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作者：Einmahl, John H. J.; De Haan, Laurens; Li, Deyuan
作者单位：Tilburg University; University of Bern; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Consider n i.i.d. random vectors on R-2, with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process. Then we construct a test to check whether the extreme value condition holds by comparing two estimators of the limiting extreme value distribution, one obtained from the tail copula process and the other obtained by first estimating the spectral measure which is then used as a ...
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作者：Minary, Peter; Levitt, Michael
作者单位：Stanford University
摘要：Novel sampling algorithms can significantly impact open questions in computational biology, most notably the in silico protein folding problem. By using computational methods, protein folding aims to find the three-dimensional structure of a protein chain given the sequence of its amino acid building blocks. The complexity of the problem strongly depends on the protein representation and its energy function. The more detailed the model, the more complex its corresponding energy function and th...
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作者：Bischoff, Wolfgang; Miller, Frank
作者单位：AstraZeneca
摘要：Linear regression models are among the models most used in practice, although the practitioners are often not sure whether their assumed linear regression model is at least approximately true. In such situations, only designs for which the linear model can be checked are accepted in practice. For important linear regression models such as polynomial regression, optimal designs do not have this property. To get practically attractive designs, we suggest the following strategy. One part of the d...
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作者：Fuh, Cheng-Der
作者单位：Academia Sinica - Taiwan
摘要：Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in state space models. We first prove, under some regularity conditions, there is a consistent sequence of roots of the likelihood equation that is asymptotically normal with the inverse of the Fisher information as its variance. With an extra assumption that the likelihood equation has a unique root for each n, then ther...
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作者：Peng, Liang; Qi, Yongcheng
作者单位：University System of Georgia; Georgia Institute of Technology; University of Minnesota System; University of Minnesota Duluth
摘要：Estimating high quantiles plays an important role in the context of risk management. This involves extrapolation of an unknown distribution function. In this paper we propose three methods, namely, the normal approximation method, the likelihood ratio method and the data tilting method, to construct confidence regions for high quantiles of a heavy tailed distribution. A simulation study prefers the data tilting method.
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作者：Hall, Peter; Maiti, Tapabrata
作者单位：Australian National University; Iowa State University
摘要：Nested-error regression models are widely used for analyzing clustered data. For example, they are often applied to two-stage sample surveys, and in biology and econometrics. Prediction is usually the main goal of such analyses, and mean-squared prediction error is the main way in which prediction performance is measured. In this paper we suggest a new approach to estimating mean-squared prediction error. We introduce a matched-moment, double-bootstrap algorithm, enabling the notorious underes...
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作者：Levina, Elizaveta; Bickel, Peter J.
作者单位：University of Michigan System; University of Michigan; University of California System; University of California Berkeley
摘要：This paper introduces a nonparametric algorithm for bootstrapping a stationary random field and proves certain consistency properties of the algorithm for the case of mixing random fields. The motivation for this paper comes from relating a heuristic texture synthesis algorithm popular in computer vision to general nonparametric bootstrapping of stationary random fields. We give a formal resampling scheme for the heuristic texture algorithm and prove that it produces a consistent estimate of t...
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作者：Atchade, Yves F.; Liu, Jun S.
作者单位：University of Ottawa; Harvard University
摘要：We congratulate Samuel Kou, Qing Zhou and Wing Wong (referred to subsequently as KZW) for this beautifully written paper, which opens a new direction in Monte Carlo computation. This discussion has two parts. First, we describe a very closely related method, multicanonical sampling (MCS), and report a simulation example that compares the equi-energy (EE) sampler with MCS. Overall, we found the two algorithms to be of comparable efficiency for the simulation problem considered. In the second pa...
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作者：Anevski, D.; Hossjer, O.
作者单位：Chalmers University of Technology; University of Gothenburg; Lund University
摘要：Limit distributions for the greatest convex minorant and its derivative are considered for a general class of stochastic processes including partial sum processes and empirical processes, for independent, weakly dependent and long range dependent data. The results are applied to isotonic regression, isotonic regression after kernel smoothing, estimation of convex regression functions, and estimation of monotone and convex density functions. Various pointwise limit distributions are obtained, a...
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作者：Chen, Ming-Hui; Kim, Sungduk
作者单位：University of Connecticut
