相关论文: Asymptotic Behavior of Principal Component Project…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain…
We study semiparametric factor models in high-dimensional panels where the factor loadings consist of a nonparametric component explained by observed covariates and an idiosyncratic component capturing unobserved heterogeneity. A key…
The research is about a systematic investigation on the following issues. First, we construct different outcome regression-based estimators for conditional average treatment effect under, respectively, true (oracle), parametric,…
Principal component analysis (PCA) is arguably the most widely used approach for large-dimensional factor analysis. While it is effective when the factors are sufficiently strong, it can be inconsistent when the factors are weak and/or the…
Additive regression models are actively researched in the statistical field because of their usefulness in the analysis of responses determined by non-linear relationships with multivariate predictors. In this kind of statistical models,…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
We analyze the prediction error of principal component regression (PCR) and prove high probability bounds for the corresponding squared risk conditional on the design. Our first main result shows that PCR performs comparably to the oracle…
The paper deals with asymptotic properties of the adaptive procedure proposed in the author paper, 2007, for estimating a unknown nonparametric regression. We prove that this procedure is asymptotically efficient for a quadratic risk, i.e.…
At the crossway of machine learning and data analysis, anomaly detection aims at identifying observations that exhibit abnormal behaviour. Be it measurement errors, disease development, severe weather, production quality default(s) (items)…
We study asymptotic behavior of one-step weighted $M$-estimators based on samples from arrays of not necessarily identically distributed random variables and representing explicit approximations to the corresponding consistent weighted…
The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems. In an other article, in a so-called idealized setting, the…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
When estimating causal effects from observational studies, researchers often need to adjust for many covariates to deconfound the non-causal relationship between exposure and outcome, among which many covariates are discrete. The behavior…
We study the behavior of high-dimensional robust regression estimators in the asymptotic regime where $p/n$ tends to a finite non-zero limit. More specifically, we study ridge-regularized estimators, i.e…
Understanding the complex structure of multivariate extremes is a major challenge in various fields from portfolio monitoring and environmental risk management to insurance. In the framework of multivariate Extreme Value Theory, a common…
When a parameter of interest is defined to be a nondifferentiable transform of a regular parameter, the parameter does not have an influence function, rendering the existing theory of semiparametric efficient estimation inapplicable.…
We consider a one dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the asymptotic properties of the maximum likelihood estimator of the parameter based on a…
Penalized estimation principle is fundamental to high-dimensional problems. In the literature, it has been extensively and successfully applied to various models with only structural parameters. As a contrast, in this paper, we apply this…
Auxiliary information is frequently utilized in survey sampling to improve the efficiency of estimators of the finite population mean. However, the simultaneous use of multiple auxiliary variables often induces multicollinearity, which…