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作者：Chopin, N
作者单位：University of Bristol
摘要：The term sequential Monte Carlo methods or, equivalently, particle filters, refers to a general class of iterative algorithms that performs Monte Carlo approximations of a given sequence of distributions of interest (pi(t)). We establish in this paper a central limit theorem for the Monte Carlo estimates produced by these computational methods. This result holds under minimal assumptions on the distributions pi(t), and applies in a general framework which encompasses most of the sequential Mon...
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作者：Brown, LD; Carter, AV; Low, MG; Zhang, CH
作者单位：University of Pennsylvania; Rutgers University System; Rutgers University New Brunswick; University of California System; University of California Santa Barbara
摘要：This paper establishes the global asymptotic equivalence between a Poisson process with variable intensity and white noise with drift under sharp smoothness conditions on the unknown function. This equivalence is also extended to density estimation models by Poissonization. The asymptotic equivalences are established by constructing explicit equivalence mappings. The impact of such asymptotic equivalence results is that an investigation in one of these nonparametric models automatically yields...
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作者：Abraham, C; Cadre, B
作者单位：Institut Agro; Montpellier SupAgro; INRAE; Arts et Metiers Institute of Technology; Universite de Montpellier
摘要：In Bayesian decision theory, it is known that robustness with respect to the loss and the prior can be improved by adding new observations. In this article we study the rate of robustness improvement with respect to the number of observations n. Three usual measures of posterior global robustness are considered: the (range of the) Bayes actions set derived from a class of loss functions, the maximum regret of using a particular loss when the subjective loss belongs to a given class and the ran...
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作者：Cai, TT; Low, MG
作者单位：University of Pennsylvania
摘要：The minimax theory for estimating linear functionals is extended to the case of a finite union of convex parameter spaces. Upper and lower bounds for the minimax risk can still be described in terms of a modulus of continuity. However in contrast to the theory for convex parameter spaces rate optimal procedures are often required to be nonlinear. A construction of such nonlinear procedures is given. The results developed in this paper have important applications to the theory of adaptation.
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作者：Efron, B; Hastie, T; Johnstone, I; Tibshirani, R
作者单位：Stanford University
摘要：The purpose of model selection algorithms such as All Subsets, Forward Selection and Backward Elimination is to choose a linear model on the basis of the same set of data to which the model will be applied. Typically we have available a large collection of possible covariates from which we hope to select a parsimonious set for the efficient prediction of a response variable. Least Angle Regression (LARS), a new model selection algorithm, is a useful and less greedy version of traditional forwa...
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作者：Ing, CK
作者单位：Academia Sinica - Taiwan
摘要：We consider the problem of choosing the optimal (in the sense of mean-squared prediction error) multistep predictor for an autoregressive (AR) process of finite but unknown order. If a working AR model (which is possibly misspecified) is adopted for multistep predictions, then two competing types of multistep predictors (i.e., plug-in and direct predictors) can be obtained from this model. We provide some interesting examples to show that when both plug-in and direct predictors are considered,...
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作者：Ishwaran, H
作者单位：Cleveland Clinic Foundation
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作者：Jones, GL; Hobert, JP
作者单位：University of Minnesota System; University of Minnesota Twin Cities; State University System of Florida; University of Florida
摘要：We consider Gibbs and block Gibbs samplers for a Bayesian hierarchical version of the one-way random effects model. Drift and minorization conditions are established for the underlying Markov chains. The drift and minorization are used in conjunction with results from J. S. Rosenthal [J. Amer. Statist. Assoc. 90 (1995) 558-566] and G. O. Roberts and R. L. Tweedie [Stochastic Process. Appl. 80 (1999) 211-229] to construct analytical upper bounds on the distance to stationarity. These lead to up...
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作者：Cook, RD
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：We develop tests of the hypothesis of no effect for selected predictors in regression, without assuming a model for the conditional distribution of the response given the predictors. Predictor effects need not be limited to the mean function and smoothing is not required. The general approach is based on sufficient dimension reduction, the idea being to replace the predictor vector with a lower-dimensional version without loss of information on the regression. Methodology using sliced inverse ...
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作者：Naito, K
作者单位：Shimane University
摘要：This article examines density estimation by combining a parametric approach with a nonparametric factor. The plug-in parametric estimator is seen as a crude estimator of the true density and is adjusted by a nonparametric factor. The nonparametric factor is derived by a criterion called local L-2-fitting. A class of estimators that have multiplicative adjustment is provided, including estimators proposed by several authors as special cases, and the asymptotic theories are developed. Theoretica...
