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作者：Mukherjee, K.
作者单位：Lancaster University
摘要：We consider the weighted bootstrap approximation to the distribution of a class of M-estimators for the parameters of the generalized autoregressive conditional heteroscedastic model. We prove that the bootstrap distribution, given the data, is a consistent estimate in probability of the distribution of the M-estimator, which is asymptotically normal. We propose an algorithm for the computation of M-estimates which at the same time is useful for computing bootstrap replicates from the given da...
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作者：Dehling, H.; Fried, R.; Wendler, M.
作者单位：Ruhr University Bochum; Dortmund University of Technology; Otto von Guericke University
摘要：We present a robust and nonparametric test for the presence of a changepoint in a time series, based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on two-sample U-quantile processes in the case of short-range dependent observations. Using this theory, we derive the asymptotic distribution of our test statistic under the null hypothesis of a constant level. The proposed test shows better overall performance under normal, heavy-tailed and...
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作者：Cui, Xia; Li, Runze; Yang, Guangren; Zhou, Wang
作者单位：Guangzhou University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Jinan University; National University of Singapore
摘要：This paper is concerned with empirical likelihood inference on the population mean when the dimension p and the sample size n satisfy p/n -> c is an element of [1, infinity). As shown in Tsao (2004), the empirical likelihood method fails with high probability when p/n > 1/2 because the convex hull of the n observations in R-p becomes too small to cover the true mean value. Moreover, when p > n, the sample covariance matrix becomes singular, and this results in the breakdown of the first sandwi...
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作者：Mukhopadhyay, Subhadeep; Wang, Kaijun
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Fred Hutchinson Cancer Center
摘要：High-dimensional k-sample comparison is a common task in applications. We construct a class of easy-to-implement distribution-free tests based on new nonparametric tools and unexplored connections with spectral graph theory. The test is shown to have various desirable properties and a characteristic exploratory flavour that has practical consequences for statistical modelling. Numerical examples show that the proposed method works surprisingly well across a broad range of realistic situations.
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作者：Meng, Cheng; Zhang, Xinlian; Zhang, Jingyi; Zhong, Wenxuan; Ma, Ping
作者单位：University System of Georgia; University of Georgia
摘要：We consider the problem of approximating smoothing spline estimators in a nonparametric regression model. When applied to a sample of size n, the smoothing spline estimator can be expressed as a linear combination of n basis functions, requiring O(n(3)) computational time when the number d of predictors is two or more. Such a sizeable computational cost hinders the broad applicability of smoothing splines. In practice, the full-sample smoothing spline estimator can be approximated by an estima...
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作者：Dobriban, E.
作者单位：University of Pennsylvania
摘要：Multiple hypothesis testing problems arise naturally in science. This note introduces a new fast closed testing method for multiple testing which controls the familywise error rate. Controlling the familywise error rate is state-of-the-art in many important application areas and is preferred over false discovery rate control for many reasons, including that it leads to stronger reproducibility. The closure principle rejects an individual hypothesis if all global nulls of subsets containing it ...
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作者：Simpson, E. S.; Wadsworth, J. L.; Tawn, J. A.
作者单位：Lancaster University
摘要：In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies in determining which subsets of variables can take their largest values simultaneously while the others are of smaller order. Our approach to this problem exploits hidden regular variation properties on a collection of nonstandard cones, and provides a new set of indices that reveal aspects of the extremal depend...
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作者：Legramanti, Sirio; Durante, Daniele; Dunson, David B.
作者单位：Bocconi University; Duke University
摘要：The dimension of the parameter space is typically unknown in a variety of models that rely on factorizations. For example, in factor analysis the number of latent factors is not known and has to be inferred from the data. Although classical shrinkage priors are useful in such contexts, increasing shrinkage priors can provide a more effective approach that progressively penalizes expansions with growing complexity. In this article we propose a novel increasing shrinkage prior, called the cumula...
