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作者：Broda, Simon A.; Zambrano, Juan Arismendi
作者单位：Maynooth University
摘要：This article presents exact and approximate expressions for tail probabilities and partial moments of quadratic forms in multivariate generalized hyperbolic random vectors. The derivations involve a generalization of the classic inversion formula for distribution functions (Gil-Pelaez, 1951). Two numerical applications are considered: the distribution of the two-stage least squares estimator and the expected shortfall of a quadratic portfolio.
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作者：Lin, Zhenhua; Yao, Fang
作者单位：National University of Singapore; Peking University
摘要：We propose a new method for functional nonparametric regression with a predictor that resides on a finite-dimensional manifold, but is observable only in an infinite-dimensional space. Contamination of the predictor due to discrete or noisy measurements is also accounted for. By using functional local linear manifold smoothing, the proposed estimator enjoys a polynomial rate of convergence that adapts to the intrinsic manifold dimension and the contamination level. This is in contrast to the l...
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作者：Sun, Xiaoxiao; Zhong, Wenxuan; Ma, Ping
作者单位：University of Arizona; University System of Georgia; University of Georgia
摘要：Large samples are generated routinely from various sources. Classic statistical models, such as smoothing spline ANOVA models, are not well equipped to analyse such large samples because of high computational costs. In particular, the daunting computational cost of selecting smoothing parameters renders smoothing spline ANOVA models impractical. In this article, we develop an asympirical, i.e., asymptotic and empirical, smoothing parameters selection method for smoothing spline ANOVA models in...
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作者：Frongillo, Rafael M.; Kash, Ian A.
作者单位：University of Colorado System; University of Colorado Boulder; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：A property, or statistical functional, is said to be elicitable if it minimizes the expected loss for some loss function. The study of which properties are elicitable sheds light on the capabilities and limitations of point estimation and empirical risk minimization. While recent work has sought to identify which properties are elicitable, here we investigate a more nuanced question: how many dimensions are required to indirectly elicit a given property? This number is called the elicitation c...
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作者：Luo, Wei; Li, Bing
作者单位：Zhejiang University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In many dimension reduction problems in statistics and machine learning, such as in principal component analysis, canonical correlation analysis, independent component analysis and sufficient dimension reduction, it is important to determine the dimension of the reduced predictor, which often amounts to estimating the rank of a matrix. This problem is called order determination. In this article, we propose a novel and highly effective order-determination method based on the idea of predictor a...
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作者：Gunsilius, F. F.
作者单位：University of Michigan System; University of Michigan
摘要：This note presents a proof of the conjecture in Pearl (1995) about testing the validity of an instrumental variable in hidden variable models. It implies that instrument validity cannot be tested in the case where the endogenous treatment is continuously distributed. This stands in contrast to the classical testability results for instrument validity when the treatment is discrete. However, imposing weak structural assumptions on the model, such as continuity between the observable variables, ...
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作者：Plumlee, M.; Erickson, C. B.; Ankenman, B. E.; Lawrence, E.
作者单位：Northwestern University; United States Department of Energy (DOE); Los Alamos National Laboratory
摘要：Experiments are often used to produce emulators of deterministic computer code. This article introduces composite grid experimental designs and a sequential method for building the designs for accurate emulation. Computational methods are developed that enable fast and exact Gaussian process inference even with large sample sizes. We demonstrate that the proposed approach can produce emulators that are orders of magnitude more accurate than current approximations at a comparable computational ...
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作者：Lei, Lihua; Bickel, Peter J.
作者单位：Stanford University; University of California System; University of California Berkeley
摘要：We propose the cyclic permutation test to test general linear hypotheses for linear models. The test is nonrandomized and valid in finite samples with exact Type I error a for an arbitrary fixed design matrix and arbitrary exchangeable errors, whenever 1/alpha is an integer and n/p >= 1/alpha - 1, where n is the sample size and p is the number of parameters. The test involves applying the marginal rank test to 1/alpha linear statistics of the outcome vector, where the coefficient vectors are d...
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作者：Zhou, Huijuan; Zhang, Xianyang; Chen, Jun
作者单位：Renmin University of China; Texas A&M University System; Texas A&M University College Station; Mayo Clinic
摘要：The familywise error rate has been widely used in genome-wide association studies. With the increasing availability of functional genomics data, it is possible to increase detection power by leveraging these genomic functional annotations. Previous efforts to accommodate covariates in multiple testing focused on false discovery rate control, while covariate-adaptive procedures controlling the familywise error rate remain underdeveloped. Here, we propose a novel covariate-adaptive procedure to ...
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作者：Guo, X.; Tang, C. Y.
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We consider testing the covariance structure in statistical models. We focus on developing such tests when the random vectors of interest are not directly observable and have to be derived via estimated models. Additionally, the covariance specification may involve extra nuisance parameters which also need to be estimated. In a generic additive model setting, we develop and investigate test statistics based on the maximum discrepancy measure calculated from the residuals. To approximate the di...
