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作者：Lan, Yan; Banerjee, Moulinath; Michailidis, George
作者单位：University of Michigan System; University of Michigan; Abbott Laboratories
摘要：We consider the problem of locating a jump discontinuity (chan-e-point) in a smooth parametric regression model with a bounded covariate. It is assumed that one can sample the covariate at different values and measure the corresponding responses. Budget constraints dictate that a total of n such measurements can be obtained. A multistage adaptive procedure is proposed, where at each stage an estimate of the change point is obtained and new points are sampled from its appropriately chosen neigh...
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作者：Bickel, Peter J.; Ritov, Ya'acov; Tsybakov, Alexandre B.
作者单位：University of California System; University of California Berkeley; Hebrew University of Jerusalem; Institut Polytechnique de Paris; ENSAE Paris; Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS)
摘要：We show that, under a sparsity scenario, the Lasso estimator and the Dantzig selector exhibit similar behavior. Forboth methods, wederive, inparallel, oracle inequalities for the prediction risk in the general nonparametric regression model, as well as bounds on the e(p) estimation loss for 1 <= p <= 2 in the linear model when the number of variables can be Much larger than the sample size.
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作者：Jacod, Jean; Todorov, Viktor
作者单位：Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Northwestern University
摘要：We consider a bivariate process X-t = (X-t(1), X-t(2)), which is observed on a finite time interval [0, T] at discrete times 0, Delta(n), 2 Delta(n), .... Assuming that its two components X-1 and X-2 have jumps on [0, T], we derive tests to decide whether they have at least one jump occurring at the same time (common jumps) or not (disjoint jumps). There are two different tests for the two possible null hypotheses (common jumps or disjoint jumps). Those tests have a prescribed asymptotic level...
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作者：Malliavin, Paul; Mancino, Maria Elvira
作者单位：University of Florence
摘要：We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous serni-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by establishing a connection between the Fourier transform of the prices process and the Fourier transform of the co-volatility process. A nonparametric estimator is derived given a discrete unevenly spaced and asynchronously sampled observations of the asset price...
