, and thus finding the corresponding -proportional correction to the original algorithm. We then demonstrate the new procedure’s usage, both for constructing confidence regions and for testing hypotheses, emphasizing that incorporating this correction carries minimal computational and programming cost. In our final chapter, we present two examples to indicate how significantly the new approximation improves the procedure’s accuracy.展开更多
A geometric framework is proposed for semiparametric nonlinear regression models based on the concept of least favorable curve, introduced by Severini and Wong (1992). The authors use this framework to drive three kin...A geometric framework is proposed for semiparametric nonlinear regression models based on the concept of least favorable curve, introduced by Severini and Wong (1992). The authors use this framework to drive three kinds of improved approximate confidence regions for the parameter and parameter subset in terms of curvatures. The results obtained by Hamilton et al. (1982), Hamilton (1986) and Wei (1994) are extended to semiparametric nonlinear regression models.展开更多
This paper constructs a set of confidence regions of parameters in terms of statistical curvatures for AR(q) nonlinear regression models. The geometric frameworks are proposed for the model. Then several confidence re...This paper constructs a set of confidence regions of parameters in terms of statistical curvatures for AR(q) nonlinear regression models. The geometric frameworks are proposed for the model. Then several confidence regions for parameters and parameter subsets in terms of statistical curvatures are given based on the likelihood ratio statistics and score statistics. Several previous results, such as [1] and [2] are extended to AR(q) nonlinear regression models.展开更多
In this paper, we obtain the joint empirical likelihood confidence regions for a finite number of quantiles under strong mixing samples. As an application of this result, the empirical likelihood confidence intervals ...In this paper, we obtain the joint empirical likelihood confidence regions for a finite number of quantiles under strong mixing samples. As an application of this result, the empirical likelihood confidence intervals for the difference of any two quantiles are also obtained.展开更多
Consider a distribution with several parameters whose exact values are unknown and need to be estimated using the maximum-likelihood technique. Under a regular case of estimation, it is fairly routine to construct a c...Consider a distribution with several parameters whose exact values are unknown and need to be estimated using the maximum-likelihood technique. Under a regular case of estimation, it is fairly routine to construct a confidence region for all such parameters, based on the natural logarithm of the corresponding likelihood function. In this article, we investigate the case of doing this for only some of these parameters, assuming that the remaining (so called nuisance) parameters are of no interest to us. This is to be done at a chosen level of confidence, maintaining the usual accuracy of this procedure (resulting in about 1% error for samples of size , and further decreasing with 1/n). We provide a general solution to this problem, demonstrating it by many explicit examples.展开更多
The ensemble Kalman filter (EnKF) is a distinguished data assimilation method that is widely used and studied in various fields including methodology and oceanography. However, due to the limited sample size or impr...The ensemble Kalman filter (EnKF) is a distinguished data assimilation method that is widely used and studied in various fields including methodology and oceanography. However, due to the limited sample size or imprecise dynamics model, it is usually easy for the forecast error variance to be underestimated, which further leads to the phenomenon of filter divergence. Additionally, the assimilation results of the initial stage are poor if the initial condition settings differ greatly from the true initial state. To address these problems, the variance inflation procedure is usually adopted. In this paper, we propose a new method based on the constraints of a confidence region constructed by the observations, called EnCR, to estimate the inflation parameter of the forecast error variance of the EnKF method. In the new method, the state estimate is more robust to both the inaccurate forecast models and initial condition settings. The new method is compared with other adaptive data assimilation methods in the Lorenz-63 and Lorenz-96 models under various model parameter settings. The simulation results show that the new method performs better than the competing methods.展开更多
In this paper we will investigate some non-asymptotic properties of the modified least squares estimates for the non-linear function f(λ*) by observations that nonlinearly depend on the parameter λ*. Non-asymptotic ...In this paper we will investigate some non-asymptotic properties of the modified least squares estimates for the non-linear function f(λ*) by observations that nonlinearly depend on the parameter λ*. Non-asymptotic confidence regions with fixed sizes for the modified least squares estimate are used. The obtained confidence region is valid for a finite number of data points when the distributions of the observations are unknown. Asymptotically the suggested estimates represent usual estimates of the least squares. The paper presents the results of practical applications of the proposed method in C-OTDR monitoring systems.展开更多
In this paper, a partially linear single-index model is investigated, and three empirical log-likelihood ratio statistics for the unknown parameters in the model are suggested. It is proved that the proposed statistic...In this paper, a partially linear single-index model is investigated, and three empirical log-likelihood ratio statistics for the unknown parameters in the model are suggested. It is proved that the proposed statistics are asymptotically standard chi-square under some suitable conditions, and hence can be used to construct the confidence regions of the parameters. Our methods can also deal with the confidence region construction for the index in the pure single-index model. A simulation study indicates that, in terms of coverage probabilities and average areas of the confidence regions, the proposed methods perform better than the least-squares method.展开更多
In this paper, the authors obtain the joint empirical likelihood con?dence regions for a?nite number of quantiles under negatively associated samples. As an application of this result, the empirical likelihood con?den...In this paper, the authors obtain the joint empirical likelihood con?dence regions for a?nite number of quantiles under negatively associated samples. As an application of this result, the empirical likelihood con?dence intervals for the difference of any two quantiles are also developed.展开更多
文摘With the help of today’s computers, it is always relatively easy to find maximum-likelihood estimators of one or more parameters of any specific statistical distribution, and use these to construct the corresponding approximate confidence interval/region, facilitated by the well-known asymptotic properties of the likelihood function. The purpose of this article is to make this approximation substantially more accurate by extending the Taylor expansion of the corresponding probability density function to include quadratic and cubic terms in several centralized sample means, and thus finding the corresponding -proportional correction to the original algorithm. We then demonstrate the new procedure’s usage, both for constructing confidence regions and for testing hypotheses, emphasizing that incorporating this correction carries minimal computational and programming cost. In our final chapter, we present two examples to indicate how significantly the new approximation improves the procedure’s accuracy.
