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作者：Duembgen, Lutz; Walther, Guenther
作者单位：University of Bern; Stanford University
摘要：We introduce a multiscale test statistic based on local order statistics and spacings that provides simultaneous confidence statements for the existence and location of local increases and decreases of a density or a failure rate. The procedure provides guaranteed finite-sample significance levels, is easy to implement and possesses certain asymptotic optimality and adaptivity properties.
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作者：Jiang, Jiming; Rao, J. Sunil; Gu, Zhonghua; Nguyen, Thuan
作者单位：University of California System; University of California Davis; Johnson & Johnson; Johnson & Johnson USA; University System of Ohio; Case Western Reserve University
摘要：Many model search strategies involve trading off model fit with model complexity in a penalized goodness of fit measure. Asymptotic properties for these types of procedures in settings like linear regression and ARMA time series have been studied, but these do not naturally extend to nonstandard situations such as mixed effects models, where simple definition of the sample size is not meaningful. This paper introduces a new class of strategies, known as fence methods, for mixed model selection...
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作者：Cheng, Guang; Kosorok, Michael R.
作者单位：Duke University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We consider higher order frequentist inference for the parametric component of a semiparametric model based on sampling from the posterior profile distribution. The first order validity of this procedure established by Lee, Kosorok and Fine in [J. American Statist. Assoc. 100 (2005) 960969] is extended to second-order validity in the setting where the infinite-dimensional nuisance parameter achieves the parametric rate. Specifically, we obtain higher order estimates of the maximum profile like...
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作者：Grama, Ion; Spokoiny, Vladimir
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：We use the fitted Pareto law to construct an accompanying approximation of the excess distribution function. A selection rule of the location of the excess distribution function is proposed based on a stagewise lack-of-fit testing procedure. Our main result is an oracle type inequality for the Kullback-Leibler loss.
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作者：Arias-Castro, Ery; Candes, Emmanuel J.; Helgason, Hannes; Zeitouni, Ofer
作者单位：University of California System; University of California San Diego; California Institute of Technology; University of Minnesota System; University of Minnesota Twin Cities; Weizmann Institute of Science
摘要：Consider a graph with a set of vertices and oriented edges connecting pairs of vertices. Each vertex is associated with a random variable and these are assumed to be independent. In this setting, suppose we wish to solve the following hypothesis testing problem: under the null, the random variables have common distribution N(0, 1) while under the alternative, there is an unknown path along which random variables have distribution N(mu, 1), mu > 0, and distribution N(0, 1) away from it. For whi...
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作者：Meng, Xiao-Li
作者单位：Harvard University
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作者：Paul, Debashis; Bair, Eric; Hastie, Trevor; Tibshirani, Robert
作者单位：University of California System; University of California Davis; Stanford University; Stanford University; Stanford University
摘要：We consider regression problems where the number of predictors greatly exceeds the number of observations. We propose a method for variable selection that first estimates the regression function, yielding a preconditioned response variable. The primary method used for this initial regression is supervised principal components. Then we apply a standard procedure such as forward stepwise selection or the LASSO to the preconditioned response variable. In a number of simulated and real data exampl...
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作者：Van Bellegem, Sebastien; von Sachs, Rainer
作者单位：Universite Catholique Louvain
摘要：We introduce a wavelet-based model of local stationarity. This model enlarges the class of locally stationary, wavelet processes and contains processes whose spectral density function may change very suddenly in time. A notion of time-varying wavelet spectrum is uniquely defined as a wavelet-type transform of the autocovariance function with respect to so-called autocorrelation wavelets. This leads to a natural representation of the autocovariance which is localized on scales. We propose a poi...
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作者：Zou, Hui; Li, Runze
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Fan and Li propose a family of variable selection methods via penalized likelihood using concave penalty functions. The nonconcave penalized likelihood estimators enjoy the oracle properties, but maximizing the penalized likelihood function is computationally challenging, because the objective function is nondifferentiable and nonconcave. In this article, we propose a new unified algorithm based on the local linear approximation (LLA) for maximizing the penalized likelihood for a broad class o...
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作者：Cheng, Guang; Kosorok, Michael R.
作者单位：Duke University; University of North Carolina; University of North Carolina Chapel Hill
摘要：In this paper, inference for the parametric component of a semiparametric model based on sampling from the posterior profile distribution is thoroughly investigated from the frequentist viewpoint. The higher-order validity of the profile sampler obtained in Cheng and Kosorok [Ann. Statist. 36 (2008)] is extended to semiparametric models in which the infinite dimensional nuisance parameter may not have a root-n convergence rate. This is a nontrivial extension because it requires a delicate anal...
