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作者：Perin, Jamie; Preisser, John S.; Rathouz, Paul J.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Chicago
摘要：Incomplete longitudinal data often are analyzed with estimating equations for inference on a parameter from a marginal mean regression model. Generalized estimating equations, although commonly used for incomplete longitudinal data, are invalid for data that are not missing completely at random. There exists a class of inverse probability weighted estimating equations that are valid under dropouts missing at random, including an easy-to-implement but inefficient member. A relatively computatio...
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作者：Lindquist, Martin A.; McKeague, Ian W.
作者单位：Columbia University; Columbia University
摘要：This article introduces a new type of logistic regression model involving functional predictors of binary responses, and provides an extension of this approach to generalized linear models. The predictors are trajectories that have certain sample path properties in common with Brownian motion. Time points are treated as parameters of interest, and confidence intervals are developed tinder prospective and retrospective (case-control) sampling designs. In an application to functional magnetic re...
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作者：Wang, Hansheng
作者单位：Peking University
摘要：Motivated by the seminal theory of Sure Independence Screening (Fan and Lv 2008, SIS), we investigate here another popular and classical variable screening method, namely, forward regression (FR). Our theoretical analysis reveals that FR can identify all relevant predictors consistently, even if the predictor dimension is substantially larger than the sample size. In particular, if the dimension of the true model is finite, FR can discover all relevant predictors within a finite number of step...
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作者：Fan, Jianqing; Mancini, Loriano
作者单位：Princeton University; Shanghai University of Finance & Economics; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Parametric option pricing models are widely used in finance. These models capture several features of asset price dynamics; however, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that learn and correct empirically the pricing errors. In this article we propose a new nonparametric method for pricing derivatives assets. Our method relies on the state price distribution instead of the state price density, because the former i...
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作者：Boldea, Otilia; Magnus, Jan R.
作者单位：Tilburg University
摘要：The Hessian of the multivariate normal mixture model is derived, and estimators of the information matrix are obtained, thus enabling consistent estimation of all parameters and their precisions. The usefulness of the new theory is illustrated with two examples and some simulation experiments. The newly proposed estimators appear to be superior to the existing ones.
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作者：Cai, T. Tony; Sun, Wenguang
作者单位：University of Pennsylvania
摘要：In large-scale multiple testing problems, data are often collected from heterogeneous sources and hypotheses form into groups that exhibit different characteristics. Conventional approaches, including the pooled and separate analyses, fail to efficiently utilize the external grouping information. We develop a compound decision theoretic framework for testing grouped hypotheses and introduce an oracle procedure that minimizes the false nondiscovery rate subject to a constraint on the false disc...
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作者：Chung, Yeonseung; Dunson, David B.
作者单位：Harvard University; Harvard T.H. Chan School of Public Health; Duke University
摘要：This article considers a methodology for flexibly characterizing the relationship between a response and multiple predictors. Goals are (1) to estimate the conditional response distribution addressing the distributional changes across the predictor space, and (2) to identify important predictors for the response distribution change both within local regions and globally. We first introduce the probit stick-breaking process (PSBP) as a prior for an uncountable collection of predictor-dependent ...
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作者：Huang, Jianhua Z.; Shen, Haipeng; Buja, Andreas
作者单位：Texas A&M University System; Texas A&M University College Station; University of North Carolina; University of North Carolina Chapel Hill; University of Pennsylvania
摘要：Two-way functional data consist of a data matrix whose row and column domains are both structured, for example, temporally or spatially, as when the data are time series collected at different locations in space. We extend one-way functional principal component analysis (PCA) to two-way functional data by introducing regularization of both left and right singular vectors in the singular value decomposition (SVD) of the data matrix. We focus oil a penalization approach and solve the nontrivial ...
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作者：Paindaveine, Davy
作者单位：Universite Libre de Bruxelles; Universite Libre de Bruxelles
摘要：This paper proposes several extensions of the concept of runs to the multivariate setup, and studies the resulting tests of multivariate randomness against serial dependence. Two types of multivariate runs are defined: (i) an elliptical extension of the spherical runs proposed by Marden (1999), and (ii) an original concept of matrix-valued runs. The resulting runs tests themselves exist in various versions, one of which is a function of the number of data-based hyperplanes separating pairs of ...
