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作者：Wang, Christina D.; Mykland, Per A.
作者单位：Princeton University; Princeton University; University of Chicago; University of Chicago
摘要：The leverage effect has become an extensively studied phenomenon that describes the (usually) negative relation between stock returns and their volatility. Although this characteristic of stock returns is well acknowledged, most studies of the phenomenon are based on cross-sectional calibration with parametric models. On the statistical side, most previous works are conducted over daily or longer return horizons, and few of them have carefully studied its estimation, especially with high-frequ...
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作者：Sobel, Michael E.; Lindquist, Martin A.
作者单位：Columbia University; Johns Hopkins University
摘要：Functional magnetic resonance imaging (fMRI) has facilitated major advances in understanding human brain function. Neuroscientists are interested in using fMRI to study the effects of external stimuli on brain activity and causal relationships among brain regions, but have not stated what is meant by causation or defined the effects they purport to estimate. Building on Rubin's causal model, we construct a framework for causal inference using blood oxygenation level dependent (BOLD) fMRI time ...
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作者：Ando, Tomohiro; Li, Ker-Chau
作者单位：Keio University; Academia Sinica - Taiwan; University of California System; University of California Los Angeles
摘要：This article considers high-dimensional regression problems in which the number of predictors p exceeds the sample size n. We develop a model-averaging procedure for high-dimensional regression problems. Unlike most variable selection studies featuring the identification of true predictors, our focus here is on the prediction accuracy for the true conditional mean of y given the p predictors. Our method consists of two steps. The first step is to construct a class of regression models, each wi...
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作者：Hu, Y. J.; Lin, D. Y.; Sun, W.; Zeng, D.
作者单位：Emory University; University of North Carolina; University of North Carolina Chapel Hill
摘要：Copy number variants (CNVs) and single nucleotide polymorphisms (SNPs) coexist throughout the human genome and jointly contribute to phenotypic variations. Thus, it is desirable to consider both types of variants, as characterized by allele-specific copy numbers (ASCNs), in association studies of complex human diseases. Current SNP genotyping technologies capture the CNV and SNP information simultaneously via fluorescent intensity measurements. The common practice of calling ASCNs from the int...
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作者：Rosenthal, Michael; Wu, Wei; Klassen, Eric; Srivastava, Anuj
作者单位：State University System of Florida; Florida State University; State University System of Florida; Florida State University
摘要：This article studies the problem of modeling relationship between two spherical (or directional) random variables in a regression setup. Here the predictor and the response variables are constrained to be on a unit sphere and, due to this nonlinear condition, the standard Euclidean regression models do not apply. Several past papers have studied this problem, termed spherical regression, by modeling the response variable with a von Mises-Fisher (VMF) density with the mean given by a rotation o...
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作者：Chen, Tianle; Wang, Yuanjia; Chen, Huaihou; Marder, Karen; Zeng, Donglin
作者单位：Columbia University; New York University; Columbia University; Columbia University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We develop methods to accurately predict whether presymptomatic individuals are at risk of a disease based on their various marker profiles, which offers an opportunity for early intervention well before definitive clinical diagnosis. For many diseases, existing clinical literature may suggest the risk of disease varies with some markers of biological and etiological importance, for example, age. To identify effective prediction rules using nonparametric decision functions, standard statistica...
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作者：Herbei, Radu; Berliner, L. Mark
作者单位：University System of Ohio; Ohio State University
摘要：We provide a Bayesian analysis of ocean circulation based on data collected in the South Atlantic Ocean. The analysis incorporates a reaction-diffusion partial differential equation that is not solvable in closed form. This leads to an intractable likelihood function. We describe a novel Markov chain Monte Carlo approach that does not require a likelihood evaluation. Rather, we use unbiased estimates of the likelihood and a Bernoulli factory to decide whether or not proposed states are accepte...
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作者：Mueller, P.; Quintana, F.
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作者：Cai, Zongwu; Wang, Xian
作者单位：University of Kansas; Xiamen University; Bank of America Corporation
摘要：A fundamental issue of applying a copula method in applications is how to choose an appropriate copula function for a given problem. In this article we address this issue by proposing a new copula selection approach via penalized likelihood plus a shrinkage operator. The proposed method selects an appropriate copula function and estimates the related parameters simultaneously. We establish the asymptotic properties of the proposed penalized likelihood estimator, including the rate of convergen...
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作者：Chen, L.; Dou, W. W.; Qiao, Z.
