Artificial and Approximate Likelihoods
人工和近似可能性
基本信息
- 批准号:9626266
- 负责人:
- 金额:$ 12万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Standard Grant
- 财政年份:1996
- 资助国家:美国
- 起止时间:1996-08-01 至 2000-07-31
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
DMS 9626266 Mykland The project seeks to extend the use of likelihood methods to semi- and nonparametric situations. Important questions include how to define and assess the accuracy of the likelihood ratio and R-star statistics. Of particular interest so far has been the development of the dual likelihood, of Bartlett identities for martingales, and of embedding techniques which permit the derivation of asymptotic expansions for martingales. Currently, the investigators are expanding the theory to cover non-martingale situations, by considering criterion functions which are approximately likelihoods. This covers a much broader spectrum of data analysis problems. It is desirable to describe what types of inference can be covered by this, and what corrections over likelihood inference that ought to be used when carrying out procedures based on this approach. The study concerns both existing procedures (such as empirical and point process "likelihoods"), and at new constructions which arise from the artificial likelihood point of view. In particular, the "design-your-own likelihood" is being investigated, with particular reference to resampling based criterion functions. The implications for problems in financial engineering and investment under uncertainty are being studied as part of the project. Policy makers in both business and goverment are faced with the need to take decisions under uncertainty. Firms invest in new plants, for instance, with imperfect knowledge of current and future market conditions for their products. Regulations concerning the environment, as another example, often try to affect systems that are so complex that even with the best models and scientific studies, there is tremendous uncertainty about the effects of one's actions. Decisions in such circumstances not only require estimates and predictions, but also a maximally accurate quantification of how far away such estimates are likely to be from the actual figures. This project is about a new technology for doing this, one that substantially improves the reliability of such assessments. It is based on a statistical theory ("likelihood inference") first developed in Britain in the 1920s, but which has only in the last few years been opened up to the more complex and vaguely specified systems often faced by policy makers.
该项目旨在将似然方法的使用扩展到半参数和非参数情况。重要的问题包括如何定义和评估似然比和r星统计的准确性。到目前为止,特别令人感兴趣的是对偶似然的发展,鞅的Bartlett恒等式,以及允许推导鞅渐近展开式的嵌入技术。目前,研究人员正在通过考虑近似似然的准则函数,将理论扩展到非鞅情况。这涵盖了更广泛的数据分析问题。我们希望描述这种方法可以涵盖哪些类型的推理,以及在基于这种方法执行过程时应该使用哪些对似然推理的修正。该研究既涉及现有程序(如经验和点过程“可能性”),也涉及从人工可能性观点产生的新结构。特别是,“设计你自己的可能性”正在研究中,特别提到了基于重新抽样的标准函数。作为该项目的一部分,正在研究不确定性对金融工程和投资问题的影响。企业和政府的政策制定者都面临着在不确定的情况下做出决策的需要。例如,投资新工厂的企业,对其产品当前和未来的市场状况并不完全了解。另一个例子是,与环境有关的法规往往试图影响如此复杂的系统,以至于即使有最好的模型和科学研究,个人行为的影响也存在巨大的不确定性。在这种情况下的决策不仅需要估计和预测,而且还需要对这些估计可能与实际数字的距离进行最精确的量化。这个项目是关于这样做的一种新技术,一种实质上提高这种评估可靠性的技术。它基于一种统计理论(“可能性推断”),该理论最早于20世纪20年代在英国发展起来,但直到最近几年才向决策者经常面临的更复杂、更模糊的系统开放。
项目成果
期刊论文数量(0)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
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Per Mykland其他文献
Per Mykland的其他文献
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{{ truncateString('Per Mykland', 18)}}的其他基金
Collaborative Research: Statistical Inference for High Dimensional and High Frequency Data
合作研究:高维高频数据的统计推断
- 批准号:
2015544 - 财政年份:2020
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
Collaborative Research: Statistical Inference for High-Frequency Data
合作研究:高频数据的统计推断
- 批准号:
1713129 - 财政年份:2017
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
Collaborative Research: Better efficiency, better forecasting, better accuracy: A new light on the dependence structure in high frequency data
协作研究:更高的效率、更好的预测、更高的准确性:高频数据中依赖结构的新视角
- 批准号:
1407812 - 财政年份:2014
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
Statistical Inference for High Frequency Data
高频数据的统计推断
- 批准号:
1124526 - 财政年份:2011
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
Inference and Ill-Posedness for Financial High Frequency Data
金融高频数据的推理和不适定
- 批准号:
0631605 - 财政年份:2007
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
Statistical Inference for High Frequency Data
高频数据的统计推断
- 批准号:
0604758 - 财政年份:2006
- 资助金额:
$ 12万 - 项目类别:
Continuing Grant
Is Deliberate Misspecification Desirable? Statistical Study of Financial and Other Time-Dependent Data
故意错误指定是可取的吗?
- 批准号:
0204639 - 财政年份:2002
- 资助金额:
$ 12万 - 项目类别:
Continuing Grant
Mathematical Sciences: Expanison and Likelihood Methods forMartingales and Martingale Inference
数学科学:鞅和鞅推理的展开和似然方法
- 批准号:
9305601 - 财政年份:1993
- 资助金额:
$ 12万 - 项目类别:
Standard Grant
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