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作者：Guo, Wenge; He, Li; Sarkar, Sanat K.
作者单位：New Jersey Institute of Technology; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：The probability of false discovery proportion (FDP) exceeding gamma is an element of [0, 1), defined as gamma-FDP, has received much attention as a measure of false discoveries in multiple testing. Although this measure has received acceptance due to its relevance under dependency, not much progress has been made yet advancing its theory under such dependency in a nonasymptotic setting, which motivates our research in this article. We provide a larger class of procedures containing the stepup ...
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作者：Aronow, Peter M.; Green, Donald P.; Lee, Donald K. K.
作者单位：Yale University; Columbia University; Yale University
摘要：We propose a consistent estimator of sharp bounds on the variance of the difference-in-means estimator in completely randomized experiments. Generalizing Robins [Stat. Med. 7 (1988) 773-785], our results resolve a well-known identification problem in causal inference posed by Neyman [Statist. Sci. 5 (1990) 465-472. Reprint of the original 1923 paper]. A practical implication of our results is that the upper bound estimator facilitates the asymptotically narrowest conservative Wald-type confide...
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作者：Fan, Jianqing; Liao, Yuan
作者单位：Princeton University; University System of Maryland; University of Maryland College Park
摘要：Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity can arise incidentally from a large pool of regressors in a high-dimensional regression. This causes the inconsistency of the penalized least-squares method and possible false scientific discoveries. A necessary condition for model selection consistency of a general class of penalized regression methods is give...
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作者：Jacod, Jean; Todorov, Viktor
作者单位：Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Northwestern University
摘要：We propose new nonparametric estimators of the integrated volatility of an Ito semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the optimal rate and variance of estimating integrated volatility even in the presence of infinite variation jumps when the latter are stochastic integrals with respect to locally stable Levy processes, that is, processes whose Levy measure around zero behaves like t...
