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9780521877220

From Finite Sample to Asymptotic Methods in Statistics

by
  • ISBN13:

    9780521877220

  • ISBN10:

    0521877229

  • Format: Hardcover
  • Copyright: 2009-10-30
  • Publisher: Cambridge University Press

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Summary

Exact statistical inference may be employed in diverse fields of science and technology. As problems become more complex and sample sizes become larger, mathematical and computational difficulties can arise that require the use of approximate statistical methods. Such methods are justified by asymptotic arguments but are still based on the concepts and principles that underlie exact statistical inference. With this in perspective, this book presents a broad view of exact statistical inference and the development of asymptotic statistical inference, providing a justification for the use of asymptotic methods for large samples. Methodological results are developed on a concrete and yet rigorous mathematical level and are applied to a variety of problems that include categorical data, regression, and survival analyses. This book is designed as a textbook for advanced undergraduate or beginning graduate students in statistics, biostatistics, or applied statistics but may also be used as a reference for academic researchers.

Author Biography

Pranab K. Sen is the Cary C. Boshamer Professor of Biostatistics and Professor of Statistics and Operations Research at the University of North Carolina at Chapel Hill. Julio M. Singer is a Professor in the Department of Statistics, University of Satild;o Paulo, Brazil, and is the codirector of the University's Center for Applied Statistics. Antonio C. Pedroso de Lima is an Associate Professor in the Department of Statistics, University of Satild;o Paulo, Brazil, and is the codirector of the university's Center for Applied Statistics.

Table of Contents

Prefacep. xi
Motivation and Basic Toolsp. 1
Introductionp. 1
Illustrative Examples and Motivationp. 2
Synthesis of Finite to Asymptotic Statistical Methodsp. 8
The Organization of the Bookp. 13
Basic Tools and Conceptsp. 15
Exercisesp. 38
Estimation Theoryp. 42
Introductionp. 42
Basic Conceptsp. 42
Likelihood, Information, and Sufficiencyp. 45
Methods of Estimationp. 55
Finite Sample Optimality Perspectivesp. 62
Concluding Notesp. 65
Exercisesp. 66
Hypothesis Testingp. 68
Introductionp. 68
The Neyman-Pearson Paradigmp. 68
Composite Hypotheses: Beyond the Neyman-Pearson Paradigmp. 73
Invariant Testsp. 80
Concluding Notesp. 81
Exercisesp. 81
Elements of Statistical Decision Theoryp. 83
Introductionp. 83
Basic Conceptsp. 83
Bayes Estimation Methodsp. 88
Bayes Hypothesis Testingp. 93
Confidence Setsp. 95
Concluding Notesp. 97
Exercisesp. 97
Stochastic Processes: An Overviewp. 100
Introductionp. 100
Processes with Markov Dependenciesp. 102
Discrete Time-Parameter Processesp. 110
Continuous Time-Parameter Processesp. 112
Exercisesp. 118
Stochastic Convergence and Probability Inequalitiesp. 119
Introductionp. 119
Modes of Stochastic Convergencep. 121
Probability Inequalities and Laws of Large Numbersp. 131
Extensions to Dependent Variablesp. 160
Miscellaneous Convergence Resultsp. 164
Concluding Notesp. 169
Exercisesp. 169
Asymptotic Distributionsp. 173
Introductionp. 173
Some Important Toolsp. 177
Central Limit Theoremsp. 181
Rates of Convergence to Normalityp. 197
Projections and Variance-Stabilizing Transformationsp. 201
Quadratic Formsp. 218
Order Statistics and Empirical Distributionsp. 221
Concluding Notesp. 232
Exercisesp. 236
Asymptotic Behavior of Estimators and Testsp. 240
Introductionp. 240
Estimating Equations and Local Asymptotic Linearityp. 240
Asymptotics for MLEp. 245
Asymptotics for Other Classes of Estimatorsp. 249
Asymptotic Efficiency of Estimatorsp. 255
Asymptotic Behavior of Some Test Statisticsp. 259
Resampling Methodsp. 268
Concluding Remarksp. 271
Exercisesp. 272
Categorical Data Modelsp. 273
Introductionp. 273
Nonparametric Goodness-of-Fit Testsp. 275
Estimation and Goodness-of-Fit Tests: Parametric Casep. 278
Some Other Important Statisticsp. 286
Concluding Notesp. 288
Exercisesp. 289
Regression Modelsp. 293
Introductionp. 293
Generalized Least-Squares Proceduresp. 295
Robust Estimatorsp. 308
Nonlinear Regression Modelsp. 316
Generalized Linear Modelsp. 317
Generalized Least-Squares Versus Generalized Estimating Equationsp. 328
Nonparametric Regressionp. 331
Concluding Notesp. 335
Exercisesp. 336
Weak Convergence and Gaussian Processesp. 338
Introductionp. 338
Weak Invariance Principlesp. 338
Weak Convergence of Partial Sum Processesp. 341
Weak Convergence of Empirical Processesp. 350
Weak Convergence and Statistical Functionalsp. 360
Weak Convergence and Nonparametricsp. 365
Strong Invariance Principlesp. 371
Concluding Notesp. 372
Exercisesp. 373
Bibliographyp. 375
Indexp. 381
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