相关论文: Edgeworth expansions for studentized statistics un…

Researchers regularly perform conditional prediction using imputed values of missing data. However, applications of imputation often lack a firm foundation in statistical theory. This paper originated when we were unable to find analysis…

Limit theorems for non-additive probabilities or non-linear expectations are challenging issues which have raised progressive interest recently. The purpose of this paper is to study the strong law of large numbers and the law of the…

We develop asymptotic approximations that can be applied to sequential estimation and inference problems, adaptive randomized controlled trials, and related settings. In batched adaptive settings where the decision at one stage can affect…

We highlight that match fixed effects, represented by the coefficients of interaction terms involving dummy variables for two elements, lack identification without specific restrictions on parameters. Consequently, the coefficients…

The increasing availability of longitudinal student achievement data has heightened interest among researchers, educators and policy makers in using these data to evaluate educational inputs, as well as for school and possibly teacher…

In this paper we characterize the limiting behavior of sums of extreme values of long range dependent sequences defined as functionals of linear processes with finite variance. The extremal sums behave completely different by compared to…

Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to…

Stepped-wedge designs are increasingly used in randomized experiments to accommodate logistical and ethical constraints by staggering treatment roll-out over time. Despite their popularity, existing analytical methods largely rely on…

Wald-type tests are convenient because they allow one to test a wide array of linear and nonlinear restrictions from a single unrestricted estimator; we focus on the problem of implementing Wald-type tests for nonlinear restrictions. We…

We propose an $\ell_1$-penalized estimator for high-dimensional models of Expected Shortfall (ES). The estimator is obtained as the solution to a least-squares problem for an auxiliary dependent variable, which is defined as a…

In order to improve the teaching of the course of statistical physics in universities, in this article we introduce nonextensive statistics, a new statistical theory about complex systems. We study the two modification coefficients a and b…

A long memory process has self-similarity or scale-invariant properties in low frequencies. We prove that the log of the scale-dependent wavelet variance for a long memory process is asymptotically proportional to scales by using the Taylor…

We determine the asymptotic distribution of the sum of correlated variables described by a matrix product ansatz with finite matrices, considering variables with finite variances. In cases when the correlation length is finite, the law of…

We define extrapolation as any type of statistical inference on a conditional function (e.g., a conditional expectation or conditional quantile) evaluated outside of the support of the conditioning variable. This type of extrapolation…

Accurate power and sample size estimation are crucial to the design and analysis of genetic association studies. When analyzing a binary trait via logistic regression, important covariates such as age and sex are typically included in the…

We study some series expansions for the Lambert $W$ function. We show that known asymptotic series converge in both real and complex domains. We establish the precise domains of convergence and other properties of the series, including…

This paper deals with the asymptotic statistical properties of a class of redescending M-estimators in linear models with increasing dimension. This class is wide enough to include popular high breakdown point estimators such as…

Chatterjee's correlation coefficient has recently been proposed as a new association measure for bivariate random vectors that satisfies a number of desirable properties. Among these properties is the feature that the coefficient equals one…

This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the…

We consider the problem of bounding large deviations for non-i.i.d. random variables that are allowed to have arbitrary dependencies. Previous works typically assumed a specific dependence structure, namely the existence of independent…