[논문]Foundations of multivariate inference using modern computers

Vinod, H.D.

doi:10.1016/S0024-3795(00)00185-3

[해외논문] Foundations of multivariate inference using modern computers 원문보기

Linear algebra and its applications, v.321 no.1/3, 2000년, pp.365 - 385

Vinod, H.D. (Economics Department. Fordham University, Bronx, New York, NY 10458, USA)

Abstract ▼ AI-Helper

AbstractFisher suggested in 1930s algebraically structured pivot functions (PFs) whose distribution does not depend on unknown parameters. These pivots provided a foundation for (asymptotic) statistical inference. T.W. Anderson [Introduction to Multivariate Statistical Analysis, Wiley, New York, 1958, p. 116] introduced the concept of a critical function of observables, which finds the rejection probability of a test for Fisher's pivot. H.D. Vinod [J. Econometrics 86 (1998) 387] shows that V.P. Godambe's [Biometrika 78 (1985) 419] pivot function (GPF) based on Godambe–Durbin `estimating funtions' (EFs) from [Ann. Math. Statist. 31 (1960) 1208] are particularly robust compared to pivots by B. Efron and D.V. Hinkley [Biometrica 65 (1978) 457] and R.M. Royall [Internat. Statist. Rev. 54 (2) (1986) 221]. Vinod argues that numerically computed algebraic roots of GPFs based on algebraically scaled score functions can fill a long-standing need of the bootstrap literature for robust pivots. This paper considers D.R. Cox's [Biometrica 62 (1975) 269] example in detail and reports on a simulation for it. This paper also discusses new pivots for Poisson mean, binomial probability and normal standard deviation. We propose inference methods for a modified standard deviation designed to represent financial risk. In the context of regression problems, we propose and discuss Godambe-type multivariate pivots (denoted by GPF2) which are asymptotically χ2.

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H.D. Vinod, P. Samanta, Forecasting exchange rate dynamics using GMM, estimating functions and numerical conditional variance methods, Presented at the 17th Annual International Symposium on Forecasting, Barbados, June 1997

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