The Annals of Statistics

最新文章

• Mixing strategies for density estimation AI翻译
  作者：Yang, Y
  作者单位：Iowa State University
  摘要：General results on adaptive density estimation are obtained with respect to any countable collection of estimation strategies under Rullback-Leibler and squared L-2 losses. It is shown that without knowing which strategy works best for the underlying density, a single strategy can be constructed by mixing the proposed ones to be adaptive in terms of statistical risks. A consequence is that under some mild conditions, an asymptotically minimax-rate adaptive estimator exists for a given countabl...
• Additive logistic regression: A statistical view of boosting - Discussion AI翻译
  作者：Ridgeway, G
  作者单位：University of Washington; University of Washington Seattle
• Some new results for Dirichlet priors AI翻译
  作者：Cifarelli, DM; Melilli, E
  作者单位：Bocconi University
  摘要：Let p be a random probability measure chosen by a Dirichlet process whose parameter a: is a finite measure with support contained in [0, +infinity) and suppose that V = integral x(2)p(dx) - [integral xp(dx)](2) is a (finite) random variable. This paper deals with the distribution of V, which is given in a rather general case. A simple application to Bayesian bootstrap is also illustrated.
• Invariant normal models with recursive graphical Markov structure AI翻译
  作者：Madsen, J
  作者单位：University of Copenhagen
  摘要：An extension of the class of GS-LCI normal models introduced by Andersson and Madsen is defined and studied. The models are defined in terms of symmetry restrictions given by a finite group and conditional independence restrictions given by an acyclic directed graph. Maximum likelihood estimation of the parameters in the models is discussed.
• Large sample theory of maximum likelihood estimates in semiparametric biased sampling models AI翻译
  作者：Gilbert, PB
  作者单位：Harvard University; Harvard T.H. Chan School of Public Health
  摘要：Vardi [Ann. Statist. 13 178-203 (1985)] introduced an s-sample biased sampling model with known selection weight functions, gave a condition under which the common underlying probability distribution G is uniquely estimable and developed simple procedure for computing the nonparametric maximum likelihood estimator (NPMLE) G(n) of G. Gill, Vardi and Wellner thoroughly described the large sample properties of Vardi's NPMLE, giving results on uniform consistency, convergence of root n (G(n) - G) ...
• Antithetic coupling of two Gibbs sampler chains AI翻译
  作者：Frigessi, A; Gåsemyr, J; Rue, H
  作者单位：University of Oslo; Norwegian University of Science & Technology (NTNU)
  摘要：Two coupled Gibbs sampler chains, both with invariant probability density pi, are run in parallel so that the chains are negatively correlated. We define an asymptotically unbiased estimator of the pi -expectation E( f(X)) which achieves significant variance reduction with respect to the usual Gibbs sampler at comparable computational cost. The variance of the estimator based on the new algorithm is always smaller than the variance of a single Gibbs sampler chain, if pi is attractive and f is ...
• Sequential testing problems for Poisson processes AI翻译
  作者：Peskir, G; Shiryaev, AN
  作者单位：Aarhus University; University of Zagreb; Russian Academy of Sciences; Steklov Mathematical Institute of the Russian Academy of Sciences
  摘要：We present the explicit solution of the Bayesian problem of sequential testing of two simple hypotheses about the intensity of an observed Poisson process. The method of proof consists of reducing the initial problem to a free-boundary differential-difference Stephan problem and solving the latter by use of the principles of smooth and continuous fit. A rigorous proof of the optimality of the Wald's sequential probability ratio test in the variational formulation of the problem is obtained as ...
• Strong consistency in nonlinear stochastic regression models AI翻译
  作者：Skouras, K
  作者单位：University of London; University College London
  摘要：The class of nonlinear stochastic regression models includes most of the linear and nonlinear models used in time series, stochastic control and stochastic approximation schemes. The consistency of least squares estimators was established first by Lai. We present another set of sufficient conditions for consistency, which avoid the use of partial derivatives and are closer in spirit to the conditions presented by Wu for non-stochastic regression models with independent errors.
• Convergence rates of posterior distributions AI翻译
  作者：Ghosal, S; Ghosh, JK; Van der Vaart, AW
  作者单位：Vrije Universiteit Amsterdam; Indian Statistical Institute; Indian Statistical Institute Kolkata
  摘要：We consider the asymptotic behavior of posterior distributions and Bayes estimators for infinite-dimensional statistical models. We give general results on the rate of convergence of the posterior measure. These are applied to several examples, including priors on finite sieves, log-spline models, Dirichlet processes and interval censoring.
• Bayesian prediction with approximate frequentist validity AI翻译
  作者：Datta, GS; Mukerjee, R; Ghosh, M; Sweeting, TJ
  作者单位：University System of Georgia; University of Georgia; State University System of Florida; University of Florida; Indian Institute of Management (IIM System); Indian Institute of Management Calcutta; University of Surrey
  摘要：We characterize priors which asymptotically match the posterior coverage probability of a Bayesian prediction region with the corresponding frequentist coverage probability. This is done considering both posterior quantiles and highest predictive density regions with reference to a future observation. The resulting priors are shown to be invariant under reparameterization. The role of Jeffreys' prior in this regard is also investigated. It is further shown that, for any given prior, it may be ...