In this paper,a statistical prediction problem under ordered location and scale parameters are considered.Double-shrinkage predictors are given which use all the available data and improve on single-shrinkage predicto...In this paper,a statistical prediction problem under ordered location and scale parameters are considered.Double-shrinkage predictors are given which use all the available data and improve on single-shrinkage predictors,and hence the best equivariant predictors.展开更多
Suppose that the time series Xt satisfieswhere α0≥δ＞0,αi≥0 for i=1,2,…,q;βi,i=1,…,p, are real numbers; p and q are the order of the model. The sequence {ξt};（0,1） and is independent of {hs,s≤t} for fixed ...Suppose that the time series Xt satisfieswhere α0≥δ＞0,αi≥0 for i=1,2,…,q;βi,i=1,…,p, are real numbers; p and q are the order of the model. The sequence {ξt};（0,1） and is independent of {hs,s≤t} for fixed t. The above model is usually written as AR（p）-ARCH（q）.We consider stationary series AR（p）-ARCH（q） model and assume the stationary field is θ0. We express this statement asH1:α1≥α2…≥αq,β1≥β2≥…≥βp and we consider an order restricted testing problem, which is to testH0:α1=α2=…=αq,β1=β2=…=βpagainst H1-H0. We derive the likelihood ratio （LR） test statistic and its asymptotic distri-展开更多
In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction...In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction. A similar method is also proposed for the case that the parameters are restricted by a simple order： α1≥α2≥…≥αq and β1≥β2≥…≥βp. The strong consistency of the above two estimators is discussed. Furthermore, we consider the problem of testing homogeneity of parameters against the simple order restriction. We give the likelihood ratio （LR） test statistic for the testing problem and derive its asymptotic null distribution.展开更多
The parameters of probability distributions under partial order restrictions are usually estimated by maximum likelihood estimates(MLE) and formulated as a maximization problem with a multimodal objective function sub...The parameters of probability distributions under partial order restrictions are usually estimated by maximum likelihood estimates(MLE) and formulated as a maximization problem with a multimodal objective function subject to partial order restrictions. In order to obtain the global optimal estimation of parameters, this paper presents a genetic algorithm and illustrates its effectiveness by some numerical examples.展开更多
Suppose that an order restriction is imposed among several p-variate normal mean vectors. We are interested in testing the homogeneity of these mean vectors under this restriction. This problem is an extension of Sasa...Suppose that an order restriction is imposed among several p-variate normal mean vectors. We are interested in testing the homogeneity of these mean vectors under this restriction. This problem is an extension of Sasabuchi, Tanaka and Tsukamoto＇s problem.展开更多
This paper studies non-convex programming problems. It is known that, in statistical inference, many constrained estimation problems may be expressed as convex programming problems. However, in many practical problems...This paper studies non-convex programming problems. It is known that, in statistical inference, many constrained estimation problems may be expressed as convex programming problems. However, in many practical problems, the objective functions are not convex. In this paper, we give a definition of a semi-convex objective function and discuss the corresponding non-convex programming problems. A two-step iterative algorithm called the alternating iterative method is proposed for finding solutions for such problems. The method is illustrated by three examples in constrained estimation problems given in Sasabuchi et al. （Biometrika, 72, 465472 （1983））, Shi N. Z. （J. Multivariate Anal., 50, 282-293 （1994）） and El Barmi H. and Dykstra R. （Ann. Statist., 26, 1878 1893 （1998））.展开更多
文摘In this paper,a statistical prediction problem under ordered location and scale parameters are considered.Double-shrinkage predictors are given which use all the available data and improve on single-shrinkage predictors,and hence the best equivariant predictors.
文摘Suppose that the time series Xt satisfieswhere α0≥δ＞0,αi≥0 for i=1,2,…,q;βi,i=1,…,p, are real numbers; p and q are the order of the model. The sequence {ξt};（0,1） and is independent of {hs,s≤t} for fixed t. The above model is usually written as AR（p）-ARCH（q）.We consider stationary series AR（p）-ARCH（q） model and assume the stationary field is θ0. We express this statement asH1:α1≥α2…≥αq,β1≥β2≥…≥βp and we consider an order restricted testing problem, which is to testH0:α1=α2=…=αq,β1=β2=…=βpagainst H1-H0. We derive the likelihood ratio （LR） test statistic and its asymptotic distri-
文摘In this paper, we study a stationary AR（p）-ARCH（q） model with parameter vectors α and β. We propose a method for computing the maximum likelihood estimator （MLE） of parameters under the nonnegative restriction. A similar method is also proposed for the case that the parameters are restricted by a simple order： α1≥α2≥…≥αq and β1≥β2≥…≥βp. The strong consistency of the above two estimators is discussed. Furthermore, we consider the problem of testing homogeneity of parameters against the simple order restriction. We give the likelihood ratio （LR） test statistic for the testing problem and derive its asymptotic null distribution.
文摘The parameters of probability distributions under partial order restrictions are usually estimated by maximum likelihood estimates(MLE) and formulated as a maximization problem with a multimodal objective function subject to partial order restrictions. In order to obtain the global optimal estimation of parameters, this paper presents a genetic algorithm and illustrates its effectiveness by some numerical examples.
基金Supported by Shanghai Leading Academic Discipline Project, Project No. B803
文摘Suppose that an order restriction is imposed among several p-variate normal mean vectors. We are interested in testing the homogeneity of these mean vectors under this restriction. This problem is an extension of Sasabuchi, Tanaka and Tsukamoto＇s problem.
基金the National Natural Science Foundation of China (Nos.10431010,10501005)Science Foundation for Young Teachers of NENU (No.20070103)
文摘This paper studies non-convex programming problems. It is known that, in statistical inference, many constrained estimation problems may be expressed as convex programming problems. However, in many practical problems, the objective functions are not convex. In this paper, we give a definition of a semi-convex objective function and discuss the corresponding non-convex programming problems. A two-step iterative algorithm called the alternating iterative method is proposed for finding solutions for such problems. The method is illustrated by three examples in constrained estimation problems given in Sasabuchi et al. （Biometrika, 72, 465472 （1983））, Shi N. Z. （J. Multivariate Anal., 50, 282-293 （1994）） and El Barmi H. and Dykstra R. （Ann. Statist., 26, 1878 1893 （1998））.
