相关论文: The Performance of the Turek-Fletcher Model Averag…
Frequentist model averaging has been proposed as a method for incorporating "model uncertainty" into confidence interval construction. Such proposals have been of particular interest in the environmental and ecological statistics…
We evaluate the model averaged profile likelihood confidence intervals proposed by Fletcher and Turek (2011) in a simple situation in which there are two linear regression models over which we average. We obtain exact expressions for the…
Bootstrap smoothed (bagged) estimators have been proposed as an improvement on estimators found after preliminary data-based model selection. Efron, 2014, derived a widely applicable formula for a delta method approximation to the standard…
Bootstrap smoothed (bagged) parameter estimators have been proposed as an improvement on estimators found after preliminary data-based model selection. The key result of Efron (2014) is a very convenient and widely applicable formula for a…
We consider a linear regression model with regression parameter beta =(beta_1, ..., beta_p) and independent and identically N(0, sigma^2)distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…
We consider a linear regression model with regression parameter beta=(beta_1,...,beta_p) and independent and identically N(0,sigma^2) distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…
Recently, Kabaila and Wijethunga assessed the performance of a confidence interval centred on a bootstrap smoothed estimator, with width proportional to an estimator of Efron's delta method approximation to the standard deviation of this…
There is growing interest in developing statistical estimators that achieve exponential concentration around a population target even when the data distribution has heavier than exponential tails. More recent activity has focused on…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
We study the problem of constructing honest and adaptive confidence intervals for the tail coefficient in the second order Pareto model, when the second order coefficient is unknown. This problem is translated into a testing problem on the…
Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based risk measure, is widely used for assessing tail risk and is…
Consider a linear regression model with regression parameter beta and normally distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified vector. Define the parameter tau = c^T beta - t where c and…
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but…
This paper presents two results concerning uniform confidence intervals for the tail index and the extreme quantile. First, we show that it is impossible to construct a length-optimal confidence interval satisfying the correct uniform…
Consider a linear regression model with n-dimensional response vector, regression parameter \beta = (\beta_1, ..., \beta_p) and independent and identically N(0, \sigma^2) distributed errors. Suppose that the parameter of interest is \theta…
The ideas of model averaging are used to find weights in peak-over-threshold problems using a possible range of thresholds. A range of the largest observations are chosen and considered as possible thresholds, each time performing…
Test-Time Adaptation (TTA) has emerged as a promising paradigm for enhancing the generalizability of models. However, existing mainstream TTA methods, predominantly operating at batch level, often exhibit suboptimal performance in complex…
Traditional mediation models in both the frequentist and Bayesian frameworks typically assume normality of the error terms. Violations of this assumption can impair the estimation and hypothesis testing of the mediation effect in…
Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…
Threshold autoregressive moving-average (TARMA) models are popular in time series analysis due to their ability to parsimoniously describe several complex dynamical features. However, neither theory nor estimation methods are currently…