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作者：Andersen, Torben G.; Su, Tao; Todorov, Viktor; Zhang, Zhiyuan
作者单位：National Bureau of Economic Research; Northwestern University; Zhejiang Gongshang University; Northwestern University; Shanghai University of Finance & Economics; Northwestern University
摘要：The volatility of financial asset returns displays pronounced variation over the trading day. Our goal is nonparametric inference for the average intraday volatility pattern, viewed as a function of time-of-day. The functional inference is based on a long span of high-frequency return data. Our setup allows for general forms of volatility dynamics, including time-variation in the intraday pattern. The estimation is based on forming local volatility estimates from the high-frequency returns ove...
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作者：Li, Chunlin; Shen, Xiaotong; Pan, Wei
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
摘要：This article introduces a causal discovery method to learn nonlinear relationships in a directed acyclic graph with correlated Gaussian errors due to confounding. First, we derive model identifiability under the sublinear growth assumption. Then, we propose a novel method, named the Deconfounded Functional Structure Estimation (DeFuSE), consisting of a deconfounding adjustment to remove the confounding effects and a sequential procedure to estimate the causal order of variables. We implement D...
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作者：Fang, Qin; Guo, Shaojun; Qiao, Xinghao
作者单位：University of London; London School Economics & Political Science; Renmin University of China
摘要：Covariance function estimation is a fundamental task in multivariate functional data analysis and arises in many applications. In this paper, we consider estimating sparse covariance functions for high-dimensional functional data, where the number of random functions p is comparable to, or even larger than the sample size n. Aided by the Hilbert--Schmidt norm of functions, we introduce a new class of functional thresholding operators that combine functional versions of thresholding and shrinka...
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作者：Lijoi, Antonio; Pruenster, Igor; Rigon, Tommaso
作者单位：Bocconi University; University of Milano-Bicocca; Bocconi University
摘要：Discrete random probability measures stand out as effective tools for Bayesian clustering. The investigation in the area has been very lively, with a strong emphasis on nonparametric procedures based on either the Dirichlet process or on more flexible generalizations, such as the normalized random measures with independent increments (NRMI). The literature on finite-dimensional discrete priors is much more limited and mostly confined to the standard Dirichlet-multinomial model. While such a sp...
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作者：Cui, Yifan; Pu, Hongming; Shi, Xu; Miao, Wang; Tchetgen, Eric Tchetgen
作者单位：Zhejiang University; University of Pennsylvania; University of Michigan System; University of Michigan; Peking University
摘要：Skepticism about the assumption of no unmeasured confounding, also known as exchangeability, is often warranted in making causal inferences from observational data; because exchangeability hinges on an investigator's ability to accurately measure covariates that capture all potential sources of confounding. In practice, the most one can hope for is that covariate measurements are at best proxies of the true underlying confounding mechanism operating in a given observational study. In this arti...
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作者：Li, Hang; Del Castillo, Enrique
作者单位：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：The theory of optimal design of experiments has been traditionally developed on an Euclidean space. In this article, new theoretical results and an algorithm for finding the optimal design of an experiment located on a Riemannian manifold are provided. It is shown that analogously to the results in Euclidean spaces, D-optimal and G-optimal designs are equivalent on manifolds, and we provide a lower bound for the maximum prediction variance of the response evaluated over the manifold. In additi...
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作者：Geng, Haoyu; Cui, Xiaolong; Ren, Haojie; Zou, Changliang
作者单位：Nankai University; Nankai University; Shanghai Jiao Tong University
摘要：Two-sample multiple testing has a wide range of applications. Most of the literature considers simultaneous tests of equality of parameters. The article takes a different perspective and investigates the null hypotheses that the two support sets are equal. This formulation of the testing problem is motivated by the fact that in many applications where the two parameter vectors being compared are both sparse, one might be more concerned about the detection of differential sparsity structures ra...
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作者：Grunwald, Peter; Henzi, Alexander; Lardy, Tyron
作者单位：Leiden University - Excl LUMC; Leiden University; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We propose a sequential, anytime-valid method to test the conditional independence of a response Y and a predictor X given a random vector Z. The proposed test is based on e-statistics and test martingales, which generalize likelihood ratios and allow valid inference at arbitrary stopping times. In accordance with the recently introduced model-X setting, our test depends on the availability of the conditional distribution of X given Z, or at least a sufficiently sharp approximation thereof. Wi...
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作者：Carlan, Manuel; Kneib, Thomas; Klein, Nadja
作者单位：University of Gottingen; Dortmund University of Technology
摘要：Recent developments in statistical regression methodology shift away from pure mean regression towards distributional regression models. One important strand thereof is that of conditional transformation models (CTMs). CTMs infer the entire conditional distribution directly by applying a transformation function to the response conditionally on a set of covariates towards a simple log-concave reference distribution. Thereby, CTMs allow not only variance, kurtosis or skewness but the complete co...
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作者：Robert, Christian P.; Inchausti, Pablo
作者单位：Universite PSL; Universite Paris-Dauphine
