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作者：Kato, Kengo
作者单位：University of Tokyo
摘要：This paper aims at developing a quasi-Bayesian analysis of the nonparametric instrumental variables model, with a focus on the asymptotic properties of quasi-posterior distributions. In this paper, instead of assuming a distributional assumption on the data generating process, we consider a quasi-likelihood induced from the conditional moment restriction, and put priors on the function-valued parameter. We call the resulting posterior quasi-posterior, which corresponds to Gibbs posterior in th...
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作者：Xie, Yao; Siegmund, David
作者单位：Duke University; Stanford University
摘要：We develop a mixture procedure to monitor parallel streams of data for a change-point that affects only a subset of them, without assuming a spatial structure relating the data streams to one another. Observations are assumed initially to be independent standard normal random variables After a change-point the observations in a subset of the streams of data have nonzero mean values. The subset and the post-change means are unknown. The procedure we study uses stream specific generalized likeli...
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作者：Chan, Hock Peng; Lai, Tze Leung
作者单位：National University of Singapore; Stanford University
摘要：By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated dependence among the sample paths, the asymptotic variance formula and martingale representations lead to consistent estimates of the standard errors of the particle filter estimates of the hidden states.
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作者：Schennach, Susanne M.
作者单位：Brown University
摘要：This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors. An estimator is proposed and proven to be consistent. Its practical performance and feasibility are investigated via Monte Carlo simulations as well as through an epidemiological application investigating the effect of particulate air pollution on respiratory health. These examples illustrate t...
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作者：Liu, Weidong; Shao, Qi-Man
作者单位：Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：A Cramer moderate deviation theorem for Hotelling's T-2-statistic is proved under a finite (3 + delta)th moment. The result is applied to large scale tests on the equality of mean vectors and is shown that the number of tests can be as large as e(0)(n(1/3)) before the chi-squared distribution calibration becomes inaccurate. As an application of the moderate deviation results, a global test on the equality of m mean vectors based on the maximum of Hotelling's T-2-statistics is developed and its...
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作者：Chatterjee, Sourav; Diaconis, Persi
作者单位：Stanford University
摘要：We introduce a method for the theoretical analysis of exponential random graph models. The method is based on a large-deviations approximation to the normalizing constant shown to be consistent using theory developed by Chatterjee and Varadhan [European J. Combin. 32 (2011) 1000-1017]. The theory explains a host of difficulties encountered by applied workers: many distinct models have essentially the same MLE, rendering the problems practically ill-posed. We give the first rigorous proofs of d...
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作者：Zhao, Junlong; Leng, Chenlei; Li, Lexin; Wang, Hansheng
作者单位：Beihang University; University of Warwick; National University of Singapore; North Carolina State University; Peking University
摘要：Influence diagnosis is important since presence of influential observations could lead to distorted analysis and misleading interpretations. For high-dimensional data, it is particularly so, as the increased dimensionality and complexity may amplify both the chance of an observation being influential, and its potential impact on the analysis. In this article, we propose a novel high-dimensional influence measure for regressions with the number of predictors far exceeding the sample size. Our p...
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作者：Braess, Dietrich; Dette, Holger
作者单位：Ruhr University Bochum
摘要：The problem of constructing optimal discriminating designs for a class of regression models is considered. We investigate a version of the optimality criterion criterion as introduced by Atkinson and Fedorov [Biometrika 62 (1975a) 289-303]. The numerical construction of optimal designs is very hard and challenging, if the number of pairwise comparisons is larger than 2. It is demonstrated that optimal designs with respect to this type of criteria can be obtained by solving (nonlinear) vector-v...
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作者：Draisma, Jan; Kuhnt, Sonja; Zwiernik, Piotr
作者单位：Eindhoven University of Technology; Dortmund University of Technology; University of California System; University of California Berkeley
摘要：Gaussian graphical models have become a well-recognized tool for the analysis of conditional independencies within a set of continuous random variables. From an inferential point of view, it is important to realize that they are composite exponential transformation families. We reveal this structure by explicitly describing, for any undirected graph, the (maximal) matrix group acting on the space of concentration matrices in the model. The continuous part of this group is captured by a poset n...
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作者：Chen, Jiahua; Liu, Yukun
作者单位：University of British Columbia; East China Normal University
摘要：Population quantiles and their functions are important parameters in many applications. For example, the lower quantiles often serve as crucial quality indices for forestry products. Given several independent samples from populations satisfying the density ratio model, we investigate the properties of empirical likelihood (EL) based inferences. The induced EL quantile estimators are shown to admit a Bahadur representation that leads to asymptotically valid confidence intervals for functions of...
