-
作者：Fan, Yingying; Li, Runze
作者单位：University of Southern California; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：This paper is concerned with the selection and estimation of fixed and random effects in linear mixed effects models. We propose a class of nonconcave penalized profile likelihood methods for selecting and estimating important fixed effects. To overcome the difficulty of unknown covariance matrix of random effects, we propose to use a proxy matrix in the penalized profile likelihood. We establish conditions on the choice of the proxy matrix and show that the proposed procedure enjoys the model...
-
作者：Ait-Sahalia, Yacine; Jacod, Jean
作者单位：Princeton University; National Bureau of Economic Research; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite
摘要：This paper studies the identification of the Levy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show that the leading index can always be identified, but that higher order indices are only identifiable if they are sufficiently close to the previous one, even if the path is fully observed. This result establishes a clear boundary on which aspects of the jump measure can be identified on the basis of discrete observation...
-
作者：Dai, Dong; Rigollet, Philippe; Zhang, Tong
作者单位：Rutgers University System; Rutgers University New Brunswick; Princeton University
摘要：Given a finite family of functions, the goal of model selection aggregation is to construct a procedure that mimics the function from this family that is the closest to an unknown regression function. More precisely, we consider a general regression model with fixed design and measure the distance between functions by the mean squared error at the design points. While procedures based on exponential weights are known to solve the problem of model selection aggregation in expectation, they are,...
-
作者：Ehrlinger, John; Ishwaran, Hemant
作者单位：Cleveland Clinic Foundation; University of Miami
摘要：We consider L(2)Boosting, a special case of Friedman's generic boosting algorithm applied to linear regression under L-2-loss. We study L(2)Boosting for an arbitrary regularization parameter and derive an exact closed form expression for the number of steps taken along a fixed coordinate direction. This relationship is used to describe L(2)Boosting's solution path, to describe new tools for studying its path, and to characterize some of the algorithm's unique properties, including active set c...
-
作者：Lecue, Guillaume; Mendelson, Shahar
作者单位：Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite Gustave-Eiffel; Centre National de la Recherche Scientifique (CNRS); Technion Israel Institute of Technology
摘要：We show that empirical risk minimization procedures and regularized empirical risk minimization procedures satisfy nonexact oracle inequalities in an unbounded framework, under the assumption that the class has a subexponential envelope function. The main novelty, in addition to the boundedness assumption free setup, is that those inequalities can yield fast rates even in situations in which exact oracle inequalities only hold with slower rates. We apply these results to show that procedures b...
-
作者：Wang, Qiying; Phillips, Peter C. B.
作者单位：University of Sydney; Yale University
摘要：We provide a limit theory for a general class of kernel smoothed U-statistics that may be used for specification testing in time series regression with nonstationary data. The test framework allows for linear and nonlinear models with endogenous regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test depends on the self-intersection local time of a Gaussian process. A new weak convergence result is developed for certain partial sums of fun...
-
作者：Comminges, Laetitia; Dalalyan, Arnak S.
作者单位：Universite Gustave-Eiffel; Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Institut Polytechnique de Paris; ENSAE Paris
摘要：We address the issue of variable selection in the regression model with very high ambient dimension, that is, when the number of variables is very large. The main focus is on the situation where the number of relevant variables, called intrinsic dimension, is much smaller than the ambient dimension d. Without assuming any parametric form of the underlying regression function, we get tight conditions making it possible to consistently estimate the set of relevant variables. These conditions rel...
-
作者：VanderWeele, Tyler J.; Richardson, Thomas S.
作者单位：Harvard University; Harvard T.H. Chan School of Public Health; University of Washington; University of Washington Seattle
摘要：The sufficient-component cause framework assumes the existence of sets of sufficient causes that bring about an event. For a binary outcome and an arbitrary number of binary causes any set of potential outcomes can be replicated by positing a set of sufficient causes; typically this representation is not unique. A sufficient cause interaction is said to be present if within all representations there exists a sufficient cause in which two or more particular causes are all present. A singular in...
-
作者：Jing, Bing-Yi; Kong, Xin-Bing; Liu, Zhi
作者单位：Hong Kong University of Science & Technology; Fudan University; Xiamen University
摘要：It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the high-frequency financial data to support using pure jump models alone? The purpose of this paper is to develop such a statistical test against the necessity of a diffusion component. The test is very simple to use and yet effective. Asymptotic properties of the pro...
-
作者：Dawid, Philip; Lauritzen, Steffen; Parry, Matthew
作者单位：University of Cambridge; University of Oxford; University of Otago
摘要：A scoring rule is a loss function measuring the quality of a quoted probability distribution Q for a random variable X, in the light of the realized outcome x of X; it is proper if the expected score, under any distribution P for X, is minimized by quoting Q = P. Using the fact that any differentiable proper scoring rule on a finite sample space X is the gradient of a concave homogeneous function, we consider when such a rule can be local in the sense of depending only on the probabilities quo...
