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作者：Steinwart, Ingo; Anghel, Marian
作者单位：United States Department of Energy (DOE); Los Alamos National Laboratory
摘要：We consider the problem of forecasting the next (observable) state of an unknown ergodic dynamical system from a noisy observation of the present state. Our main result shows, for example, that Support vector machines (SVMs) using Gaussian RBF kernels can learn the best forecaster from a sequence of noisy observations if (a) the unknown observational noise process is bounded and has a summable alpha-mixing rate and (b) the unknown ergodic dynamical system is defined by a Lipschitz continuous f...
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作者：Nordman, Daniel J.
作者单位：Iowa State University
摘要：Because the stationary bootstrap resamples data blocks of random length, this method has been thought to have the largest asymptotic variance among block bootstraps Lahiri [Ann. Statist. 27 (1999) 386-404]. It is shown here that the variance of the stationary bootstrap surprisingly matches that of a block bootstrap based on nonrandom, nonoverlapping blocks. This argument translates the variance expansion into the frequency domain and provides a unified way of determining variances for other bl...
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作者：Robert, Christian Y.
作者单位：heSam Universite; Conservatoire National Arts & Metiers (CNAM)
摘要：Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The underlying Poisson points represent the cluster positions and the multiplicities correspond to the cluster sizes. In the present paper we introduce estimators of the limiting Cluster size probabilities, which are constructed through a recursive algorithm. We derive...
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作者：Aue, Alexander; Hormann, Siegfried; Horvath, Lajos; Reimherr, Matthew
作者单位：University of California System; University of California Davis; Utah System of Higher Education; University of Utah; University of Chicago
摘要：In this paper, we introduce an asymptotic test procedure to assess the stability of volatilities and cross-volatilites of linear and nonlinear multivariate time series models, The test is very flexible as it can be applied, for example, to many of the multivariate GARCH models established in the literature, and also works well in the case of high dimensionality of the underlying data. Since it is nonparametric, the procedure avoids the difficulties associated with parametric model selection, m...
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作者：Song, Kyungchul
作者单位：University of Pennsylvania
摘要：This paper proposes new tests of conditional independence of two random variables given a single-index involving an unknown finite-dimensional parameter. The tests employ Rosenblatt transforms and are shown to be distribution-free while retaining computational convenience. Some results from Monte Carlo simulations are presented and discussed.
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作者：Zhang, Wenyang; Fan, Jianqing; Sun, Yan
作者单位：University of Bath; Princeton University; Shanghai University of Finance & Economics
摘要：In the analysis of cluster data, the regression coefficients are frequently assumed to be the same across all clusters. This hampers the ability to Study the varying impacts of factors on each cluster. In this paper, a semiparametric model is introduced to account for varying impacts of factors over clusters by using cluster-level covariates. It achieves the parsimony of parametrization and allows the explorations of nonlinear interactions. The random effect ill the semiparametric model also a...
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作者：Olszewski, Wojciech; Sandroni, Alvaro
作者单位：Northwestern University; University of Pennsylvania; Northwestern University
摘要：A test is said to control for type I error if it is unlikely to reject the data-generating process. However, if it is possible to produce stochastic processes at random such that, for all possible future realizations of the data, the selected process is unlikely to be rejected, then the test is said to be manipulable. So, a manipulable test has essentially no capacity to reject a strategic expert. Many tests proposed in the existing literature, including calibration tests, control for type I e...
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作者：Pensky, Marianna; Sapatinas, Theofanis
作者单位：State University System of Florida; University of Central Florida; University of Cyprus
摘要：We extend deconvolution in a periodic setting to deal with functional data. The resulting functional deconvolution model can be viewed as a generalization of a multitude of inverse problems in mathematical physics where one needs to recover initial or boundary conditions on the basis of observations from a noisy solution of a partial differential equation. In the case when it is observed at a finite number of distinct points, the proposed functional deconvolution model can also be viewed as a ...
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作者：Malliavin, Paul; Mancino, Maria Elvira
作者单位：University of Florence
摘要：We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous serni-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by establishing a connection between the Fourier transform of the prices process and the Fourier transform of the co-volatility process. A nonparametric estimator is derived given a discrete unevenly spaced and asynchronously sampled observations of the asset price...
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作者：Arias-Castro, Ery; Donoho, David L.
作者单位：University of California System; University of California San Diego; Stanford University
摘要：Image processing researchers commonly assert that median filtering is better than linear filtering for removing noise in the presence of edges. Using a straightforward large-n decision-theory framework, this folk-theorem is seen to be false in general. We show that median filtering and linear filtering have similar asymptotic worst-case mean-squared error (MSE) when the signal-to-noise ratio (SNR) is of order 1, which corresponds to the case of constant per-pixel noise level in a digital signa...
