相关论文: Regression with strongly correlated data

Identifying structural parameters in linear simultaneous-equation models is a longstanding challenge. Recent work exploits information in higher-order moments of non-Gaussian data. In this literature, the structural errors are typically…

In the common linear regression model the problem of determining optimal designs for least squares estimation is considered in the case where the observations are correlated. A necessary condition for the optimality of a given design is…

We propose a new class of estimators of the multivariate response linear regression coefficient matrix that exploits the assumption that the response and predictors have a joint multivariate Normal distribution. This allows us to indirectly…

We obtain general, exact formulas for the overlaps between the eigenvectors of large correlated random matrices, with additive or multiplicative noise. These results have potential applications in many different contexts, from quantum…

Any representation of data involves arbitrary investigator choices. Because those choices are external to the data-generating process, each choice leads to an exact symmetry, corresponding to the group of transformations that takes one…

Missing data occur frequently in a wide range of applications. In this paper, we consider estimation of high-dimensional covariance matrices in the presence of missing observations under a general missing completely at random model in the…

It has been proposed that complex populations, such as those that arise in genomics studies, may exhibit dependencies among observations as well as among variables. This gives rise to the challenging problem of analyzing unreplicated…

We present a novel approach for recovering a sparse signal from cross-correlated data. Cross-correlations naturally arise in many fields of imaging, such as optics, holography and seismic interferometry. Compared to the sparse signal…

Compressible isothermal magnetohydrodynamic turbulence is analyzed under the assumption of statistical homogeneity and in the asymptotic limit of large kinetic and magnetic Reynolds numbers. Following Kolmogorov we derive an exact relation…

Units equivariance (or units covariance) is the exact symmetry that follows from the requirement that relationships among measured quantities of physics relevance must obey self-consistent dimensional scalings. Here, we express this…

In this paper we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors,…

This paper provides some extended results on estimating parameter matrix of several regression models when the covariate or response possesses weaker moment condition. We study the $M$-estimator of Fan et al. (Ann Stat 49(3):1239--1266,…

Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment. The aim is to test whether such an unknown change has…

We develop a statistical theory to characterize correlations in weighted networks. We define the appropriate metrics quantifying correlations and show that strictly uncorrelated weighted networks do not exist due to the presence of…

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…

We propose methods for estimating correspondence between two point sets under the presence of outliers in both the source and target sets. The proposed algorithms expand upon the theory of the regression without correspondence problem to…

Estimating large covariance and precision matrices are fundamental in modern multivariate analysis. The problems arise from statistical analysis of large panel economics and finance data. The covariance matrix reveals marginal correlations…

We consider the problem of large-scale inference on the row or column variables of data in the form of a matrix. Often this data is transposable, meaning that both the row variables and column variables are of potential interest. An example…

We develop a new method to fit the multivariate response linear regression model that exploits a parametric link between the regression coefficient matrix and the error covariance matrix. Specifically, we assume that the correlations…

Using the diagrammatic method, we derive a set of self-consistent equations that describe eigenvalue distributions of large correlated asymmetric random matrices. The matrix elements can have different variances and be correlated with each…