Wyniki wyszukiwania - BazTech

1

Empirical likelihood inference for survival rate regression with missing information principle

Zhao Y.

Probability and Mathematical Statistics

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2009

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Vol. 29, Fasc. 1

73--89

EN

Recently, regression model for the long-term survival probabilities of patients was proposed, and a semiparametric inference procedure was developed based on missing information principle. In this paper, we propose an alternative empirical likelihood method. First, we define an estimated empirical likelihood ratio for the regression parameter. The limiting distribution of the empirical likelihood ratio is shown to have a weighted sum of i.i.d. χ21 ’s. We also define an adjusted empirical likelihood ratio for the regression parameter and the adjusted empirical likelihood ratio is shown to have a central chi-squared limiting distribution. Confidence regions for the vector of regression parameter are obtained accordingly. Furthermore, an extensive simulation study is conducted and it shows the proposed method has better coverage probability. Finally, we use a real data set to illustrate our proposed method.

2

Non-linear regression of the term structure model

Manikowski A.

Biuletyn Wojskowej Akademii Technicznej

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2003

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Vol. 52, nr 7

77-99

PL

W artykule opracowano elementy metody automatycznego szacowania krzywej dochodowości papierów skarbowych i struktury terminowej stóp procentowych na podstawie codziennych notowań tych papierów na rynkach wtórnych. Zaproponowano funkcję nieliniową jako model regresji nieliniowej, dla której podano warunki spełnienia przez estymatory pożądanych własności: zgodności, asymptotycznej normalności, efektywności. Opracowano również metodę wstępnej weryfikacji modelu empirycznego. Dodatkowo wskazano na możliwość zastosowania lepszych oszacowań macierzy wariancji-kowariancji wektora estymatorów parametrów w przypadku małych prób. Dla krzywej regresji skonstruowano przedział ufności. Uzyskane wyniki zobrazowano przykładami dla rzeczywistych danych liczbowych.

EN

This article presents elements of algorithm for automatically estimation of interest rate and yield curve model based on daily market bond prices issued by government. To construction these curves is proposed non-linear function as a regression model. Conditions for consistency allowed to construct verification method to selection the best regression equation. In situation of small sample can be used, proposed here a better estimation of variance-covariance matrix of estimators. Additionally, confidence interval is constructed for regression curve in the case large and small sample. Effect of obtained results are shown in numerical examples.

3

Multivariate Inference in clinical trials - tests with model choice, confidence regions

Läuter J., Kropf S.

Biocybernetics and Biomedical Engineering

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2002

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Vol. 22, no. 1

5-16

EN

In the paper, the formerly introduced spherical multivariate tests are coupled with procedures for selecting the relevant variables. These procedures work in such a way that a non-relevant set of variables is chosen with the probability of significance \alfa, at most. Furthermore, a new method of the calculation of linear principal-component scores is presented, which is based only on the within-sample covariances and yields, nevertheless, a level-\alfa test in each case. This method enables us to determine novel multivariate confidence regions of the unknown mean vector. The statistical procedures are demonstrated by a neurological example.