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作者：Andersen, Torben G.; Thyrsgaard, Martin; Todorov, Viktor
作者单位：Northwestern University; National Bureau of Economic Research; Aarhus University; CREATES
摘要：We develop a nonparametric test for whether return volatility exhibits time-varying intraday periodicity using a long time series of high-frequency data. Our null hypothesis, commonly adopted in work on volatility modeling, is that volatility follows a stationary process combined with a constant time-of-day periodic component. We construct time-of-day volatility estimates and studentize the high-frequency returns with these periodic components. If the intraday periodicity is invariant, then th...
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作者：Jeng, X. Jessie; Zhang, Teng; Tzeng, Jung-Ying
作者单位：North Carolina State University; National Taiwan University; National Cheng Kung University
摘要：This article addresses the challenge of efficiently capturing a high proportion of true signals for subsequent data analyses when sample sizes are relatively limited with respect to data dimension. We propose the signal missing rate (SMR) as a new measure for false-negative control to account for the variability of false-negative proportion. Novel data-adaptive procedures are developed to control SMR without incurring many unnecessary false positives under dependence. We justify the efficiency...
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作者：Wang, Yixin; Blei, David M.
作者单位：Columbia University; Columbia University
摘要：A key challenge for modern Bayesian statistics is how to perform scalable inference of posterior distributions. To address this challenge, variational Bayes (VB) methods have emerged as a popular alternative to the classical Markov chain Monte Carlo (MCMC) methods. VB methods tend to be faster while achieving comparable predictive performance. However, there are few theoretical results around VB. In this article, we establish frequentist consistency and asymptotic normality of VB methods. Spec...
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作者：Chen, Yakuan; Goldsmith, Jeff; Ogden, R. Todd
作者单位：AT&T; Columbia University
摘要：One application of positron emission tomography (PET), a nuclear imaging technique, in neuroscience involves in vivo estimation of the density of various proteins (often, neuroreceptors) in the brain. PET scanning begins with the injection of a radiolabeled tracer that binds preferentially to the target protein; tracer molecules are then continuously delivered to the brain via the bloodstream. By detecting the radioactive decay of the tracer over time, dynamic PET data are constructed to refle...
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作者：Ghosh, Satyajit; Khare, Kshitij; Michailidis, George
作者单位：State University System of Florida; University of Florida; State University System of Florida; University of Florida
摘要：Vector autoregressive (VAR) models aim to capture linear temporal interdependencies among multiple time series. They have been widely used in macroeconomics and financial econometrics and more recently have found novel applications in functional genomics and neuroscience. These applications have also accentuated the need to investigate the behavior of the VAR model in a high-dimensional regime, which provides novel insights into the role of temporal dependence for regularized estimates of the ...
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作者：Ait-Sahalia, Yacine; Xiu, Dacheng
作者单位：Princeton University; National Bureau of Economic Research; University of Chicago
摘要：We develop the necessary methodology to conduct principal component analysis at high frequency. We construct estimators of realized eigenvalues, eigenvectors, and principal components, and provide the asymptotic distribution of these estimators. Empirically, we study the high-frequency covariance structure of the constituents of the S&P 100 Index using as little as one week of high-frequency data at a time, and examines whether it is compatible with the evidence accumulated over decades of low...
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作者：Di Marzio, Marco; Panzera, Agnese; Taylor, Charles C.
作者单位：G d'Annunzio University of Chieti-Pescara; University of Florence; University of Leeds
摘要：Regression of data represented as points on a hypersphere has traditionally been treated using parametric families of transformations that include the simple rigid rotation as an important, special case. On the other hand, nonparametric methods have generally focused on modeling a scalar response through a spherical predictor by representing the regression function as a polynomial, leading to component-wise estimation of a spherical response. We propose a very flexible, simple regression model...
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作者：Wang, Yifei; Tancredi, Daniel J.; Miglioretti, Diana L.
作者单位：University of California System; University of California Davis; University of California System; University of California San Francisco
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作者：Wong, Raymond K. W.; Li, Yehua; Zhu, Zhengyuan
作者单位：Texas A&M University System; Texas A&M University College Station; University of California System; University of California Riverside; Iowa State University; Iowa State University
摘要：We investigate a class of partially linear functional additive models (PLFAM) that predicts a scalar response by both parametric effects of a multivariate predictor and nonparametric effects of a multivariate functional predictor. We jointly model multiple functional predictors that are cross-correlated using multivariate functional principal component analysis (mFPCA), and model the nonparametric effects of the principal component scores as additive components in the PLFAM. To address the hig...
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作者：Yauck, Mamadou; Rivest, Louis-Paul; Rothman, Greg
作者单位：Laval University
摘要：This work is concerned with the analysis of marketing data on the activation of applications (apps) on mobile devices. Each application has a hashed identification number that is specific to the device on which it has been installed. This number can be registered by a platform at each activation of the application. Activations on the same device are linked together using the identification number. By focusing on activations that took place at a business location, one can create a capture-recap...
