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作者：Zheng, Qi
作者单位：University of Louisville
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作者：Chong, Carsten H.; Todorov, Viktor
作者单位：Hong Kong University of Science & Technology; Northwestern University
摘要：We develop a nonparametric test for deciding whether volatility of an asset follows a standard semimartingale process, with paths of finite quadratic variation, or a rough process with paths of infinite quadratic variation. The test uses the fact that volatility is rough if and only if volatility increments are negatively autocorrelated at high frequencies. It is based on the sample autocovariance of increments of spot volatility estimates computed from high-frequency asset return data. By sho...
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作者：Ma, Huijuan; Zhao, Wei; Hanfelt, John; Peng, Limin
作者单位：East China Normal University; Shandong University; Emory University; Rollins School Public Health
摘要：Chronic disease studies often collect data on biological and clinical markers at follow-up visits to monitor disease progression. Viewing such longitudinal measurements governed by latent continuous trajectories, we develop a new dynamic regression framework to investigate the heterogeneity pattern of certain features of the latent individual trajectory that may carry substantive information on disease risk or status. Employing the strategy of multi-level modeling, we formulate the latent indi...
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作者：Jing, Kaili; Khalili, Abbas; Xu, Chen
作者单位：Xi'an Jiaotong University; McGill University; Peng Cheng Laboratory
摘要：Finite mixture of regression models are ubiquitous for analyzing complex data. They aim to detect heterogeneity in the effects of a set of features on a response over a finite number of latent classes. When the number of features is large, a direct fitting of mixture regressions can be computationally infeasible and often leads to a poor interpretative value. One practical strategy is to screen out most irrelevant features before an in-depth analysis. In this article, we propose a novel method...
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作者：Du, Mingyue; Lou, Yichen; Sun, Jianguo
作者单位：Jilin University; Chinese University of Hong Kong; University of Missouri System; University of Missouri Columbia
摘要：Motivated by a breast cancer study, we consider regression analysis of interval-censored failure time data in the presence of a random change point. Although a great deal of literature on interval-censored data has been established, there does not seem to exist an established method that can allow for the existence of random change points. Such data can occur in, for example, clinical trials where the risk of a disease may dramatically change when some biological indexes of the human body exce...
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作者：Chen, Zhe; Cho, Min Haeng; Zhang, Bo
作者单位：University of Pennsylvania; Pennsylvania Medicine; University of Washington; University of Washington Seattle; Fred Hutchinson Cancer Center
摘要：Regionalization of intensive care for premature infants refers to a triage system that directs mothers to hospitals with varying capabilities based on the risks their babies face. Given the limited capacity of highly specialized hospitals, understanding the impact of delivering premature infants at these facilities on infant mortality could facilitate the design of a more efficient perinatal regionalization system. To address this, Baiocchi et al. proposed strengthening a continuous instrument...
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作者：Szabo, Botond; Hadji, Amine; van der Vaart, Aad
作者单位：Bocconi University; Bocconi University; Leiden University - Excl LUMC; Leiden University; Delft University of Technology
摘要：We consider the accuracy of an approximate posterior distribution in nonparametric regression problems by combining posterior distributions computed on subsets of the data defined by the locations of the independent variables. We show that this approximate posterior retains the rate of recovery of the full data posterior distribution, where the rate of recovery adapts to the smoothness of the true regression function. As particular examples we consider Gaussian process priors based on integrat...
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作者：Kang, Bokgyeong; Schliep, Erin M.; Gelfand, Alan E.; Yack, Tina M.; Clark, Christopher W.; Schick, Robert S.
作者单位：Duke University; Dongguk University; North Carolina State University; Duke University; Cornell University
摘要：Sound is assumed to be the primary modality of communication among marine mammal species. Analyzing acoustic recordings helps to understand the function of the acoustic signals as well as the possible impact of anthropogenic noise on acoustic behavior. Motivated by a dataset from a network of hydrophones in Cape Cod Bay, Massachusetts, using automatically detected calls in recordings, we study the communication process of the endangered North Atlantic right whale. For right whales, an upcall i...
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作者：Cheng, Cong; Ke, Yuan; Zhang, Wenyang
作者单位：University System of Georgia; University of Georgia; University of Macau
摘要：The estimation of large precision matrices is crucial in modern multivariate analysis. Traditional sparsity assumptions, while useful, often fall short of accurately capturing the dependencies among features. This article addresses this limitation by focusing on precision matrix estimation for multivariate data characterized by a flexible yet unknown group structure. We introduce a novel approach that begins with the detection of this unknown group structure, clustering features within the low...
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作者：Hu, Jiaqi; Li, Ting; Wang, Xueqin
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; Hong Kong Polytechnic University
摘要：Identifying the global factors among grouped data is crucial in the group factor model. In this article, we propose a novel objective function for the task by maximizing the average of correlations between the latent global factors and group factors, solved through the eigen-decomposition of the aggregated projection matrix. Our method is not only computationally efficient but also robust to strongly correlated local factors. We establish the consistency of the global/local factor number estim...
