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作者：Andrieu, Christophe; Lee, Anthony; Power, Sam; Wang, Andi Q.
作者单位：University of Bristol
摘要：We investigate the use of a certain class of functional inequalities known as weak Poincare inequalities to bound convergence of Markov chains to equilibrium. We show that this enables the straightforward and transpar-ent derivation of subgeometric convergence bounds for methods such as the Independent Metropolis-Hastings sampler and pseudo-marginal methods for intractable likelihoods, the latter being subgeometric in many practical settings. These results rely on novel quantitative comparison...
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作者：Liao, Peng; Qi, Zhengling; Wan, Runzhe; Klasnja, Predrag; Murphy, Susan A.
作者单位：Harvard University; George Washington University; Amazon.com; University of Michigan System; University of Michigan
摘要：We consider the batch (off-line) policy learning problem in the infinite horizon Markov decision process. Motivated by mobile health applications, we focus on learning a policy that maximizes the long-term average reward. We propose a doubly robust estimator for the average reward and show that it achieves semiparametric efficiency. Further, we develop an optimization algorithm to compute the optimal policy in a parameterized stochastic policy class. The performance of the estimated policy is ...
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作者：Mccormack, Andrew; Hoff, Peter
作者单位：Duke University
摘要：The Frechet mean is a useful description of location for a probability distribution on a metric space that is not necessarily a vector space. This article considers simultaneous estimation of multiple Frechet means from a decision-theoretic perspective, and in particular, the extent to which the unbiased estimator of a Frechet mean can be dominated by a generalization of the James-Stein shrinkage estimator. It is shown that if the metric space satisfies a nonpositive curvature condition, then ...
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作者：Zhang, Qihao; Lahiri, Soumendra N.; Nordman, Daniel J.
作者单位：Iowa State University; Washington University (WUSTL)
摘要：Block-based resampling estimators have been intensively investigated for weakly dependent time processes, which has helped to inform imple-mentation (e.g., best block sizes). However, little is known about resampling performance and block sizes under strong or long-range dependence. To es-tablish guideposts in block selection, we consider a broad class of strongly dependent time processes, formed by a transformation of a stationary long -memory Gaussian series, and examine block-based resampli...
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作者：Barber, Rina Foygel; Drton, Mathias; Sturma, Nils; Weihs, Luca
作者单位：University of Chicago; Technical University of Munich
摘要：We consider linear structural equation models with latent variables and develop a criterion to certify whether the direct causal effects between the ob-servable variables are identifiable based on the observed covariance matrix. Linear structural equation models assume that both observed and latent vari-ables solve a linear equation system featuring stochastic noise terms. Each model corresponds to a directed graph whose edges represent the direct ef-fects that appear as coefficients in the eq...
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作者：Chi, Chien-Ming; Vossler, Patrick; Fan, Yingying; Lv, Jinchi
作者单位：Academia Sinica - Taiwan; University of Southern California
摘要：As a flexible nonparametric learning tool, the random forests algorithm has been widely applied to various real applications with appealing empirical performance, even in the presence of high-dimensional feature space. Unveil-ing the underlying mechanisms has led to some important recent theoretical results on the consistency of the random forests algorithm and its variants. However, to our knowledge, almost all existing works concerning random forests consistency in a high-dimensional setting...
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作者：Chronopoulos, Ilias; Giraitis, Liudas; Kapetanios, George
作者单位：University of Essex; University of London; Queen Mary University London; University of London; King's College London
摘要：This paper suggests a multiplicative volatility model where volatility is decomposed into a stationary and a nonstationary persistent part. We pro -vide a testing procedure to determine which type of volatility is prevalent in the data. The persistent part of volatility is associated with a nonstation-ary persistent process satisfying some smoothness and moment conditions. The stationary part is related to stationary conditional heteroskedasticity. We outline theory and conditions that allow t...
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作者：LI, Cheng
作者单位：National University of Singapore
摘要：Gaussian process models typically contain finite-dimensional parameters in the covariance function that need to be estimated from the data. We study the Bayesian fixed-domain asymptotics for the covariance parameters in a universal kriging model with an isotropic Matern covariance function, which has many applications in spatial statistics. We show that when the dimen-sion of domain is less than or equal to three, the joint posterior distribution of the microergodic parameter and the range par...
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作者：Chopin, Nicolas; Singh, Sumeetpal S.; Soto, Tomas; Vihola, Matti
作者单位：Institut Polytechnique de Paris; ENSAE Paris; University of Cambridge; Lappeenranta-Lahti University of Technology LUT; University of Jyvaskyla
摘要：We consider particle filters with weakly informative observations (or 'po-tentials') relative to the latent state dynamics. The particular focus of this work is on particle filters to approximate time-discretisations of continuous -time Feynman-Kac path integral models-a scenario that naturally arises when addressing filtering and smoothing problems in continuous time-but our findings are indicative about weakly informative settings beyond this con-text too. We study the performance of differe...
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作者：Kim, Ilmun; Neykov, Matey; Balakrishnan, Sivaraman; Wasserman, Larry
作者单位：Yonsei University; Carnegie Mellon University
摘要：In this paper, we investigate local permutation tests for testing conditional independence between two random vectors X and Y given Z. The local permutation test determines the significance of a test statistic by locally shuffling samples, which share similar values of the conditioning variables Z, and it forms a natural extension of the usual permutation approach for unconditional independence testing. Despite its simplicity and empirical support, the theoretical underpinnings of the local pe...
