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作者：Ait-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J. A.; Wang, Christina Dan; Yang, Xiye
作者单位：Princeton University; Princeton University; Vrije Universiteit Amsterdam; University of Amsterdam; Columbia University; Rutgers University System; Rutgers University New Brunswick
摘要：This article examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Ito semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the sit...
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作者：Chan, Kin Wai; Yau, Chun Yip
作者单位：Chinese University of Hong Kong
摘要：The time-average covariance matrix (TACM) Sigma := Sigma(k is an element of Z) Gamma(k), where Gamma(k) is the auto-covariance function, is an important quantity for the inference of the mean of an R-d-valued stationary process (d >= 1). This article proposes two recursive estimators for Sigma with optimal asymptotic mean square error (AMSE) under different strengths of serial dependence. The optimal estimator involves a batch size selection, which requires knowledge of a smoothness parameter ...
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作者：Fonseca, Thais C. O.; Ferreira, Marco A. R.
作者单位：Universidade Federal do Rio de Janeiro; Virginia Polytechnic Institute & State University
摘要：We propose a new class of dynamic multiscale models for Poisson spatiotemporal processes. Specifically, we use a multiscale spatial Poisson factorization to decompose the Poisson process at each time point into spatiotemporal multiscale coefficients. We then connect these spatiotemporal multiscale coefficients through time with a novel Dirichlet evolution. Further, we propose a simulation-based full Bayesian posterior analysis. In particular, we develop filtering equations for updating of info...
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作者：Fuller, Wayne A.; Legg, Jason C.; Li, Yang
作者单位：Iowa State University; Amgen; University of Minnesota System; University of Minnesota Duluth
摘要：Replication procedures have proven useful for variance estimation for large scale complex surveys. As an extension of bootstrap procedures to rejective samples, we define a bootstrap sample that is a rejective, unequal probability, replacement sample selected from the original sample. A modification of the bootstrap with improved performance is suggested for stratified samples with small stratum sizes. Simulations for Poisson and stratified rejective samples support the use of replicates in es...
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作者：Gelman, Andrew; Carlin, John
作者单位：Columbia University; Columbia University; University of Melbourne; Murdoch Children's Research Institute; University of Melbourne
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作者：Yang, Yun; Tokdar, Surya T.
作者单位：Duke University
摘要：In spite of the recent surge of interest in quantile regression, joint estimation of linear quantile planes remains a great challenge in statistics and econometrics. We propose a novel parameterization that characterizes any collection of noncrossing quantile planes over arbitrarily shaped convex predictor domains in any dimension by means of unconstrained scalar, vector and function valued parameters. Statistical models based on this parameterization inherit a fast computation of the likeliho...
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作者：Zhu, Hongtu; Shen, Dan; Peng, Xuewei; Liu, Leo Yufeng
作者单位：University of Texas System; UTMD Anderson Cancer Center; University of North Carolina; University of North Carolina Chapel Hill; State University System of Florida; University of South Florida; State University System of Florida; University of South Florida; Texas A&M University System; Texas A&M University College Station; University of North Carolina; University of North Carolina Chapel Hill
摘要：We propose a multiscale weighted principal component regression (MWPCR) framework for the use of high-dimensional features with strong spatial features (e.g., smoothness and correlation) to predict an outcome variable, such as disease status. This development is motivated by identifying imaging biomarkers that could potentially aid detection, diagnosis, assessment of prognosis, prediction of response to treatment, and monitoring of disease status, among many others. The MWPCR can be regarded a...
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作者：Dahl, David B.; Day, Ryan; Tsai, Jerry W.
作者单位：Brigham Young University; United States Department of Energy (DOE); Lawrence Livermore National Laboratory; University of the Pacific
摘要：We propose a random partition distribution indexed by pairwise similarity information such that Partitions compatible with the similarities are given more probability. The use of pairwise similarities, in the form of distances, is common in some clustering algorithms (e.g., hierarchical clustering), but we show how to use this type of information to define a prior partition distribution for flexible Bayesian modeling. A defining feature of the distribution is that it allocates probability amon...
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作者：Huang, Yijian
作者单位：Emory University; Rollins School Public Health
摘要：Dynamic regression models, including the quantile regression model and Aalen's additive hazards model, are widely adopted to investigate evolving covariate effects. Yet lack of monotonicity respectihg with standard estimation procedures remains an outstanding issue. Advances have recently been made, but none provides a complete resolution. In this article, we propose a novel adaptive interpolation method to restore monotonicity respecting, by successively identifying and then interpolating nea...
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作者：Hagemann, Andreas
作者单位：University of Michigan System; University of Michigan
摘要：In this article I develop a wild bootstrap procedure for cluster-robust inference in linear quantile regression models. I show that the bootstrap leads to asymptotically valid inference on the entire quantile regression process in a setting with a large number of small, heterogeneous clusters and provides consistent estimates of the asymptotic covariance function of that process. The proposed bootstrap procedure is easy to implement and performs well even when the number of clusters is much sm...
