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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 14-Nov-2014 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 http://dx.doi.org/10.1016/j.jspi.2009.07.014
dc.contributor 統計系en_US
dc.creator (作者) Chen,Shen-Chien;Weng,Ruby C;Huang,Tzeemingen_US
dc.date (日期) 2010-01en_US
dc.date.accessioned 14-Nov-2014 17:58:58 (UTC+8)-
dc.date.available 14-Nov-2014 17:58:58 (UTC+8)-
dc.date.issued (上傳時間) 14-Nov-2014 17:58:58 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/71478-
dc.description.abstract (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.en_US
dc.format.extent 207804 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Statistical Planning and Inference,140(1),297-309en_US
dc.title (題名) Corrected Confidence Intervals for Parameters in Adaptive Linear Modelsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jspi.2009.07.014en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jspi.2009.07.014en_US