Journal of Multivariate Analysis最新文献_第7页

Latent model extreme value index estimation 潜在模型极值指数估算

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-02-15 DOI: 10.1016/j.jmva.2024.105300

Joni Virta , Niko Lietzén , Lauri Viitasaari , Pauliina Ilmonen

引用次数: 0

Estimation of multiple networks with common structures in heterogeneous subgroups 估计异质分组中具有共同结构的多个网络

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-02-13 DOI: 10.1016/j.jmva.2024.105298

Xing Qin , Jianhua Hu , Shuangge Ma , Mengyun Wu

{"title":"Estimation of multiple networks with common structures in heterogeneous subgroups","authors":"Xing Qin , Jianhua Hu , Shuangge Ma , Mengyun Wu","doi":"10.1016/j.jmva.2024.105298","DOIUrl":"https://doi.org/10.1016/j.jmva.2024.105298","url":null,"abstract":"<div>Network estimation has been a critical component of high-dimensional data analysis and can provide an understanding of the underlying complex dependence structures. Among the existing studies, Gaussian graphical models have been highly popular. However, they still have limitations due to the homogeneous distribution assumption and the fact that they are only applicable to small-scale data. For example, cancers have various levels of unknown heterogeneity, and biological networks, which include thousands of molecular components, often differ across subgroups while also sharing some commonalities. In this article, we propose a new joint estimation approach for multiple networks with unknown sample heterogeneity, by decomposing the Gaussian graphical model (GGM) into a collection of sparse regression problems. A reparameterization technique and a composite minimax concave penalty are introduced to effectively accommodate the specific and common information across the networks of multiple subgroups, making the proposed estimator significantly advancing from the existing heterogeneity network analysis based on the regularized likelihood of GGM directly and enjoying scale-invariant, tuning-insensitive, and optimization convexity properties. The proposed analysis can be effectively realized using parallel computing. The estimation and selection consistency properties are rigorously established. The proposed approach allows the theoretical studies to focus on independent network estimation only and has the significant advantage of being both theoretically and computationally applicable to large-scale data. Extensive numerical experiments with simulated data and the TCGA breast cancer data demonstrate the prominent performance of the proposed approach in both subgroup and network identifications.</div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105298"},"PeriodicalIF":1.6,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139749242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A data depth based nonparametric test of independence between two random vectors 基于数据深度的两随机向量独立性非参数检验

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-02-08 DOI: 10.1016/j.jmva.2024.105297

Sakineh Dehghan, Mohammad Reza Faridrohani

引用次数: 0

Convergence analysis of data augmentation algorithms for Bayesian robust multivariate linear regression with incomplete data 不完整数据下贝叶斯稳健多元线性回归数据增强算法的收敛性分析

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-01-20 DOI: 10.1016/j.jmva.2024.105296

Haoxiang Li, Qian Qin, Galin L. Jones

{"title":"Convergence analysis of data augmentation algorithms for Bayesian robust multivariate linear regression with incomplete data","authors":"Haoxiang Li, Qian Qin, Galin L. Jones","doi":"10.1016/j.jmva.2024.105296","DOIUrl":"10.1016/j.jmva.2024.105296","url":null,"abstract":"<div>Gaussian mixtures are commonly used for modeling heavy-tailed error distributions in robust linear regression. Combining the likelihood of a multivariate robust linear regression model with a standard improper prior distribution yields an analytically intractable posterior distribution that can be sampled using a data augmentation algorithm. When the response matrix has missing entries, there are unique challenges to the application and analysis of the convergence properties of the algorithm. Conditions for geometric ergodicity are provided when the incomplete data have a “monotone” structure. In the absence of a monotone structure, an intermediate imputation step is necessary for implementing the algorithm. In this case, we provide sufficient conditions for the algorithm to be Harris ergodic. Finally, we show that, when there is a monotone structure and intermediate imputation is unnecessary, intermediate imputation slows the convergence of the underlying Monte Carlo Markov chain, while post hoc imputation does not. An R package for the data augmentation algorithm is provided.</div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105296"},"PeriodicalIF":1.6,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139509069","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

On positive association of absolute-valued and squared multivariate Gaussians beyond MTP2 超越 MTP2 的绝对值和平方多元高斯的正相关性

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-01-13 DOI: 10.1016/j.jmva.2024.105295

Helmut Finner , Markus Roters

{"title":"On positive association of absolute-valued and squared multivariate Gaussians beyond MTP2","authors":"Helmut Finner , Markus Roters","doi":"10.1016/j.jmva.2024.105295","DOIUrl":"10.1016/j.jmva.2024.105295","url":null,"abstract":"<div>We show that positively associated squared (and absolute-valued) multivariate normally distributed random vectors need not be multivariate totally positive of order 2 (MTP2) for <math><mrow><mi>p</mi><mo>≥</mo><mn>3</mn></mrow></math>. This result disproves Theorem 1 in Eisenbaum (2014, Ann. Probab.) and the conjecture that positive association of squared multivariate normals is equivalent to MTP2 and infinite divisibility of squared multivariate normals. Among others, we show that there exist absolute-valued multivariate normals which are conditionally increasing in sequence (CIS) (or weakly CIS (WCIS)) and hence positively associated but not MTP2. Moreover, we show that there exist absolute-valued multivariate normals which are positively associated but not CIS. As a by-product, we obtain necessary conditions for CIS and WCIS of absolute normals. We illustrate these conditions in some examples. With respect to implications and applications of our results, we show PA beyond MTP2 for some related multivariate distributions (chi-square, <math><mi>t</mi></math>, skew normal) and refer to possible conservative multiple test procedures and conservative simultaneous confidence bounds. Finally, we obtain the validity of the strong form of Gaussian product inequalities beyond MTP2.</div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105295"},"PeriodicalIF":1.6,"publicationDate":"2024-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0047259X24000022/pdfft?md5=057f93b4d2894763a0a0d8fd83de8805&pid=1-s2.0-S0047259X24000022-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139461529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Estimation of sparse covariance matrix via non-convex regularization 通过非凸正则化估计稀疏协方差矩阵

