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作者：Casella, George; Giron, F. Javier; Martinez, M. Lina; Moreno, Elias
作者单位：State University System of Florida; University of Florida; Universidad de Malaga; University of Granada
摘要：It has long been known that for the comparison of pairwise nested models, a decision based on the Bayes factor produces I consistent model selector (in the frequentist sense). Here we go beyond the usual consistency for nested pairwise models, and show that for a wide class of prior distributions, including intrinsic priors, the corresponding Bayesian procedure for variable selection in normal regression is consistent in the entire class of normal linear models. We find that the asymptotics of...
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作者：Grendar, Marian; Judge, George
作者单位：Matej Bel University; Slovak Academy of Sciences; Institute of Measurement Science, SAS; University of California System; University of California Berkeley
摘要：In this paper we are interested in empirical likelihood (EL)as a method of estimation, and we address the following two problems: (1) selecting among Various empirical discrepancies in an EL framework and (2) demonstrating that El. has a well-defined probabilistic interpretation that would justify its use in a Bayesian context. Using the large deviations approach, a Bayesian law of large numbers is developed that implies that EL and the Bayesian maximum a posteriori probability (MAP) estimator...
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作者：Nan, Bin; Kalbfleisch, John D.; Yu, Menggang
作者单位：University of Michigan System; University of Michigan; Indiana University System; Indiana University Indianapolis
摘要：We consider a class of doubly weighted rank-based estimating methods for the transformation (or accelerated failure time) model with missing. data as arise, for example, in case-cohort studies. The weights considered may not be predictable its required in a martingale stochastic process formulation. We treat the general problem as a semi parametric estimating equation problem and provide proofs of asymptotic properties for the weighted estimators, with either true weights or estimated Weights....
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作者：Steinwart, Ingo; Anghel, Marian
作者单位：United States Department of Energy (DOE); Los Alamos National Laboratory
摘要：We consider the problem of forecasting the next (observable) state of an unknown ergodic dynamical system from a noisy observation of the present state. Our main result shows, for example, that Support vector machines (SVMs) using Gaussian RBF kernels can learn the best forecaster from a sequence of noisy observations if (a) the unknown observational noise process is bounded and has a summable alpha-mixing rate and (b) the unknown ergodic dynamical system is defined by a Lipschitz continuous f...
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作者：Nordman, Daniel J.
作者单位：Iowa State University
摘要：Because the stationary bootstrap resamples data blocks of random length, this method has been thought to have the largest asymptotic variance among block bootstraps Lahiri [Ann. Statist. 27 (1999) 386-404]. It is shown here that the variance of the stationary bootstrap surprisingly matches that of a block bootstrap based on nonrandom, nonoverlapping blocks. This argument translates the variance expansion into the frequency domain and provides a unified way of determining variances for other bl...
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作者：Robert, Christian Y.
作者单位：heSam Universite; Conservatoire National Arts & Metiers (CNAM)
摘要：Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The underlying Poisson points represent the cluster positions and the multiplicities correspond to the cluster sizes. In the present paper we introduce estimators of the limiting Cluster size probabilities, which are constructed through a recursive algorithm. We derive...
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作者：Aue, Alexander; Hormann, Siegfried; Horvath, Lajos; Reimherr, Matthew
作者单位：University of California System; University of California Davis; Utah System of Higher Education; University of Utah; University of Chicago
摘要：In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models, The test is very flexible as it can be applied, for example, to many of the multivariate GARCH models established in the literature, and also works well in the case of high dimensionality of the underlying data. Since it is nonparametric, the procedure avoids the difficulties associated with parametric model selection, m...
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作者：Song, Kyungchul
作者单位：University of Pennsylvania
摘要：This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while retaining computational convenience. Some results from Monte Carlo simulations are presented and discussed.
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作者：Zhang, Wenyang; Fan, Jianqing; Sun, Yan
作者单位：University of Bath; Princeton University; Shanghai University of Finance & Economics
摘要：In the analysis of cluster data, the regression coefficients are frequently assumed to be the same across all clusters. This hampers the ability to Study the varying impacts of factors on each cluster. In this paper, a semiparametric model is introduced to account for varying impacts of factors over clusters by using cluster-level covariates. It achieves the parsimony of parametrization and allows the explorations of nonlinear interactions. The random effect ill the semiparametric model also a...
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作者：Olszewski, Wojciech; Sandroni, Alvaro
作者单位：Northwestern University; University of Pennsylvania; Northwestern University
摘要：A test is said to control for type I error if it is unlikely to reject the data-generating process. However, if it is possible to produce stochastic processes at random such that, for all possible future realizations of the data, the selected process is unlikely to be rejected, then the test is said to be manipulable. So, a manipulable test has essentially no capacity to reject a strategic expert. Many tests proposed in the existing literature, including calibration tests, control for type I e...
