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作者：Mei, Yajun
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The purpose of this note is to show that in a widely cited paper by Yakir [Ann. Statist. 25 (1997) 2117-2126], the proof that the so-called modified Shiryayev-Roberts procedure is exactly optimal is incorrect. We also clarify the issues involved by both mathematical arguments and a simulation study. The correctness of the theorem remains in doubt.
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作者：Tsybakov, A. B.
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite; Sorbonne Universite
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作者：Kou, S. C.; Zhou, Qing; Wong, Wing H.
作者单位：Harvard University; Stanford University
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作者：Dahlhaus, Rainer; Rao, Suhasini Subba
作者单位：Ruprecht Karls University Heidelberg
摘要：In this paper the class of ARCH(infinity) models is generalized to the nonstationary class of ARCH(infinity) models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation locally stationary ARCH(infinity) process. The asymptotic properties of weighted quasi-likelihood estimators of time-varying ARCH(p) processes (p < infinity) are studied, including asymptotic normality. In particular, the extra bias due to nonstationarity of the proc...
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作者：Hall, Peter; Mueller, Hans-Georg; Wang, Jane-Ling
作者单位：Australian National University; University of California System; University of California Davis
摘要：The use of principal component methods to analyze functional data is appropriate in a wide range of different settings. In studies of functional data analysis, it has often been assumed that a sample of random functions is observed precisely, in the continuum and without noise. While this has been the traditional setting for functional data analysis, in the context of longitudinal data analysis a random function typically represents a patient, or subject, who is observed at only a small number...
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作者：Zhang, Tong
作者单位：Yahoo! Inc
摘要：We consider an extension of E-entropy to a KL-divergence based complexity measure for randomized density estimation methods. Based on this extension, we develop a general information-theoretical inequality that measures the statistical complexity of some deterministic and randomized density estimators. Consequences of the new inequality will be presented. In particular, we show that this technique can lead to improvements of some classical results concerning the convergence of minimum descript...
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作者：Grama, Ion G.; Neumann, Michael H.
作者单位：Friedrich Schiller University of Jena
摘要：It is proved that nonparametric autoregression is asymptotically equivalent in the sense of Le Cam's deficiency distance to nonparametric regression with random design as well as with regular nonrandom design.
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作者：Goldenshluger, A.; Tsybakov, A.; Zeevi, A.
作者单位：University of Haifa; Columbia University; Sorbonne Universite; Universite Paris Cite
摘要：We study nonparametric change-point estimation from indirect noisy observations. Focusing on the white noise convolution model, we consider two classes of functions that are smooth apart from the change-point. We establish lower bounds on the minimax risk in estimating the change-point and develop rate optimal estimation procedures. The results demonstrate that the best achievable rates of convergence are determined both by smoothness of the function away from the change-point and by the degre...
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作者：Chen, Hegang H.; Cheng, Ching-Shui
作者单位：University System of Maryland; University of Maryland Baltimore; University of California System; University of California Berkeley
摘要：Given a two-level regular fractional factorial design of resolution IV, the method of doubling produces another design of resolution IV which doubles both the run size and the number of factors of the initial design. On the other hand, the projection of a design of resolution IV onto a subset of factors is of resolution IV or higher. Recent work in the literature of projective geometry essentially determines the structures of all regular designs of resolution IV with n >= N/4 + 1 in terms of d...
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作者：Ghosal, Subhashis; Roy, Anindya
作者单位：North Carolina State University; University System of Maryland; University of Maryland Baltimore County
摘要：Consider binary observations whose response probability is an unknown smooth function of a set of covariates. Suppose that a prior on the response probability function is induced by a Gaussian process mapped to the unit interval through a link function. In this paper we study consistency of the resulting posterior distribution. If the covariance kernel has derivatives up to a desired order and the bandwidth parameter of the kernel is allowed to take arbitrarily small values, we show that the p...
