相关论文: Local partial likelihood estimation in proportiona…

A local projection model is defined by a set of linear regressions that account for the associations between exogenous variables and an endogenous variable observed at different time points. While it is standard practice to separately…

Local polynomial regression (Fan and Gijbels 1996) is an important class of methods for nonparametric density estimation and regression problems. However, straightforward implementation of local polynomial regression has quadratic time…

Algorithms in machine learning and AI do critically depend on at least three key components: (i) the risk function, which is the expectation of the loss function, (ii) the function space, which is often called the hypothesis space, and…

This paper is devoted to the multivariate estimation of a vector of Poisson means. A novel loss function that penalises bad estimates of each of the parameters and the sum (or equivalently the mean) of the parameters is introduced. Under…

We propose a new estimator for the high-dimensional linear regression model with observation error in the design where the number of coefficients is potentially larger than the sample size. The main novelty of our procedure is that the…

There are some real life issues that are exists in nature which has early failure. This type of problems can be modelled either by a complex distribution having more than one parameter or by finite mixture of some distribution. In this…

Historically used in settings where the outcome is rare or data collection is expensive, outcome-dependent sampling is relevant to many modern settings where data is readily available for a biased sample of the target population, such as…

We consider the estimation of the value of a linear functional of the slope parameter in functional linear regression, where scalar responses are modeled in dependence of random functions. The theory in this paper covers in particular…

Let $\textbf{X} = (X_1,\ldots, X_p)$ be a stochastic vector having joint density function $f_{\textbf{X}}(x)$ with partitions $\textbf{X}_1 = (X_1,\ldots, X_k)$ and $\textbf{X}_2 = (X_{k+1},\ldots, X_p)$. A new method for estimating the…

The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…

We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture…

In a Cox model, the partial likelihood, as the product of a series of conditional probabilities, is used to estimate the regression coefficients. In practice, those conditional probabilities are approximated by risk score ratios based on a…

This article examines density estimation by combining a parametric approach with a nonparametric factor. The plug-in parametric estimator is seen as a crude estimator of the true density and is adjusted by a nonparametric factor. The…

The first purpose of this article is to obtain a.s. asymptotic properties of the maximum likelihood estimator in the autoregressive process driven by a stationary Gaussian noise. The second purpose is to show the local asymptotic normality…

This paper deals with the proportional hazards model proposed by D. R. Cox in a high-dimensional and sparse setting for a regression parameter. To estimate the regression parameter, the Dantzig selector is applied. The variable selection…

We propose a new method called localized conformal prediction, where we can perform conformal inference using only a local region around a new test sample to construct its confidence interval. Localized conformal inference is a natural…

A novel IV estimation method, that we term Locally Trimmed LS (LTLS), is developed which yields estimators with (mixed) Gaussian limit distributions in situations where the data may be weakly or strongly persistent. In particular, we allow…

A local linear kernel estimator of the regression function x\mapsto g(x):=E[Y_i|X_i=x], x\in R^d, of a stationary (d+1)-dimensional spatial process {(Y_i,X_i),i\in Z^N} observed over a rectangular domain of the form I_n:={i=(i_1,...,i_N)\in…

Random forests are one of the most popular machine learning methods due to their accuracy and variable importance assessment. However, random forests only provide variable importance in a global sense. There is an increasing need for such…

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as…