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Journal of the Royal Statistical Society Series B-Statistical Methodology最新文献

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Dynamic synthetic control method for evaluating treatment effects in auto-regressive processes 评价自回归过程处理效果的动态综合控制方法
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-27 DOI: 10.1093/jrsssb/qkad103
Xiangyu Zheng, Song Xi Chen
{"title":"Dynamic synthetic control method for evaluating treatment effects in auto-regressive processes","authors":"Xiangyu Zheng, Song Xi Chen","doi":"10.1093/jrsssb/qkad103","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad103","url":null,"abstract":"Abstract Motivated by evaluating the effects of air pollution alerts on air quality, we propose the dynamic synthetic control method for micro-level data with time-varying confounders and spatial dependence under an auto-regressive model setting. We employ the empirical likelihood to define the synthetic control weights, which ensures a unique solution and permits theoretical analysis. The dynamic matching increases the feasibility of matching and enables us to assess the unconfoundedness assumption using pre-treatment data. For statistical inference, we develop a normalised placebo test to address the asymmetry issue. The method is illustrated and evaluated on numerical simulations and a case study on air pollution alerts.","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"11 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136234037","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Bayesian predictive decision synthesis 贝叶斯预测决策综合
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-24 DOI: 10.1093/jrsssb/qkad109
Emily Tallman, Mike West
{"title":"Bayesian predictive decision synthesis","authors":"Emily Tallman, Mike West","doi":"10.1093/jrsssb/qkad109","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad109","url":null,"abstract":"Abstract Decision-guided perspectives on model uncertainty expand traditional statistical thinking about managing, comparing, and combining inferences from sets of models. Bayesian predictive decision synthesis (BPDS) advances conceptual and theoretical foundations, and defines new methodology that explicitly integrates decision-analytic outcomes into the evaluation, comparison, and potential combination of candidate models. BPDS extends recent theoretical and practical advances based on both Bayesian predictive synthesis and empirical goal-focused model uncertainty analysis. This is enabled by the development of a novel subjective Bayesian perspective on model weighting in predictive decision settings. Illustrations come from applied contexts including optimal design for regression prediction and sequential time series forecasting for financial portfolio decisions.","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135219925","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Another look at bandwidth-free inference: a sample splitting approach 另一种无带宽推断方法:样本分割方法
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-20 DOI: 10.1093/jrsssb/qkad108
Yi Zhang, Xiaofeng Shao
{"title":"Another look at bandwidth-free inference: a sample splitting approach","authors":"Yi Zhang, Xiaofeng Shao","doi":"10.1093/jrsssb/qkad108","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad108","url":null,"abstract":"Abstract The bandwidth-free tests for a multi-dimensional parameter have attracted considerable attention in econometrics and statistics literature. These tests can be conveniently implemented due to their tuning-parameter free nature and possess more accurate size as compared to the traditional heteroskedasticity and autocorrelation consistent-based approaches. However, when sample size is small/medium, these bandwidth-free tests exhibit large size distortion when both the dimension of the parameter and the magnitude of temporal dependence are moderate, making them unreliable to use in practice. In this paper, we propose a sample splitting-based approach to reduce the dimension of the parameter to one for the subsequent bandwidth-free inference. Our SS–SN (sample splitting plus self-normalisation) idea is broadly applicable to many testing problems for time series, including mean testing, testing for zero autocorrelation, and testing for a change point in multivariate mean, among others. Specifically, we propose two types of SS–SN test statistics and derive their limiting distributions under both the null and alternatives and show their effectiveness in alleviating size distortion via simulations. In addition, we obtain the limiting distributions for both SS–SN test statistics in the multivariate mean testing problem when the dimension is allowed to diverge.","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"5 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135567546","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Authors’ reply to the Discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas 作者对Ian Waudby-Smith和Aaditya Ramdas关于“通过投注估计有界随机变量的均值”的讨论的回复
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-19 DOI: 10.1093/jrsssb/qkad127
Ian Waudby-Smith, Aaditya Ramdas
{"title":"Authors’ reply to the Discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas","authors":"Ian Waudby-Smith, Aaditya Ramdas","doi":"10.1093/jrsssb/qkad127","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad127","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135730157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Art Owen's contribution to the Discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas Art Owen对Ian Waudby-Smith和Aaditya Ramdas讨论的“通过投注估计有界随机变量的均值”的贡献
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-16 DOI: 10.1093/jrsssb/qkad116
