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作者：Naveau, Philippe; Guillou, Armelle; Rietsch, Theo
作者单位：Universite Paris Saclay; Universites de Strasbourg Etablissements Associes; Universite de Strasbourg; Universites de Strasbourg Etablissements Associes; Universite de Strasbourg; Centre National de la Recherche Scientifique (CNRS)
摘要：The paper focuses primarily on temperature extremes measured at 24 European stations with at least 90 years of data. Here, the term extremes refers to rare excesses of daily maxima and minima. As mean temperatures in this region have been warming over the last century, it is automatic that this positive shift can be detected also in extremes. After removing this warming trend, we focus on the question of determining whether other changes are still detectable in such extreme events. As we do no...
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作者：Borgonovo, E.; Tarantola, S.; Plischke, E.; Morris, M. D.
作者单位：Bocconi University; European Commission Joint Research Centre; EC JRC ISPRA Site; TU Clausthal; Iowa State University
摘要：Monotonic transformations are widely employed in statistics and data analysis. In computer experiments they are often used to gain accuracy in the estimation of global sensitivity statistics. However, one faces the question of interpreting results that are obtained on the transformed data back on the original data. The situation is even more complex in computer experiments, because transformations alter the model input-output mapping and distort the estimators. This work demonstrates that the ...
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作者：Marin, Jean-Michel; Pillai, Natesh S.; Robert, Christian P.; Rousseau, Judith
作者单位：Universite de Montpellier; Harvard University; Universite PSL; Universite Paris-Dauphine; University of Warwick; Institut Polytechnique de Paris; ENSAE Paris; Universite PSL; Universite Paris-Dauphine
摘要：The choice of the summary statistics that are used in Bayesian inference and in particular in approximate Bayesian computation algorithms has bearings on the validation of the resulting inference. Those statistics are nonetheless customarily used in approximate Bayesian computation algorithms without consistency checks. We derive necessary and sufficient conditions on summary statistics for the corresponding Bayes factor to be convergent, namely to select the true model asymptotically. Those c...
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作者：Decrouez, Geoffrey; Hall, Peter
作者单位：University of Melbourne; University of California System; University of California Davis
摘要：We introduce a new method for improving the coverage accuracy of confidence intervals for means of lattice distributions. The technique can be applied very generally to enhance existing approaches, although we consider it in greatest detail in the context of estimating a binomial proportion or a Poisson mean, where it is particularly effective. The method is motivated by a simple theoretical result, which shows that, by splitting the original sample of size n into two parts, of sizes n(1) and ...
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作者：Ma, Yanyuan; Zhu, Liping
作者单位：Texas A&M University System; Texas A&M University College Station; Shanghai University of Finance & Economics
摘要：We investigate the estimation efficiency of the central mean subspace in the framework of sufficient dimension reduction. We derive the semiparametric efficient score and study its practical applicability. Despite the difficulty caused by the potential high dimension issue in the variance component, we show that locally efficient estimators can be constructed in practice. We conduct simulation studies and a real data analysis to demonstrate the finite sample performance and gain in efficiency ...
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作者：Fryzlewicz, P.; Rao, S. Subba
作者单位：University of London; London School Economics & Political Science; Texas A&M University System; Texas A&M University College Station
摘要：The emergence of the recent financial crisis, during which markets frequently underwent changes in their statistical structure over a short period of time, illustrates the importance of non-stationary modelling in financial time series. Motivated by this observation, we propose a fast, well performing and theoretically tractable method for detecting multiple change points in the structure of an auto-regressive conditional heteroscedastic model for financial returns with piecewise constant para...
