Results 111 to 120 of about 297 (132)

MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS

Econometric Theory, 2000
This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary ...
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Sufficiency, ancillarity, and information in estimating functions

1991
Abstract The optimality or the score function as an estimating function is naturally related to the Fisher information for the parameter. For any estimating function, a sufficient statistic can be used to derive a possibly more infonnative version of the given estimating function.
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The Role of Ancillarity in Inference for Non-Stationary Variables

The Economic Journal, 1995
Some examples of the regression method are compared with likelihood-based inference. It is shown that, although the asymptotic theory is distinctly different for ergodic and nonergodic processes, the likelihood methods lead to the result that asymptotic inference can be conducted in the same way for the two cases by appealing to classical conditioning ...
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An Ancillarity Paradox in the Estimation of Multinomial Probabilities

Journal of the American Statistical Association, 1990
Abstract Let X be a multinomial (n, p) variable, where n is an ancillary statistic. In Section 2, it is shown that the minimax estimator of p for fixed sample size n is not minimax for squared error loss. In Section 3, it is shown that the minimax estimator of p for fixed sample size n is still minimax for relative squared error loss.
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On the order of data reductions by ancillarity and by sufficiency

2001
Summary: In the context of frequentist inference there are strong arguments in favour of data reduction by both (a) conditioning on the most appropriate ancillary statistic and (b) restricting attention to a minimal sufficient statistic. However, significantly for the study of the foundations of frequentist inference, there are some examples in which ...
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Local Ancillarity

Biometrika, 1980
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Autonomia ancillare

Educazione. Giornale di pedagogia critica, 2017
Mattei, Francesco, Vertecchi, Benedetto
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50-Year-Old Curiosities: Ancillarity and Inference in Capture–Recapture Models

Statistical Science, 2016
Richard Barker, Matthew Schofield
exaly  

Generalizations of Ancillarity, Completeness and Sufficiency in an Inference Function Space

Annals of Statistics, 1988
Christopher G Small
exaly  

Logic of Inferential Separation. Ancillarity and Sufficiency

Wiley Series in Probability and Statistics, 2014
O Barndorff-Nielsen
exaly