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作者：Robin, Genevieve; Klopp, Olga; Josse, Julie; Moulines, Eric; Tibshirani, Robert
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Inria; ESSEC Business School; Institut Polytechnique de Paris; ENSAE Paris; HSE University (National Research University Higher School of Economics); Stanford University; Stanford University
摘要：A mixed data frame (MDF) is a table collecting categorical, numerical, and count observations. The use of MDF is widespread in statistics and the applications are numerous from abundance data in ecology to recommender systems. In many cases, an MDF exhibits simultaneously main effects, such as row, column, or group effects and interactions, for which a low-rank model has often been suggested. Although the literature on low-rank approximations is very substantial, with few exceptions, existing ...
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作者：Feng, Qian; Vuong, Quang; Xu, Haiqing
作者单位：University of Texas System; University of Texas Austin; New York University
摘要：This article estimates individual treatment effects (ITE) and its probability distribution in a triangular model with binary-valued endogenous treatments. Our estimation procedure takes two steps. First, we estimate the counterfactual outcome and hence, the ITE for every observational unit in the sample. Second, we estimate the ITE density function of the whole population. Our estimation method does not suffer from the ill-posed inverse problem associated with inverting a nonlinear functional....
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作者：Xie, Fangzheng; Xu, Yanxun
作者单位：Johns Hopkins University
摘要：We develop a general class of Bayesian repulsive Gaussian mixture models that encourage well-separated clusters, aiming at reducing potentially redundant components produced by independent priors for locations (such as the Dirichlet process). The asymptotic results for the posterior distribution of the proposed models are derived, including posterior consistency and posterior contraction rate in the context of nonparametric density estimation. More importantly, we show that compared to the ind...
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作者：Chen, Dachuan; Mykland, Per A.; Zhang, Lan
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; University of Chicago; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：We develop a principal component analysis (PCA) for high frequency data. As in Northern fairy tales, there are trolls waiting for the explorer. The first three trolls are market microstructure noise, asynchronous sampling times, and edge effects in estimators. To get around these, a robust estimator of the spot covariance matrix is developed based on the smoothed two-scale realized variance (S-TSRV). The fourth troll is how to pass from estimated time-varying covariance matrix to PCA. Under fi...
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作者：Chen, Yen-Chi
作者单位：University of Washington; University of Washington Seattle
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作者：Wang, Lan; Peng, Bo; Bradic, Jelena; Li, Runze; Wu, Yunan
作者单位：University of Miami; Adobe Systems Inc.; University of California System; University of California San Diego; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Minnesota System; University of Minnesota Twin Cities
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作者：Cressie, Noel
作者单位：University of Wollongong
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作者：Tao, Ran; Zeng, Donglin; Lin, Dan-Yu
作者单位：Vanderbilt University; Vanderbilt University; University of North Carolina; University of North Carolina Chapel Hill
摘要：The two-phase design is a cost-effective sampling strategy to evaluate the effects of covariates on an outcome when certain covariates are too expensive to be measured on all study subjects. Under such a design, the outcome and inexpensive covariates are measured on all subjects in the first phase and the first-phase information is used to select subjects for measurements of expensive covariates in the second phase. Previous research on two-phase studies has focused largely on the inference pr...
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作者：Bruce, Scott A.; Tang, Cheng Yong; Hall, Martica H.; Krafty, Robert T.
作者单位：George Mason University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：The time-varying power spectrum of a time series process is a bivariate function that quantifies the magnitude of oscillations at different frequencies and times. To obtain low-dimensional, parsimonious measures from this functional parameter, applied researchers consider collapsed measures of power within local bands that partition the frequency space. Frequency bands commonly used in the scientific literature were historically derived, but they are not guaranteed to be optimal or justified f...
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作者：Sung, Chih-Li; Wang, Wenjia; Plumlee, Matthew; Haaland, Benjamin
作者单位：Michigan State University; Northwestern University; Utah System of Higher Education; University of Utah; University System of Georgia; Georgia Institute of Technology
摘要：The Gaussian process is a standard tool for building emulators for both deterministic and stochastic computer experiments. However, application of Gaussian process models is greatly limited in practice, particularly for large-scale and many-input computer experiments that have become typical. We propose a multiresolution functional ANOVA (MRFA) model as a computationally feasible emulation alternative. More generally, this model can be used for large-scale and many-input nonlinear regression p...
