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作者：Zhou, Yong; Liang, Hua
作者单位：Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Shanghai University of Finance & Economics; University of Rochester
摘要：We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also propose the profile least-square based ratio test and Wald test to identify significant parametric and...
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作者：Du, Juan; Zhang, Hao; Mandrekar, V. S.
作者单位：Michigan State University; Purdue University System; Purdue University
摘要：When the spatial sample size is extremely large, which occurs in many environmental and ecological studies, operations on the large covariance matrix are a numerical challenge. Covariance tapering is a technique to alleviate the numerical challenges. Under the assumption that data are collected along a line in a bounded region, we investigate how the tapering affects the asymptotic efficiency of the maximum likelihood estimator (MLE) for the microergodic parameter in the Matern covariance func...
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作者：Juditsky, Anatoli B.; Nemirovski, Arkadi S.
作者单位：University System of Georgia; Georgia Institute of Technology; Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria
摘要：The problem we concentrate on is as follows: given (1) a convex compact set X in R-n, an affine mapping x bar right arrow A(x), a parametric family {p(mu)(.)} of probability densities and (2) N i.i.d. observations of the random variable omega, distributed with the density p(A(x)) (.) for some (unknown) x is an element of X, estimate the value g(T)x of a given linear form at x. For several families {p(mu)(.)} with no additional assumptions on X and A, we develop computationally efficient estima...
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作者：Omelka, Marek; Gijbels, Irene; Veraverbeke, Noel
作者单位：Charles University Prague; KU Leuven; KU Leuven; Hasselt University
摘要：We reconsider the existing kernel estimators for a copula function. as proposed in Gijbels and Mielniczuk [Comm. Statist. Theory, Methods 19 (1990) 445-464] Fermaman, Radulovic and Wegkamp [Bernoulli 10 (2004) 847-860] and Chen and Huang [Canad. J. Statist. 35 (2007) 265-282]. All of these estimators have as a drawback that they can suffer from a corner bias problem. A way to deal with this is to impose rather stringent conditions on the copula, outruling as such many classical families of cop...
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作者：Spokoiny, Vladimir
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; Humboldt University of Berlin
摘要：This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there exists a historical interval of homogeneity, in which the volatility parameter can be well approximated by a constant. The proposed procedure recovers this interval from the data using the local change point (LCP) analysis. Afterward, the estimate of the vo...
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作者：Chan, Hock Peng
作者单位：National University of Singapore
摘要：Generalized likelihood ratio (GLR) test statistics are often used in the detection of spatial clustering in case-control and case-population datasets to check for a significantly large proportion of cases within some scanning window. The traditional spatial scan test statistic takes the supremum GLR value over all windows, whereas the average likelihood ratio (ALR) test statistic that we consider here takes an average of the GLR values. Numerical experiments in the literature and in this paper...
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作者：Candes, Emmanuel J.; Plan, Yaniv
作者单位：California Institute of Technology
摘要：We consider the fundamental problem of estimating the mean of a vector y = X beta + 7, where X is an n x p design matrix in which one can have far more variables than observations, and z is a stochastic error term-the so-called p > n setup. When beta is sparse, or, more generally, when there is a sparse subset of covariates providing a close approximation to the unknown mean vector, we ask whether or not it is possible to accurately, estimate X beta using a computationally tractable algorithm....
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作者：Belloni, Alexandre; Chernozhukov, Victor
作者单位：Duke University; Massachusetts Institute of Technology (MIT)
摘要：In this paper we examine the implications of the statistical large sample theory for the computational complexity of Bayesian and quasi-Bayesian estimation carried out using Metropolis random walks. Our analysis is motivated by the Laplace-Bernstein-Von Mises central limit theorem, which states that in large samples the posterior or quasi-posterior approaches a. normal density. Using the conditions required for the central limit theorem to hold, we establish polynomial bounds on the computatio...
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作者：Koltchinskii, Vladimir
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：Let (X. Y) be a random couple in S x T with unknown distribution P and (X-1, Y-1),..., (X-n, Y-n,) be i.i.d. copies of (X, Y). Denote P-n the empirical distribution of (X-1, Y-1),..., (X-n, Y-n). Let h(1),..., h(N): S bar right arrow [-1, 1] be a dictionary that consists of N functions. For lambda is an element of R-N, denote f(lambda) := Sigma(N)(j=1) lambda(j)h(j). Let l: T x R bar right arrow R be a given loss function and suppose it is convex with respect to the second variable. Let (l cen...
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作者：Drton, Mathias
作者单位：University of Chicago
摘要：Many statistical hypotheses can be formulated in terms of polynomial equalities and inequalities in the unknown parameters and thus correspond to semi-algebraic Subsets of the parameter space. We consider large sample asymptotics for the likelihood ratio test of such hypotheses in models that satisfy standard probabilistic regularity conditions. We show that the assumptions of Chernoff's theorem hold for semi-algebraic sets such that the asymptotics are determined by the tangent cone at the tr...