Art B Owen
{"title":"Art Owen's contribution to the Discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas","authors":"Art B Owen","doi":"10.1093/jrsssb/qkad116","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad116","url":null,"abstract":"I congratulate the authors on some very interesting work making connections between likelihood, betting and martingales. What caught my eye was the connection to the empirical likelihood (EL) (Owen, 2001) and the dual likelihood (Mykland, 1995). The hindsight optimal λ solves 0 = (cid:80) ti =1 ( x i − m ) / (1+ λ T ( x i − m )) = 0 corresponding to the observation weights w i ∝ 1 / (1 + λ T ( x i − m )) used in empirical likelihood. Two common alternatives use weights w i ∝ (cid:0) 1 − λ T ( x i − m ) (cid:1) and w i ∝ exp( − λ T ( x i − m )) arising from L 2 and entropy criteria, respectively (for different vectors λ ). The entropy weights connect to exponential tilting and logistic regression; see for instance Hainmueller (2012). The EL weights perform a kind of reciprocal tilting that gives them some special power properties. Kitamura (2003) shows that empirical likelihood tests cannot be dominated by other regular tests for moment restrictions, in a large deviations sense. His result is a nonparametric counterpart to the likelihood test optimality result of Hoeffding (1965) for multinomial distributions. Lazar and Mykland (1998) find that for true parametric models, empirical likelihood matches their power to second order and at third order either the empirical or the parametric tests could have greater power. In some overspecified moment models, empirical likelihood has such high power for detecting lack of fit that, under lack of fit, there cannot exist any pseudo-true value of the parameter for which the maximum EL estimate is root-n consistent (Schennach, 2007). We can now add that authors’ hindsight optimality to this list of power properties.","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136079630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
David Siegmund's contribution to the Discussion of “Estimating the means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas David Siegmund对Ian Waudby-Smith和Aaditya Ramdas讨论的“通过投注估计有界随机变量的均值”的贡献
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-13 DOI: 10.1093/jrsssb/qkad117
David Siegmund
{"title":"David Siegmund's contribution to the Discussion of “Estimating the means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas","authors":"David Siegmund","doi":"10.1093/jrsssb/qkad117","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad117","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135853317","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Davison and Rodionov's contribution to the discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas Davison和Rodionov对Ian Waudby-Smith和Aaditya Ramdas讨论的“通过投注估计有界随机变量的均值”的贡献
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-11 DOI: 10.1093/jrsssb/qkad118
Anthony C Davison, Igor Rodionov
{"title":"Davison and Rodionov's contribution to the discussion of “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas","authors":"Anthony C Davison, Igor Rodionov","doi":"10.1093/jrsssb/qkad118","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad118","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136063697","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Paper under discussion: “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas 正在讨论的论文:Ian Waudby-Smith和Aaditya Ramdas的《通过投注估计有界随机变量的均值》
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-11 DOI: 10.1093/jrsssb/qkad124
Philip S Thomas, Erik Learned-Miller, My Phan
{"title":"Paper under discussion: “Estimating means of bounded random variables by betting” by Ian Waudby-Smith and Aaditya Ramdas","authors":"Philip S Thomas, Erik Learned-Miller, My Phan","doi":"10.1093/jrsssb/qkad124","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad124","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136062647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Philip Stark's contribution to the Discussion of 'Estimating means of bounded random variables by betting“ by Ian Waudby-Smith and Aaditya Ramdas” Philip Stark对Ian Waudby-Smith和Aaditya Ramdas讨论的“通过投注估计有界随机变量的均值”的贡献
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-11 DOI: 10.1093/jrsssb/qkad122
Philip B Stark
{"title":"Philip Stark's contribution to the Discussion of 'Estimating means of bounded random variables by betting“ by Ian Waudby-Smith and Aaditya Ramdas”","authors":"Philip B Stark","doi":"10.1093/jrsssb/qkad122","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad122","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136098222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
Li, Li, and Dai's Contribution to the Discussion of “Estimating Means of Bounded Random Variables by Betting” by Waudby-Smith and Ramdas Li, Li, and Dai对Waudby-Smith和Ramdas讨论“通过投注估计有界随机变量的均值”的贡献
1区 数学
Journal of the Royal Statistical Society Series B-Statistical Methodology Pub Date : 2023-10-10 DOI: 10.1093/jrsssb/qkad111
Jiayi Li, Yuantong Li, Xiaowu Dai
{"title":"Li, Li, and Dai's Contribution to the Discussion of “Estimating Means of Bounded Random Variables by Betting” by Waudby-Smith and Ramdas","authors":"Jiayi Li, Yuantong Li, Xiaowu Dai","doi":"10.1093/jrsssb/qkad111","DOIUrl":"https://doi.org/10.1093/jrsssb/qkad111","url":null,"abstract":"","PeriodicalId":49982,"journal":{"name":"Journal of the Royal Statistical Society Series B-Statistical Methodology","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136293875","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"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
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