统计理论
We consider the problem of estimating the number of false null hypotheses among a very large number of independently tested hypotheses, focusing on the situation in which the proportion of false null hypotheses is very small. We propose a…
Let $f$ be a multivariate density and $f\_n$ be a kernel estimate of $f$ drawn from the $n$-sample $X\_1,...,X\_n$ of i.i.d. random variables with density $f$. We compute the asymptotic rate of convergence towards 0 of the volume of the…
Some drawbacks of the formalism of Bayes Theorem can be avoided by the rMPE-Method, a modification of the cMPE-Method that permits (i): Adding probabilities in spite of non-linearity. (ii): Taking into account extensional evidence and…
Nonparametric methods for the estimation of the Levy density of a Levy process are developed. Estimators that can be written in terms of the ``jumps'' of the process are introduced, and so are discrete-data based approximations. A model…
Unbiased risk estimation, \`a la Stein, is studied for infinitely divisible laws with finite second moment.
Empirical processes for stationary, causal sequences are considered. We establish empirical central limit theorems for classes of indicators of left half lines, absolutely continuous functions and piecewise differentiable functions. Sample…
In the Bradley-Terry model for paired comparisons, and its extensions to include order effects and ties, the maximum likelihood estimates of probabilities of certain outcomes can be 0 or 1 under certain data configurations. This poses…
When do nonparametric Bayesian procedures ``overfit''? To shed light on this question, we consider a binary regression problem in detail and establish frequentist consistency for a certain class of Bayes procedures based on hierarchical…
The research work outlined in the present note highlights the essential role played by the simulation procedures implemented by us on CINECA supercomputers to complement the mathematical investigations carried within our group over the past…
Given i.i.d. data from an unknown distribution, we consider the problem of predicting future items. An adaptive way to estimate the probability density is to recursively subdivide the domain to an appropriate data-dependent granularity. A…
The reconstruction of the parameter of the model by the measurement of the random variable depending on this parameter is one of the main tasks of statistics. In the paper the notion of the statistically dual distributions is introduced.…
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed…
In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Whereas the failure rate can be expressed quite simply in terms of the mean residual life and its derivative, the…
In survival or reliability studies, the mean residual life or life expectancy is an important characteristic of the model. Here, we study the limiting behaviour of the mean residual life, and derive an asymptotic expansion which can be used…
A new matching method is proposed for the estimation of the average treatment effect of social policy interventions (e.g., training programs or health care measures). Given an outcome variable, a treatment and a set of pre-treatment…
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation…
This paper proposes a hierarchical method for estimating the location parameters of a multivariate vector in the presence of missing data. At i th step of this procedure an estimate of the location parameters for non-missing components of…
We develop an empirical procedure to qunatify future company performance based on top management promises. We find that the number of future tense sentence occurrences in 10-K reports is significantly negatively correlated with the return…
Citation distributions for 1992, 1994, 1996, 1997, 1999, and 2001, which were published in the 2004 report of the National Science Foundation, USA, are analyzed. It is shown that the ratio of the total number of citations of any two broad…
Without assuming any pdf for some measured parameter, we derive a predictive pdf for the outcome of a second measurement, given the outcome of the first measurement and two common assumptions about the noise. These are that (1) it is…