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作者：Fan, Jianqing; Huang, Tao; Li, Runze
作者单位：Princeton University; University of Virginia; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Improving efficiency for regression coefficients and predicting trajectories of individuals are two important aspects in the analysis of longitudinal data. Both involve estimation of the covariance function. Yet challenges arise in estimating the covariance function of longitudinal data collected at irregular time points. A class of semiparametric models for the covariance function by that imposes a parametric correlation structure while allowing a nonparametric variance function is proposed. ...
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作者：Im, Hae Kyung; Stein, Michael L.; Zhu, Zhengyuan
作者单位：University of Chicago; University of Chicago; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a semiparametric method for estimating spectral densities of isotropic Gaussian processes with scattered data. The spectral density function (Fourier transform of the covariance function) is modeled as a linear combination of B-splines up to a cutoff frequency and, from this point, a truncated algebraic tail. We calculate an analytic expression for the covariance function and tackle several numerical issues that arise when calculating the likelihood. The parameters are estimated by ...
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作者：Li, Bo; Genton, Marc G.; Sherman, Michael
作者单位：National Center Atmospheric Research (NCAR) - USA; University of Geneva; Texas A&M University System; Texas A&M University College Station
摘要：We propose a unified framework for testing various assumptions commonly made for covariance functions of stationary spatio-temporal random fields. The methodology is based on the asymptotic normality of space-time covariance estimators. We focus on tests for full symmetry and separability in this article, but our framework naturally covers testing for isotropy and Taylor's hypothesis. Our test successfully detects the asymmetric and nonseparable features in two sets of wind speed data. We per-...
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作者：Hallin, Marc; Liska, Roman
作者单位：Universite Libre de Bruxelles; Universite Libre de Bruxelles; Universite Libre de Bruxelles
摘要：This article develops an information criterion for determining the number q of common shocks in the general dynamic factor model developed by Form et al., as opposed to the restricted dynamic model considered by Bai and Ng and by Amengual and Watson. Our criterion is based on the fact that this number q is also the number of diverging eigenvalues of the spectral density matrix of the observations as the number n of series goes to infinity. We provide sufficient conditions for consistency of th...
