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作者：Cui, Y.; Hannig, J.
作者单位：University of Pennsylvania; University of North Carolina; University of North Carolina Chapel Hill
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作者：Martin, Ryan
作者单位：North Carolina State University
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作者：Cooley, D.; Thibaud, E.
作者单位：Colorado State University System; Colorado State University Fort Collins; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We propose two decompositions that help to summarize and describe high-dimensional tail dependence within the framework of regular variation. We use a transformation to define a vector space on the positive orthant and show that transformed-linear operations applied to regularly-varying random vectors preserve regular variation. We summarize tail dependence via a matrix of pairwise tail dependence metrics that is positive semidefinite; eigendecomposition allows one to interpret tail dependence...
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作者：Broda, Simon A.
作者单位：University of Zurich
摘要：This manuscript considers locally best invariant tests for sphericity in heterogeneous panels. A new integral representation for the characteristic function of the test statistic under the null is presented, along with an algorithm for inverting it to obtain the distribution function. A saddlepoint approximation to the null distribution addresses the need to quickly compute approximate p-values in empirical work. The approximation shows substantial improvements over the normal approximation wh...
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作者：Yu, Guo; Bien, Jacob
作者单位：University of Washington; University of Washington Seattle; University of Southern California
摘要：The lasso has been studied extensively as a tool for estimating the coefficient vector in the high-dimensional linear model; however, considerably less is known about estimating the error variance in this context. In this paper, we propose the natural lasso estimator for the error variance, which maximizes a penalized likelihood objective. A key aspect of the natural lasso is that the likelihood is expressed in terms of the natural parameterization of the multi-parameter exponential family of ...
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作者：Azriel, D.
作者单位：Technion Israel Institute of Technology
摘要：Consider a high-dimensional linear regression problem, where the number of covariates is larger than the number of observations and the interest is in estimating the conditional variance of the response variable given the covariates. A conditional and an unconditional framework are considered, where conditioning is with respect to the covariates, which are ancillary to the parameter of interest. In recent papers, a consistent estimator was developed in the unconditional framework when the marg...
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作者：Zhong, Ping-Shou; Li, Runze; Santo, Shawn
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; 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; Michigan State University
摘要：This paper deals with the detection and identification of changepoints among covariances of high-dimensional longitudinal data, where the number of features is greater than both the sample size and the number of repeated measurements. The proposed methods are applicable under general temporal-spatial dependence. A new test statistic is introduced for changepoint detection, and its asymptotic distribution is established. If a changepoint is detected, an estimate of the location is provided. The...
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作者：Krieger, A. M.; Azriel, D.; Kapelner, A.
作者单位：University of Pennsylvania; Technion Israel Institute of Technology; City University of New York (CUNY) System; Queens College NY (CUNY)
摘要：We present a procedure that divides a set of experimental units into two groups that are similar on a prespecified set of covariates and are almost as random as with a complete randomization. Under complete randomization, the difference in the standardized average between treatment and control is O-p(n(-1/2)), which may be material in small samples. We present an algorithm that reduces imbalance to O-p(n(-3)) for one covariate and O-p{n(-(1+2/p))} for p covariates, but whose assignments are, s...
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作者：Vakulenko-Lagun, B.; Qian, J.; Chiou, S. H.; Betensky, R. A.
作者单位：Harvard University; Harvard T.H. Chan School of Public Health; University of Massachusetts System; University of Massachusetts Amherst
摘要：A time to event, X, is left-truncated by T if X can be observed only if T < X. This often results in oversampling of large values of X, and necessitates adjustment of estimation procedures to avoid bias. Simple risk-set adjustments can be made to standard risk-set-based estimators to accommodate left truncation when T and X are quasi-independent. We derive a weaker factorization condition for the conditional distribution of T given X in the observable region that permits risk-set adjustment fo...
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作者：Peng, Jiayu; Mukerjee, Rahul; Lin, Dennis K. J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Indian Institute of Management (IIM System); Indian Institute of Management Calcutta; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In an order-of-addition experiment, each treatment is a permutation of m components. It is often unaffordable to test all the m! possible treatments, and thus the design problem arises. We consider a flexible model that incorporates the order of each pair of components and can also account for the distance between the two components in every such pair. Under this model, the optimality of the uniform design measure is established, via the approximate theory, for a broad range of criteria. Coupl...
