相关论文: Bias Correction of Persistence Measures in Fractio…

This paper investigates the use of bootstrap-based bias correction of semi-parametric estimators of the long memory parameter in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to…

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, $d$, in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data…

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used…

This paper examines the use of a residual bootstrap for bias correction in machine learning regression methods. Accounting for bias is an important obstacle in recent efforts to develop statistical inference for machine learning methods. We…

Traditional inference in cointegrating regressions requires tuning parameter choices to estimate a long-run variance parameter. Even in case these choices are "optimal", the tests are severely size distorted. We propose a novel…

Inference methods for computing confidence intervals in parametric settings usually rely on consistent estimators of the parameter of interest. However, it may be computationally and/or analytically burdensome to obtain such estimators in…

Variational inference is a general approach for approximating complex density functions, such as those arising in latent variable models, popular in machine learning. It has been applied to approximate the maximum likelihood estimator and…

Propensity score (PS) methods are widely used to estimate treatment effects in non-randomized studies. Variance is typically estimated using sandwich or bootstrap methods, which can either treat the PS as estimated or fixed. The latter is…

Bootstrapping is often applied to get confidence limits for semiparametric inference of a target parameter in the presence of nuisance parameters. Bootstrapping with replacement can be computationally expensive and problematic when…

Inference for functional linear models in the presence of heteroscedastic errors has received insufficient attention given its practical importance; in fact, even a central limit theorem has not been studied in this case. At issue,…

Fitting sparse models to high-dimensional time series is an important area of statistical inference. In this paper we consider sparse vector autoregressive models and develop appropriate bootstrap methods to infer properties of such…

We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…

We consider the issue of performing accurate small sample inference in beta autoregressive moving average model, which is useful for modeling and forecasting continuous variables that assumes values in the interval $(0,1)$. The inferences…

Model misspecification is ubiquitous in data analysis because the data-generating process is often complex and mathematically intractable. Therefore, assessing estimation uncertainty and conducting statistical inference under a possibly…

Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse model for the analysis of these time series. Nevertheless,…

Accurate statistical inference in logistic regression models remains a critical challenge when the ratio between the number of parameters and sample size is not negligible. This is because approximations based on either classical asymptotic…

To address the difficult problem of multi-step ahead prediction of non-parametric autoregressions, we consider a forward bootstrap approach. Employing a local constant estimator, we can analyze a general type of non-parametric time series…

An inference procedure is proposed to provide consistent estimators of parameters in a modal regression model with a covariate prone to measurement error. A score-based diagnostic tool exploiting parametric bootstrap is developed to assess…

The distribution-free method of conformal prediction (Vovk et al, 2005) has gained considerable attention in computer science, machine learning, and statistics. Candes et al. (2023) extended this method to right-censored survival data,…

Bootstrap techniques (also called resampling computation techniques) have introduced new advances in modeling and model evaluation. Using resampling methods to construct a series of new samples which are based on the original data set,…