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2024-01-05 DOI: 10.1016/j.jmva.2024.105294

Xin Wang , Lingchen Kong , Liqun Wang

引用次数: 0

Hypothesis testing for mean vector and covariance matrix of multi-populations under a two-step monotone incomplete sample in large sample and dimension 大样本、大维度两步单调不完全抽样下多种群均值向量和协方差矩阵的假设检验

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2023-12-28 DOI: 10.1016/j.jmva.2023.105290

Shin-ichi Tsukada

引用次数: 0

Estimation of extreme multivariate expectiles with functional covariates 带有函数协变量的多变量极端期望值的估计

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2023-12-23 DOI: 10.1016/j.jmva.2023.105292

Elena Di Bernardino , Thomas Laloë , Cambyse Pakzad

{"title":"Estimation of extreme multivariate expectiles with functional covariates","authors":"Elena Di Bernardino , Thomas Laloë , Cambyse Pakzad","doi":"10.1016/j.jmva.2023.105292","DOIUrl":"10.1016/j.jmva.2023.105292","url":null,"abstract":"<div>The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible conditioning with respect to a functional covariate, belonging to an infinite-dimensional space. By using the first order optimality condition, we interpret these expectiles as solutions of a multidimensional nonlinear optimum problem. Then the inference is based on a minimization algorithm of gradient descent type, coupled with consistent kernel estimations of our key statistical quantities such as conditional quantiles, conditional tail index and conditional tail dependence functions. The method is valid for equivalently heavy-tailed marginals and under a multivariate regular variation condition on the underlying unknown random vector with arbitrary dependence structure. Our main result establishes the consistency in probability of the optimum approximated solution vectors with a speed rate. This allows us to estimate the global computational cost of the whole procedure according to the data sample size. The finite-sample performance of our methodology is provided via a numerical illustration of simulated datasets.</div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105292"},"PeriodicalIF":1.6,"publicationDate":"2023-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139031522","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

An independence test for functional variables based on kernel normalized cross-covariance operator 基于核归一化交叉协方差算子的函数变量独立性检验

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2023-12-22 DOI: 10.1016/j.jmva.2023.105293

Terence Kevin Manfoumbi Djonguet, Guy Martial Nkiet

引用次数: 0

Shrinkage estimators of BLUE for time series regression models 时间序列回归模型 BLUE 的收缩估计器

IF 1.6 3区数学

Journal of Multivariate Analysis Pub Date : 2023-12-15 DOI: 10.1016/j.jmva.2023.105282

Yujie Xue , Masanobu Taniguchi , Tong Liu

{"title":"Shrinkage estimators of BLUE for time series regression models","authors":"Yujie Xue , Masanobu Taniguchi , Tong Liu","doi":"10.1016/j.jmva.2023.105282","DOIUrl":"10.1016/j.jmva.2023.105282","url":null,"abstract":"<div>The least squares estimator (LSE) seems a natural estimator of linear regression models. Whereas, if the dimension of the vector of regression coefficients is greater than 1 and the residuals are dependent, the best linear unbiased estimator (BLUE), which includes the information of the covariance matrix <math><mi>Γ</mi></math> of residual process has a better performance than LSE in the sense of mean square error. As we know the unbiased estimators are generally inadmissible, Senda and Taniguchi (2006) introduced a James–Stein type shrinkage estimator for the regression coefficients based on LSE, where the residual process is a Gaussian stationary process, and provides sufficient conditions such that the James–Stein type shrinkage estimator improves LSE. In this paper, we propose a shrinkage estimator based on BLUE. Sufficient conditions for this shrinkage estimator to improve BLUE are also given. Furthermore, since <math><mi>Γ</mi></math> is infeasible, assuming that <math><mi>Γ</mi></math> has a form of <math><mrow><mi>Γ</mi><mo>=</mo><mi>Γ</mi><mrow><mo>(</mo><mi>θ</mi><mo>)</mo></mrow></mrow></math>, we introduce a feasible version of that shrinkage estimator with replacing <math><mrow><mi>Γ</mi><mrow><mo>(</mo><mi>θ</mi><mo>)</mo></mrow></mrow></math> by <math><mrow><mi>Γ</mi><mrow><mo>(</mo><mover><mrow><mi>θ</mi></mrow><mrow><mo>ˆ</mo></mrow></mover><mo>)</mo></mrow></mrow></math> which is introduced in Toyooka (1986). Additionally, we give the sufficient conditions where the feasible version improves BLUE. Besides, the results of a numerical studies confirm our approach.</div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105282"},"PeriodicalIF":1.6,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138682372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0