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作者：Masuda, Hiroki
作者单位：Kyushu University
摘要：This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a Levy driven stochastic differential equation whose coefficients are known except for the finite-dimensional parameters to be estimated, where the diffusion coefficient may be degenerate or even null. We suppose that the process is discretely observed under the rapidly increasing experimental design with step size h(n). By means of t...
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作者：Rinaldo, Alessandro; Petrovic, Sonja; Fienberg, Stephen E.
作者单位：Carnegie Mellon University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Carnegie Mellon University
摘要：We study maximum likelihood estimation for the statistical model for undirected random graphs, known as the beta-model, in which the degree sequences are minimal sufficient statistics. We derive necessary and sufficient conditions, based on the polytope of degree sequences, for the existence of the maximum likelihood estimator (MLE) of the model parameters. We characterize in a combinatorial fashion sample points leading to a nonexistent MLE, and nonestimability of the probability parameters u...
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作者：Gandy, Axel; Rubin-Delanchy, Patrick
作者单位：Imperial College London; University of Bristol
摘要：This article presents an algorithm that generates a conservative confidence interval of a specified length and coverage probability for the power of a Monte Carlo test (such as a bootstrap or permutation test). It is the first method that achieves this aim for almost any Monte Carlo test. Previous research has focused on obtaining as accurate a result as possible for a fixed computational effort, without providing a guaranteed precision in the above sense. The algorithm we propose does not hav...
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作者：Gao, Fuqing
作者单位：Wuhan University
摘要：In this paper, we consider moderate deviations for Good's coverage estimator. The moderate deviation principle and the self-normalized moderate deviation principle for Good's coverage estimator are established. The results are also applied to the hypothesis testing problem and the confidence interval for the coverage.
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作者：Taraldsen, Gunnar; Lindqvist, Bo Henry
作者单位：SINTEF; Norwegian University of Science & Technology (NTNU)
摘要：It is shown that the fiducial distribution in a group model, or more generally a quasigroup model, determines the optimal equivariant frequentist inference procedures. The proof does not rely on existence of invariant measures, and generalizes results corresponding to the choice of the right Haar measure as a Bayesian prior. Classical and more recent examples show that fiducial arguments can be used to give good candidates for exact or approximate confidence distributions. It is here suggested...
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作者：Carroll, Raymond J.; Delaigle, Aurore; Hall, Peter
作者单位：Texas A&M University System; Texas A&M University College Station; University of Melbourne
摘要：The data functions that are studied in the course of functional data analysis are assembled from discrete data, and the level of smoothing that is used is generally that which is appropriate for accurate approximation of the conceptually smooth functions that were not actually observed. Existing literature shows that this approach is effective, and even optimal, when using functional data methods for prediction or hypothesis testing. However, in the present paper we show that this approach is ...
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作者：Liu, Weidong
作者单位：Shanghai Jiao Tong University; Shanghai Jiao Tong University
摘要：This paper studies the estimation of a high-dimensional Gaussian graphical model (GGM). Typically, the existing methods depend on regularization techniques. As a result, it is necessary to choose the regularized parameter. However, the precise relationship between the regularized parameter and the number of false edges in GGM estimation is unclear. In this paper we propose an alternative method by a multiple testing procedure. Based on our new test statistics for conditional dependence, we pro...
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作者：Naghshvar, Mohammad; Javidi, Tara
作者单位：Qualcomm; University of California System; University of California San Diego
摘要：Consider a decision maker who is responsible to dynamically collect observations so as to enhance his information about an underlying phenomena of interest in a speedy manner while accounting for the penalty of wrong declaration. Due to the sequential nature of the problem, the decision maker relies on his current information state to adaptively select the most informative sensing action among the available ones. In this paper, using results in dynamic programming, lower bounds for the optimal...
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作者：Wang, Yazhen
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Matrix completion and quantum tomography are two unrelated research areas with great current interest in many modern scientific studies. This paper investigates the statistical relationship between trace regression in matrix completion and quantum state tomography in quantum physics and quantum information science. As quantum state tomography and trace regression share the common goal of recovering an unknown matrix, it is nature to put them in the Le Cam paradigm for statistical comparison. R...
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作者：Li, Jia; Todorov, Viktor; Tauchen, George
作者单位：Duke University; Northwestern University
摘要：We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Ito semimartingale on a fixed interval when the mesh of the observation grid shrinks to zero asymptotically. In a first step we estimate the volatility locally over blocks of shrinking length, and then in a second step we use these estimates to construct a sample analogue of the volatility occupation time and a kernel-based estim...
