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作者：Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
作者单位：University of Cambridge; Getulio Vargas Foundation; Universite Libre de Bruxelles
摘要：This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the convergence, under the null hypothesis and contiguous alternatives, of the log ratio of the joint densities of the sample covariance eigenvalues to a Gaussian process indexed by the norm of the perturbation. When the perturbation norm is larger than the phase transition threshold...
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作者：Schennach, Susanne M.
作者单位：Brown University
摘要：This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors. An estimator is proposed and proven to be consistent. Its practical performance and feasibility are investigated via Monte Carlo simulations as well as through an epidemiological application investigating the effect of particulate air pollution on respiratory health. These examples illustrate t...
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作者：Chen, Jiahua; Liu, Yukun
作者单位：University of British Columbia; East China Normal University
摘要：Population quantiles and their functions are important parameters in many applications. For example, the lower quantiles often serve as crucial quality indices for forestry products. Given several independent samples from populations satisfying the density ratio model, we investigate the properties of empirical likelihood (EL) based inferences. The induced EL quantile estimators are shown to admit a Bahadur representation that leads to asymptotically valid confidence intervals for functions of...
