作者：Dicker, Lee H.; Erdogdu, Murat A.
作者单位：Rutgers University System; Rutgers University New Brunswick; Stanford University
摘要：We derive convenient uniform concentration bounds and finite sample multivariate normal approximation results for quadratic forms, then describe some applications involving variance components estimation in linear random-effects models. Random-effects models and variance components estimation are classical topics in statistics, with a corresponding well-established asymptotic theory. However, our finite sample results for quadratic forms provide additional flexibility for easily analyzing rand...
作者：Chernozhukov, Victor; Galichon, Alfred; Hallin, Marc; Henry, Marc
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); New York University; New York University; Institut d'Etudes Politiques Paris (Sciences Po); Universite Libre de Bruxelles; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We propose new concepts of statistical depth, multivariate quantiles, vector quantiles and ranks, ranks and signs, based on canonical transportation maps between a distribution of interest on R-d and a reference distribution on the d-dimensional unit ball. The new depth concept, called Monge Kantorovich depth, specializes to halfspace depth for d = 1 and in the case of spherical distributions, but for more general distributions, differs from the latter in the ability for its contours to accoun...
作者：Li, Zeng; Wang, Qinwen; Yao, Jianfeng
作者单位：University of Hong Kong
摘要：Identifying the number of factors in a high-dimensional factor model has attracted much attention in recent years and a general solution to the problem is still lacking. A promising ratio estimator based on singular values of lagged sample auto-covariance matrices has been recently proposed in the literature with a reasonably good performance under some specific assumption on the strength of the factors. Inspired by this ratio estimator and as a first main contribution, this paper proposes a c...
