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請使用永久網址來引用或連結此文件:
https://nccur.lib.nccu.edu.tw/handle/140.119/71478
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| 題名: | Corrected Confidence Intervals for Parameters in Adaptive Linear Models |
| 作者: | Chen,Shen-Chien;Weng,Ruby C;Huang,Tzeeming |
| 貢獻者: | 統計系 |
| 日期: | 2010-01 |
| 上傳時間: | 2014-11-14 17:58:58 (UTC+8) |
| 摘要: | Consider an adaptive linear model , where xt=(xt1,…,xtp)′ may depend on previous responses. Woodroofe and Coad [1999. Corrected confidence sets for sequentially designed experiments: examples. In: Ghosh, S. (Ed.), Multivariate Analysis, Design of Experiments, and Survey Sampling. Marcel Dekker, Inc., New York, pp. 135–161] derived very weak asymptotic expansions for the distributions of an appropriate pivotal quantity and constructed corrected confidence sets for θ, where the correction terms involve the limit of (as n approaches infinity) and its derivatives with respect to θ. However, the analytic form of this limit and its derivatives may not be tractable in some models. This paper proposes a numerical method to approximate the correction terms. For the resulting approximate pivot, we show that under mild conditions the error induced by numerical approximation is op(1/n). Then, we assess the accuracy of the proposed method by an autoregressive model and a threshold autoregressive model. |
| 關聯: | Journal of Statistical Planning and Inference,140(1),297-309 |
| 資料類型: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.jspi.2009.07.014 |
| DOI: | 10.1016/j.jspi.2009.07.014 |
| 顯示於類別: | [統計學系] 期刊論文
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| 297-309.pdf | | 202Kb | Adobe PDF2 | 1150 | 檢視/開啟 |
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