This paper studies relationships between the best linear unbiased estimators （BLUEs） of an estimable parametric functions Kβunder the Gauss-Markov model {y, Xβ, σ^2]E} and its misspecified model {y, X0β,σ^2∑0}...This paper studies relationships between the best linear unbiased estimators （BLUEs） of an estimable parametric functions Kβunder the Gauss-Markov model {y, Xβ, σ^2]E} and its misspecified model {y, X0β,σ^2∑0}. In addition, relationships between BLUEs under a restricted Gauss Markov model and its misspecified model are also investigated.展开更多
Depending on the asymptotical independence of periodograms,exponential tilted(ET)likelihood,as an effective nonparametric statistical method,is developed to deal with time series in this paper.Similar to empirical lik...Depending on the asymptotical independence of periodograms,exponential tilted(ET)likelihood,as an effective nonparametric statistical method,is developed to deal with time series in this paper.Similar to empirical likelihood(EL),it still suffers from two drawbacks:the nondefinition problem of the likelihood function and the under-coverage probability of confidence region.To overcome these two problems,we further proposed the adjusted ET(AET)likelihood.With a specific adjustment level,our simulation studies indicate that the AET method achieves a higher-order coverage precision than the unadjusted ET method.In addition,due to the good performance of ET under moment model misspecification[Schennach,S.M.(2007).Point estimation with exponentially tilted empirical likelihood.The Annals of Statistics,35(2),634–672.https://doi.org/10.1214/009053606000001208],we show that the one-order property of point estimate is preserved for the misspecified spectral estimating equations of the autoregressive coefficient of AR(1).The simulation results illustrate that the point estimates of the ET outperform those of the EL and their hybrid in terms of standard deviation.A real data set is analyzed for illustration purpose.展开更多
基金Supported in part by National Natural Science Foundation of China (Grant No.70871073)
文摘This paper studies relationships between the best linear unbiased estimators （BLUEs） of an estimable parametric functions Kβunder the Gauss-Markov model {y, Xβ, σ^2]E} and its misspecified model {y, X0β,σ^2∑0}. In addition, relationships between BLUEs under a restricted Gauss Markov model and its misspecified model are also investigated.
基金supported by Natural Science Foundation of Shanghai(17ZR1409000)National Natural Science Foundation of China(11831008,11971171)the Open Research Fundof KeyLaboratory of Advanced Theory andApplication in Statistics and Data Science-MOE,ECNU.
文摘Depending on the asymptotical independence of periodograms,exponential tilted(ET)likelihood,as an effective nonparametric statistical method,is developed to deal with time series in this paper.Similar to empirical likelihood(EL),it still suffers from two drawbacks:the nondefinition problem of the likelihood function and the under-coverage probability of confidence region.To overcome these two problems,we further proposed the adjusted ET(AET)likelihood.With a specific adjustment level,our simulation studies indicate that the AET method achieves a higher-order coverage precision than the unadjusted ET method.In addition,due to the good performance of ET under moment model misspecification[Schennach,S.M.(2007).Point estimation with exponentially tilted empirical likelihood.The Annals of Statistics,35(2),634–672.https://doi.org/10.1214/009053606000001208],we show that the one-order property of point estimate is preserved for the misspecified spectral estimating equations of the autoregressive coefficient of AR(1).The simulation results illustrate that the point estimates of the ET outperform those of the EL and their hybrid in terms of standard deviation.A real data set is analyzed for illustration purpose.
