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作者：Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Yue, Yuan
作者单位：University of Tsukuba; University of Osaka; University of Amsterdam; Tilburg University; Eindhoven University of Technology; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We analyze the impact of short-run (90 days) and long-run (30 years) earthquake risk on real estate transaction prices in five Japanese cities (Tokyo, Osaka, Nagoya, Fukuoka, and Sapporo), using quarterly data over the period 2006-2015. We exploit a rich panel dataset (331,343 observations) with property characteristics, ward attractiveness information, macroeconomic variables, and long-run seismic hazard data, supplemented with short-run earthquake probabilities generated from a seismic excit...
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作者：Liu, Zhonghua; Shen, Jincheng; Barfield, Richard; Schwartz, Joel; Baccarelli, Andrea A.; Lin, Xihong
作者单位：University of Hong Kong; Utah System of Higher Education; University of Utah; Duke University; Harvard University; Harvard T.H. Chan School of Public Health; Columbia University; Harvard University; Harvard T.H. Chan School of Public Health; Harvard University
摘要：In genome-wide epigenetic studies, it is of great scientific interest to assess whether the effect of an exposure on a clinical outcome is mediated through DNA methylations. However, statistical inference for causal mediation effects is challenged by the fact that one needs to test a large number of composite null hypotheses across the whole epigenome. Two popular tests, the Wald-type Sobel's test and the joint significant test using the traditional null distribution are underpowered and thus ...
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作者：Chen, Rong; Yang, Dan; Zhang, Cun-Hui
作者单位：Rutgers University System; Rutgers University New Brunswick; University of Hong Kong
摘要：Large tensor (multi-dimensional array) data routinely appear nowadays in a wide range of applications, due to modern data collection capabilities. Often such observations are taken over time, forming tensor time series. In this article we present a factor model approach to the analysis of high-dimensional dynamic tensor time series and multi-category dynamic transport networks. This article presents two estimation procedures along with their theoretical properties and simulation results. We pr...
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作者：Guerrier, Stephane; Molinari, Roberto; Victoria-Feser, Maria-Pia; Xu, Haotian
作者单位：University of Geneva; Auburn University System; Auburn University
摘要：Latent time series models such as (the independent sum of) ARMA(p, q) models with additional stochastic processes are increasingly used for data analysis in biology, ecology, engineering, and economics. Inference on and/or prediction from these models can be highly challenging: (i) the data may contain outliers that can adversely affect the estimation procedure; (ii) the computational complexity can become prohibitive when the time series are extremely large; (iii) model selection adds another...
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作者：Matuk, James; Bharath, Karthik; Chkrebtii, Oksana; Kurtek, Sebastian
作者单位：University System of Ohio; Ohio State University; University of Nottingham
摘要：In many applications, smooth processes generate data that are recorded under a variety of observational regimes, including dense sampling and sparse or fragmented observations that are often contaminated with error. The statistical goal of registering and estimating the individual underlying functions from discrete observations has thus far been mainly approached sequentially without formal uncertainty propagation, or in an application-specific manner by pooling information across subjects. We...
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作者：Gao, Zhaoxing; Tsay, Ruey S.
作者单位：Lehigh University; University of Chicago
摘要：This article proposes a new approach to modeling high-dimensional time series by treating a p-dimensional time series as a nonsingular linear transformation of certain common factors and idiosyncratic components. Unlike the approximate factor models, we assume that the factors capture all the nontrivial dynamics of the data, but the cross-sectional dependence may be explained by both the factors and the idiosyncratic components. Under the proposed model, (a) the factor process is dynamically d...
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作者：Jordanger, Lars Arne; Tjostheim, Dag
作者单位：Western Norway University of Applied Sciences; University of Bergen
摘要：The spectral distribution f(omega) of a stationary time series {Y-t}(t is an element of Z) can be used to investigate whether or not periodic structures are present in {Y-t}(t is an element of Z), but f(omega) has some limitations due to its dependence on the autocovariances gamma(h). For example, f(omega) can not distinguish white iid noise from GARCH-type models (whose terms are dependent, but uncorrelated), which implies that f(omega) can be an inadequate tool when {Y-t}(t is an element of ...
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作者：Gabriel, Erin E.; Sachs, Michael C.; Sjolander, Arvid
作者单位：Karolinska Institutet
摘要：Outcome-dependent sampling designs are common in many different scientific fields including epidemiology, ecology, and economics. As with all observational studies, such designs often suffer from unmeasured confounding, which generally precludes the nonparametric identification of causal effects. Nonparametric bounds can provide a way to narrow the range of possible values for a nonidentifiable causal effect without making additional untestable assumptions. The nonparametric bounds literature ...
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作者：Feng, Derek; Altmeyer, Randolf; Stafford, Derek; Christakis, Nicholas A.; Zhou, Harrison H.
作者单位：Yale University; University of Cambridge; Yale University
摘要：Friendship and antipathy exist in concert with one another in real social networks. Despite the role they play in social interactions, antagonistic ties are poorly understood and infrequently measured. One important theory of negative ties that has received relatively little empirical evaluation is balance theory, the codification of the adage the enemy of my enemy is my friend and similar sayings. Unbalanced triangles are those with an odd number of negative ties, and the theory posits that s...
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作者：Imbens, Guido
作者单位：Stanford University; Stanford University; National Bureau of Economic Research
