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作者：Sun, Yanqing; Gilbert, Peter B.; McKeague, Ian W.
作者单位：University of North Carolina; University of North Carolina Charlotte; University of Washington; University of Washington Seattle; Fred Hutchinson Cancer Center; Columbia University
摘要：For time-to-event data with finitely many competing risks, the proportional hazards model has been a popular tool for relating the cause-specific outcomes to covariates [Prentice et al. Biometrics 34 (1978) 541-554]. This article studies an extension of this approach to allow a continuum of competing risks, in which the cause of failure is replaced by a continuous mark only observed at the failure time. We develop inference for the proportional hazards model in which the regression parameters ...
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作者：Ait-Sahalia, Yacine; Jacod, Jean
作者单位：Princeton University; National Bureau of Economic Research; Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to I if there are jumps, and to another deterministic and known value (such as 2) if there are no jumps. The test is valid 4 for all Ito semi martingales, depends neither on the law of the process nor on the coefficients of the equation which it solves, does not require a preliminary estimation of these coefficien...
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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：Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth
作者单位：University of Warwick
摘要：This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s. continuous estimators of the likelihood function for a family of diffusion models aid its performance in numerical examples is computationally efficient. It uses a recently developed technique for the exact simulation of diffusions, and involves no discretization error. We show that, under regularity conditions, the Monte Carl...
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作者：Goldenshluger, Alexander
作者单位：University of Haifa
摘要：In this paper we study the aggregation problem that can be formulated as follows. Assume that we have a family of estimators F built on the basis of available observations. The goal is to construct a new estimator whose risk is as close as possible to that of the best estimator in the family. We propose a general aggregation scheme that is universal in the following sense: it applies for families of arbitrary estimators and a wide variety of models and global risk measures. The procedure is ba...
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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：Pensky, Marianna; Sapatinas, Theofanis
作者单位：State University System of Florida; University of Central Florida; University of Cyprus
摘要：We extend deconvolution in a periodic setting to deal with functional data. The resulting functional deconvolution model can be viewed as a generalization of a multitude of inverse problems in mathematical physics where one needs to recover initial or boundary conditions on the basis of observations from a noisy solution of a partial differential equation. In the case when it is observed at a finite number of distinct points, the proposed functional deconvolution model can also be viewed as a ...
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作者：Alqallaf, Fatemah; Van Aelst, Stefan; Yohai, Victor J.; Zamar, Ruben H.
作者单位：Kuwait University; Ghent University; University of Buenos Aires; University of British Columbia
摘要：We investigate the performance of robust estimates of multivariate location under nonstandard data contamination models such as componentwise outliers (i.e., contamination in each variable is independent from the other variables). This model brings up a possible new source of statistical error that we call propagation of outliers. This source of error is Unusual in the sense that it is generated by the data processing itself and takes place after the data has been collected. We define and deri...
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作者：Crambes, Christophe; Kneip, Alois; Sarda, Pascal
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Universite Federale Toulouse Midi-Pyrenees (ComUE); Institut National des Sciences Appliquees de Toulouse; University of Bonn
摘要：The paper considers functional linear regression, where scalar responses Y-1, ... , Y-n are modeled in dependence of random functions X-1, ... , X-n. We propose a smoothing splines estimator for the functional slope parameter based on a slight modification of the usual penalty. Theoretical analysis concentrates on the error in all out-of-sample prediction of the response for a new random function Xn+1. It is shown that rates of convergence of the prediction error depend on the smoothness of th...
