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作者：Zheng, Yao; Li, Wai Keung; Li, Guodong
作者单位：University of Hong Kong
摘要：The estimation of time series models with heavy-tailed innovations has been widely discussed, but corresponding goodness-of-fit tests have attracted less attention, primarily because the autocorrelation function commonly used in constructing goodness-of-fit tests necessarily imposes certain moment conditions on the innovations. As a bounded random variable has finite moments of all orders, we address the problem by first transforming the residuals with a bounded function. More specifically, we...
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作者：Tan, Kean Ming; Wang, Zhaoran; Zhang, Tong; Liu, Han; Cook, R. Dennis
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Northwestern University; Tencent
摘要：Sliced inverse regression is a popular tool for sufficient dimension reduction, which replaces covariates with a minimal set of their linear combinations without loss of information on the conditional distribution of the response given the covariates. The estimated linear combinations include all covariates, making results difficult to interpret and perhaps unnecessarily variable, particularly when the number of covariates is large. In this paper, we propose a convex formulation for fitting sp...
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作者：Wei, Susan; Kosorok, Michael R.
作者单位：University of Melbourne; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a projection pursuit technique in survival analysis for finding lower-dimensional projections that exhibit differentiated survival outcomes. This idea is formally introduced as the change-plane Cox model, a nonregular Cox model with a change-plane in the covariate space that divides the population into two subgroups whose hazards are proportional. The proposed technique offers a potential framework for principled subgroup discovery. Estimation of the change-plane is accomplished via...
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作者：Hoga, Y.
作者单位：University of Duisburg Essen
摘要：We derive a structural break test for extremal dependence in beta-mixing, possibly high-dimensional random vectors with either asymptotically dependent or asymptotically independent components. Existing tests require serially independent observations with asymptotically dependent components. To avoid estimating a long-run variance, we use self-normalization, which obviates the need to estimate the coefficient of tail dependence when components are asymptotically independent. Simulations show f...
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作者：Hong, L.; Kuffner, T. A.; Martin, R.
作者单位：Robert Morris University; Washington University (WUSTL); North Carolina State University
摘要：In a regression context, when the relevant subset of explanatory variables is uncertain, it is common to use a data-driven model selection procedure. Classical linear model theory, applied naively to the selected submodel, may not be valid because it ignores the selected submodel's dependence on the data. We provide an explanation of this phenomenon, in terms of overfitting, for a class of model selection criteria.
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作者：Bogomolov, Marina; Heller, Ruth
作者单位：Technion Israel Institute of Technology; Tel Aviv University
摘要：Replicability analysis aims to identify the overlapping signals across independent studies that examine the same features. For this purpose we develop hypothesis testing procedures that first select the promising features from each of two studies separately. Only those features selected in both studies are then tested. The proposed procedures have theoretical guarantees regarding their control of the familywise error rate or false discovery rate on the replicability claims. They can also be us...
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作者：de Fondeville, R.; Davison, A. C.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：Max-stable processes are increasingly widely used for modelling complex extreme events, but existing fitting methods are computationally demanding, limiting applications to a few dozen variables. r-Pareto processes are mathematically simpler and have the potential advantage of incorporating all relevant extreme events, by generalizing the notion of a univariate exceedance. In this paper we investigate the use of proper scoring rules for high-dimensional peaks-overthreshold inference, focusing ...
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作者：Lee, A.; Whiteley, N.
作者单位：University of Bristol
摘要：This paper concerns numerical assessment of Monte Carlo error in particle filters. We show that by keeping track of certain key features of the genealogical structure arising from resampling operations, it is possible to estimate variances of a number of Monte Carlo approximations that particle filters deliver. All our estimators can be computed from a single run of a particle filter. We establish that, as the number of particles grows, our estimators are weakly consistent for asymptotic varia...
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作者：Johndrow, J. E.; Lum, K.; Dunson, D. B.
作者单位：Stanford University; Duke University
摘要：There has been substantial recent interest in record linkage, where one attempts to group the records pertaining to the same entities from one or more large databases that lack unique identifiers. This can be viewed as a type of microclustering, with few observations per cluster and a very large number of clusters. We show that the problem is fundamentally hard from a theoretical perspective and, even in idealized cases, accurate entity resolution is effectively impossible unless the number of...
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作者：Xia, Yin; Cai, T. Tony; Li, Hongzhe
作者单位：Fudan University; University of Pennsylvania; University of Pennsylvania
摘要：Multivariate regression with high-dimensional covariates has many applications in genomic and genetic research, in which some covariates are expected to be associated with multiple responses. This paper considers joint testing for regression coefficients over multiple responses and develops simultaneous testing methods with false discovery rate control. The test statistic is based on inverse regression and bias-corrected group lasso estimates of the regression coefficients and is shown to have...