文摘A geometric framework is proposed for semiparametric nonlinear regression models based on the concept of least favorable curve, introduced by Severini and Wong (1992). The authors use this framework to drive three kinds of improved approximate confidence regions for the parameter and parameter subset in terms of curvatures. The results obtained by Hamilton et al. (1982), Hamilton (1986) and Wei (1994) are extended to semiparametric nonlinear regression models.
文摘This paper constructs a set of confidence regions of parameters in terms of statistical curvatures for AR(q) nonlinear regression models. The geometric frameworks are proposed for the model. Then several confidence regions for parameters and parameter subsets in terms of statistical curvatures are given based on the likelihood ratio statistics and score statistics. Several previous results, such as [1] and [2] are extended to AR(q) nonlinear regression models.
基金Supported by the National Natural Science Foundation of China(11271088,11361011,11201088)the Natural Science Foundation of Guangxi(2013GXNSFAA019004,2013GXNSFAA019007,2013GXNSFBA019001)
文摘In this paper, we obtain the joint empirical likelihood confidence regions for a finite number of quantiles under strong mixing samples. As an application of this result, the empirical likelihood confidence intervals for the difference of any two quantiles are also obtained.
文摘Consider a distribution with several parameters whose exact values are unknown and need to be estimated using the maximum-likelihood technique. Under a regular case of estimation, it is fairly routine to construct a confidence region for all such parameters, based on the natural logarithm of the corresponding likelihood function. In this article, we investigate the case of doing this for only some of these parameters, assuming that the remaining (so called nuisance) parameters are of no interest to us. This is to be done at a chosen level of confidence, maintaining the usual accuracy of this procedure (resulting in about 1% error for samples of size , and further decreasing with 1/n). We provide a general solution to this problem, demonstrating it by many explicit examples.
基金supported in part by the National Key Basic Research Development Program of China (Grant No. 2010CB950703)the Fundamental Research Funds for the Central Universities of China and the Program of China Scholarships Council (CSC No. 201506040130)
文摘The ensemble Kalman filter (EnKF) is a distinguished data assimilation method that is widely used and studied in various fields including methodology and oceanography. However, due to the limited sample size or imprecise dynamics model, it is usually easy for the forecast error variance to be underestimated, which further leads to the phenomenon of filter divergence. Additionally, the assimilation results of the initial stage are poor if the initial condition settings differ greatly from the true initial state. To address these problems, the variance inflation procedure is usually adopted. In this paper, we propose a new method based on the constraints of a confidence region constructed by the observations, called EnCR, to estimate the inflation parameter of the forecast error variance of the EnKF method. In the new method, the state estimate is more robust to both the inaccurate forecast models and initial condition settings. The new method is compared with other adaptive data assimilation methods in the Lorenz-63 and Lorenz-96 models under various model parameter settings. The simulation results show that the new method performs better than the competing methods.
文摘In this paper we will investigate some non-asymptotic properties of the modified least squares estimates for the non-linear function f(λ*) by observations that nonlinearly depend on the parameter λ*. Non-asymptotic confidence regions with fixed sizes for the modified least squares estimate are used. The obtained confidence region is valid for a finite number of data points when the distributions of the observations are unknown. Asymptotically the suggested estimates represent usual estimates of the least squares. The paper presents the results of practical applications of the proposed method in C-OTDR monitoring systems.
基金supported by the Natural Science Foundation of Beijing City(Grant No.1042002)Technology Development Plan Project of Beijing Education Committee(Grant No.KM2005 10005009)+1 种基金the Special Grants of Beijing for Talents(Grant No.20041D0501515)supported by a grant from the Research Grants Council of Hong Kong,Hong Kong(Grant No.HKU7060/04P).
文摘In this paper, a partially linear single-index model is investigated, and three empirical log-likelihood ratio statistics for the unknown parameters in the model are suggested. It is proved that the proposed statistics are asymptotically standard chi-square under some suitable conditions, and hence can be used to construct the confidence regions of the parameters. Our methods can also deal with the confidence region construction for the index in the pure single-index model. A simulation study indicates that, in terms of coverage probabilities and average areas of the confidence regions, the proposed methods perform better than the least-squares method.
基金supported by the National Natural Science Foundation of China under Grant Nos.1127108811361011+3 种基金11201088the Natural Science Foundation of Guangxi under Grant No.2013GXNSFAA0190042013 GXNSFAA 0190072013GXNSFBA019001
文摘In this paper, the authors obtain the joint empirical likelihood con?dence regions for a?nite number of quantiles under negatively associated samples. As an application of this result, the empirical likelihood con?dence intervals for the difference of any two quantiles are also developed.