The Annals of Statistics

最新文章

• Separation and completeness properties for AMP chain graph Markov models (vol 29, pg 1751, 2001) AI翻译
  作者：Levitz, M; Perlman, MD; Madigan, D
• Slice sampling - Discussion AI翻译
  作者：Chen, MH; Schmeiser, BW
  作者单位：University of Connecticut; Purdue University System; Purdue University
• Model selection in nonparametric regression AI翻译
  作者：Wegkamp, M
  作者单位：Yale University
  摘要：Model selection using a penalized data-splitting device is studied in the context of nonparametric regression. Finite sample bounds under mild conditions are obtained. The resulting estimates are adaptive for large classes of functions.
• Financial options and statistical prediction intervals AI翻译
  作者：Mykland, PA
  作者单位：University of Chicago
  摘要：The paper shows how to convert statistical prediction sets into worst case hedging strategies for derivative securities. The prediction sets can, in particular, be ones for volatilities and correlations of the underlying securities, and for interest rates. This permits a transfer of statistical conclusions into prices for options and similar financial instruments. A prime feature of our results is that one can construct the trading strategy as if the prediction set had a 100% probability. If, ...
• Edgeworth expansions for semiparametric Whittle estimation of long memory AI翻译
  作者：Giraitis, L; Robinson, PM
  作者单位：University of London; London School Economics & Political Science
  摘要：The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate and the original untapered one. For the tapered estimate, our higher-order correction involves two terms, one of...
• Maximal meaningful events and applications to image analysis AI翻译
  作者：Desolneux, A; Moisan, L; Morel, JM
  作者单位：Universite Paris Saclay
  摘要：We discuss the mathematical properties of a recently introduced method for computing geometric structures in a digital image without any a priori information. This method is based on a basic principle of perception which we call the Helmholtz principle. According to this principle, an observed geometric structure is perceptually meaningful if the expectation of its number of occurrences (in other words, its number of false alarms, NF) is very small in a random image. It is maximal meaningful i...
• Testing conditional moment restrictions AI翻译
  作者：Tripathi, G; Kitamura, Y
  作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania
  摘要：Let (x,z) be a pair of observable random vectors. We construct a new smoothed empirical likelihood-based test for the hypothesis E{g(z, theta) \x} = 0 w.p. 1, where g is a vector of known functions and theta an unknown finite-dimensional parameter. We show that the test statistic is asymptotically normal under the null hypothesis and derive its asymptotic distribution under a sequence of local alternatives. Furthermore, the test is shown to possess an optimality property in large samples. Simu...
• Dimension reduction for the conditional mean in regressions with categorical predictors AI翻译
  作者：Li, B; Cook, RD; Chiaromonte, F
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Minnesota System; University of Minnesota Twin Cities
  摘要：Consider the regression of a response Y on a vector of quantitative predictors X and a categorical predictor W. In this article we describe a first method for reducing the dimension of X without loss of information on the conditional mean E(Y\X, W) and without requiring a prespecified parametric model. The method, which allows for, but does not require, parametric versions of the subpopulation mean functions E(Y\X, W = w), includes a procedure for inference about the dimension of X after reduc...
• Compound decision theory and empirical Bayes methods AI翻译
  作者：Zhang, CH
  作者单位：Rutgers University System; Rutgers University New Brunswick
• The complex Wishart distribution and the symmetric group AI翻译
  作者：Graczyk, P; Letac, G; Massam, H
  作者单位：Universite d'Angers; Universite de Toulouse; Universite Toulouse III - Paul Sabatier; York University - Canada
  摘要：Let V be the space of (r, r) Hermitian matrices and let Omega be the cone of the positive definite ones. We say that the random variable S, taking its values in (Ω) over bar, has the complex Wishart distribution gamma(p,sigma) if E(exp trace(thetaS)) = (det(I-r - sigmatheta))(-p), where sigma and sigma(-1) - theta are in Omega, and where p = 1, 2,..., r - 1 or p > r - 1. In this paper, we compute all moments of S and S-1. The techniques involve in particular the use of the irreducible charact...