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作者：Bondell, Howard D.; Stefanski, Leonard A.
作者单位：North Carolina State University
摘要：Large- and finite-sample efficiency and resistance to outliers are the key goals of robust statistics. Although often not simultaneously attainable, we, develop and study a linear regression estimator that comes close. Efficiency is obtained from the estimator's close connection to generalized empirical likelihood, and its favorable robustness properties are obtained by constraining the associated sum of (weighted) squared residuals. We prove maximum attainable finite-sample replacement breakd...
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作者：Dias, Monica Costa; Ichimura, Hidehiko; van den Berg, Gerard J.
作者单位：University of London; London School Economics & Political Science; Universidade do Porto; IZA Institute Labor Economics; University of Tokyo; University of Tokyo; University of Mannheim; Vrije Universiteit Amsterdam
摘要：Matching methods for treatment evaluation based on a conditional independence assumption do not balance selective unobserved differences between treated and nontreated. We derive a simple correction term if there is an instrument that shifts the treatment probability to zero in specific cases. Policies with eligibility restrictions, where treatment is impossible if some variable exceeds a certain value, provide a natural application. In an empirical analysis, we exploit the age eligibility res...
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作者：Liang, Faming; Song, Qifan; Yu, Kai
作者单位：Texas A&M University System; Texas A&M University College Station; National Institutes of Health (NIH) - USA; NIH National Cancer Institute (NCI); NIH National Cancer Institute- Division of Cancer Epidemiology & Genetics
摘要：This article presents a new prior setting for high-dimensional generalized linear models, which leads to a Bayesian subset regression (BSR) with the maximum a posteriori model approximately equivalent to the minimum extended Bayesian information criterion model. The consistency of the resulting posterior is established under mild conditions. Further, a variable screening procedure is proposed based on the marginal inclusion probability, which shares the same properties of sure screening and co...
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作者：Brown, Lawrence D.; Greenshtein, Eitan; Ritov, Ya'acov
作者单位：University of Pennsylvania; Hebrew University of Jerusalem
摘要：The compound decision problem for a vector of independent Poisson random variables with possibly different means has a half-century-old solution. However, it appears that the classical solution needs smoothing adjustment. We discuss three such adjustments. We also present another approach that first transforms the problem into the normal compound decision problem. A simulation study shows the effectiveness of the procedures in improving the performance over that of the classical procedure. A r...
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作者：Zhou, Zhou
作者单位：University of Toronto
摘要：The assumption of (weak) stationarity is crucial for the validity of most of the conventional tests of structure change in time series. Under complicated nonstationary temporal dynamics, we argue that traditional testing procedures result in mixed structural change signals of the first and second order and hence could lead to biased testing results. The article proposes a simple and unified bootstrap testing procedure that provides consistent testing results under general forms of smooth and a...
