相关论文: An Improvement on the Hotelling $T^2$ Test Using t…

Estimation of covariance matrices or their inverses plays a central role in many statistical methods. For these methods to work reliably, estimated matrices must not only be invertible but also well-conditioned. In this paper we present an…

This paper presents a unified framework, for the detection, classification, and preliminary localization of anomalies in water distribution networks using multivariate statistical analysis. The approach, termed SICAMS (Statistical…

This paper studies the covariance matrix estimation for high-dimensional time series within a new framework that combines low-rank factor and latent variable-specific cluster structures. The popular methods based on assuming the sparse…

Shrinkage priors are a popular Bayesian paradigm to handle sparsity in high-dimensional regression. Still limited, however, is a flexible class of shrinkage priors to handle grouped sparsity, where covariates exhibit some natural grouping…

In this article, we present a model for analyzing the cooccurrence count data derived from practical fields such as user-item or item-item data from online shopping platform, cooccurring word-word pairs in sequences of texts. Such data…

In this paper we study grouped variable selection problems by proposing a specified prior, called the nested spike and slab prior, to model collective behavior of regression coefficients. At the group level, the nested spike and slab prior…

In this paper, we develop local expansions for the ratio of the centered matrix-variate $T$ density to the centered matrix-variate normal density with the same covariances. The approximations are used to derive upper bounds on several…

In this paper, we propose a new modified likelihood ratio test (LRT) for simultaneously testing mean vectors and covariance matrices of two-sample populations in high-dimensional settings. By employing tools from Random Matrix Theory (RMT),…

Smoothing of noisy sample covariances is an important component in functional data analysis. We propose a novel covariance smoothing method based on penalized splines and associated software. The proposed method is a bivariate spline…

In multivariate pattern analysis of neuroimaging data, 'second-level' inference is often performed by entering classification accuracies into a $t$-test vs chance level across subjects. We argue that while the random-effects analysis…

The Heckman selection model is one of the most well-renounced econometric models in the analysis of data with sample selection. This model is designed to rectify sample selection biases based on the assumption of bivariate normal error…

The testing-based approach is a fundamental tool for establishing posterior contraction rates. Although the Hellinger metric is attractive owing to the existence of a desirable test function, it is not directly applicable in Gaussian…

We propose a general procedure for estimating the variance-covariance matrix of two-step estimates of structural parameters in latent variable models. The method is partially simulation-based, in that it includes drawing simulated values of…

The Horvitz-Thompson (HT) estimator is widely used in survey sampling. However, the variance of the HT estimator becomes large when the inclusion probabilities are highly heterogeneous. To overcome this shortcoming, in this paper, a…

We study the estimation of the high-dimensional covariance matrix andits eigenvalues under dynamic volatility models. Data under such modelshave nonlinear dependency both cross-sectionally and temporally. We firstinvestigate the empirical…

In this article, we derive concentration inequalities for the spectral norm of two classical sample estimators of large dimensional Toeplitz covariance matrices, demonstrating in particular their asymptotic almost sure consistence. The…

This article provides a central limit theorem for a consistent estimator of population eigenvalues with large multiplicities based on sample covariance matrices. The focus is on limited sample size situations, whereby the number of…

Covariance matrices of noisy multichannel electroencephalogram time series data are hard to estimate due to high dimensionality. In brain-computer interfaces (BCI) based on event-related potentials and a linear discriminant analysis (LDA)…

In this paper we introduce a new sampling algorithm which has the potential to be adopted as a universal replacement to the Metropolis--Hastings algorithm. It is related to the slice sampler, and motivated by an algorithm which is…

In this paper, we propose a novel approach to test the equality of high-dimensional mean vectors of several populations via the weighted $L_2$-norm. We establish the asymptotic normality of the test statistics under the null hypothesis. We…