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作者：Francq, Christian; Zakoian, Jean-Michel
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Universite de Lille
摘要：This paper considers the statistical inference of the class of asymmetric power-transformed GARCH(1, 1) models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This allows us to establish the asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameter, including the power but without the intercept, when strict stationarity does not hold. Two important issues can be tested in this f...
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作者：Tsao, Min; Wu, Fan
作者单位：University of Victoria
摘要：We extend the empirical likelihood of Owen [Ann. Statist. 18 (1990) 90-120] by partitioning its domain into the collection of its contours and mapping the contours through a continuous sequence of similarity transformations onto the full parameter space. The resulting extended empirical likelihood is a natural generalization of the original empirical likelihood to the full parameter space; it has the same asymptotic properties and identically shaped contours as the original empirical likelihoo...
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作者：Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N.
作者单位：Iowa State University; Iowa State University; Aarhus University; CREATES; North Carolina State University
摘要：Standard blockwise empirical likelihood (BEL) for stationary, weakly dependent time series requires specifying a fixed block length as a tuning parameter for setting confidence regions. This aspect can be difficult and impacts coverage accuracy. As an alternative, this paper proposes a new version of BEL based on a simple, though nonstandard, data-blocking rule which uses a data block of every possible length. Consequently, the method does not involve the usual block selection issues and is al...
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作者：Janzing, Dominik; Balduzzi, David; Grosse-Wentrup, Moritz; Schoelkopf, Bernhard
作者单位：Max Planck Society; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Many methods for causal inference generate directed acyclic graphs (DAGs) that formalize causal relations between n variables. Given the joint distribution on all these variables, the DAG contains all information about how intervening on one variable changes the distribution of the other n - 1 variables. However, quantifying the causal influence of one variable on another one remains a nontrivial question. Here we propose a set of natural, intuitive postulates that a measure of causal strength...
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作者：Vanderweele, Tyler J.; Shpitser, Ilya
作者单位：Harvard University; Harvard T.H. Chan School of Public Health; Harvard University; Harvard T.H. Chan School of Public Health
摘要：The causal inference literature has provided a clear formal definition of confounding expressed in terms of counterfactual independence. The literature has not, however, come to any consensus on a formal definition of a confounder, as it has given priority to the concept of confounding over that of a confounder. We consider a number of candidate definitions arising from various more informal statements made in the literature. We consider the properties satisfied by each candidate definition, p...
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作者：Cappe, Olivier; Garivier, Aurelien; Maillard, Odalric-Ambrym; Munos, Remi; Stoltz, Gilles
作者单位：Centre National de la Recherche Scientifique (CNRS); IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom Paris; Universite de Toulouse; Universite Toulouse III - Paul Sabatier; University of Leoben; Inria; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris; Centre National de la Recherche Scientifique (CNRS)
摘要：We consider optimal sequential allocation in the context of the so-called stochastic multi-armed bandit model. We describe a generic index policy, in the sense of Gittins [J. R. Stat. Soc. Ser. B Stat. Methodol. 41 (1979) 148-177], based on upper confidence bounds of the arm payoffs computed using the Kullback-Leibler divergence. We consider two classes of distributions for which instances of this general idea are analyzed: the kl-UCB algorithm is designed for one-parameter exponential familie...
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作者：Shalizi, Cosma Rohilla; Rinaldo, Alessandro
作者单位：Carnegie Mellon University
摘要：The growing availability of network data and of scientific interest in distributed systems has led to the rapid development of statistical models of network structure. Typically, however, these are models for the entire network, while the data consists only of a sampled sub-network. Parameters for the whole network, which is what is of interest, are estimated by applying the model to the sub-network. This assumes that the model is consistent under sampling, or, in terms of the theory of stocha...
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作者：Onatski, Alexei; Moreira, Marcelo J.; Hallin, Marc
作者单位：University of Cambridge; Getulio Vargas Foundation; Universite Libre de Bruxelles
摘要：This paper studies the asymptotic power of tests of sphericity against perturbations in a single unknown direction as both the dimensionality of the data and the number of observations go to infinity. We establish the convergence, under the null hypothesis and contiguous alternatives, of the log ratio of the joint densities of the sample covariance eigenvalues to a Gaussian process indexed by the norm of the perturbation. When the perturbation norm is larger than the phase transition threshold...
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作者：Van de Geer, Sara; Buehlmann, Peter
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We consider the problem of regularized maximum likelihood estimation for the structure and parameters of a high-dimensional, sparse directed acyclic graphical (DAG) model with Gaussian distribution, or equivalently, of a Gaussian structural equation model. We show that the to-penalized maximum likelihood estimator of a DAG has about the same number of edges as the minimal-edge I-MAP (a DAG with minimal number of edges representing the distribution), and that it converges in Frobenius norm. We ...
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作者：Saegusa, Takumi; Wellner, Jon A.
作者单位：University of Washington; University of Washington Seattle; University of Washington; University of Washington Seattle
摘要：We develop asymptotic theory for weighted likelihood estimators (WLE) under two-phase stratified sampling without replacement. We also consider several variants of WLEs involving estimated weights and calibration. A set of empirical process tools are developed including a Glivenko-Cantelli theorem, a theorem for rates of convergence of M-estimators, and a Donsker theorem for the inverse probability weighted empirical processes under two-phase sampling and sampling without replacement at the se...
