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Non-parametric adaptive bandwidth selection for kernel estimators of spatial intensity functions 空间强度函数核估计器的非参数自适应带宽选择
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-12-22 DOI: 10.1007/s10463-023-00890-6
M. N. M. van Lieshout
{"title":"Non-parametric adaptive bandwidth selection for kernel estimators of spatial intensity functions","authors":"M. N. M. van Lieshout","doi":"10.1007/s10463-023-00890-6","DOIUrl":"10.1007/s10463-023-00890-6","url":null,"abstract":"<div><p>We introduce a new fully non-parametric two-step adaptive bandwidth selection method for kernel estimators of spatial point process intensity functions based on the Campbell–Mecke formula and Abramson’s square root law. We present a simulation study to assess its performance relative to other adaptive and global bandwidth selectors, investigate the influence of the pilot estimator and apply the technique to two data sets: A pattern of trees and an earthquake catalogue.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138946514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Test for conditional quantile change in general conditional heteroscedastic time series models 一般条件异方差时间序列模型中的条件量变检验
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-12-15 DOI: 10.1007/s10463-023-00889-z
Sangyeol Lee, Chang Kyeom Kim
{"title":"Test for conditional quantile change in general conditional heteroscedastic time series models","authors":"Sangyeol Lee,&nbsp;Chang Kyeom Kim","doi":"10.1007/s10463-023-00889-z","DOIUrl":"10.1007/s10463-023-00889-z","url":null,"abstract":"<div><p>This study aims to test for detecting a change point in the conditional quantile of general location-scale time series models. This issue is quite important in risk management because the conditional quantile is utilized to measure the value-at-risk or expected shortfall of financial assets. In this paper, we design two types of cumulative sum tests based on the conditional quantiles. Their limiting null distributions are derived under regularity conditions, together with consistency of the proposed tests under the alternative. Monte Carlo simulations demonstrate the good performance of the proposed tests in terms of both stability and power for various time series settings. A real data analysis using the daily returns of the Brent Oil futures also confirms the validity of the tests in real-world applications.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138692078","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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 UMPS hypothesis testing 关于UMPS假设检验
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-15 DOI: 10.1007/s10463-023-00888-0
Davy Paindaveine
{"title":"On UMPS hypothesis testing","authors":"Davy Paindaveine","doi":"10.1007/s10463-023-00888-0","DOIUrl":"10.1007/s10463-023-00888-0","url":null,"abstract":"<div><p>For two-sided hypothesis testing in location families, the classical optimality criterion is the one leading to <i>uniformly most powerful unbiased (UMPU)</i> tests. Such optimal tests, however, are constructed in exponential models only. We argue that if the base distribution is symmetric, then it is natural to consider <i>uniformly most powerful symmetric (UMPS)</i> tests, that is, tests that are uniformly most powerful in the class of level-<span>(alpha )</span> tests whose power function is symmetric. For single-observation models, we provide a condition ensuring existence of UMPS tests and give their explicit form. When this condition is not met, UMPS tests may fail to exist and we provide a weaker condition under which there exist UMP tests in the class of level-<span>(alpha )</span> tests whose power function is symmetric and U-shaped. In the multi-observation case, we obtain results in exponential models that also allow for non-location families.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138519045","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Multivariate frequency polygon for stationary random fields 静态随机场的多变量频率多边形
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-08 DOI: 10.1007/s10463-023-00883-5
Michel Carbon, Thierry Duchesne
{"title":"Multivariate frequency polygon for stationary random fields","authors":"Michel Carbon,&nbsp;Thierry Duchesne","doi":"10.1007/s10463-023-00883-5","DOIUrl":"10.1007/s10463-023-00883-5","url":null,"abstract":"<div><p>The purpose of this paper is to investigate the multivariate frequency polygon as a density estimator for stationary random fields indexed by multidimensional lattice points space. Optimal cell widths that asymptotically minimize integrated mean square error (IMSE) are derived. Under weak conditions, the IMSE of frequency polygons achieves the same rate of convergence to zero as that of kernel estimators. The frequency polygon can also attain the optimal uniform rate of convergence and the almost sure convergence under general conditions. Finally, a result of <span>(L^1)</span> convergence is given. Frequency polygons thus appear to be very good density estimators with respect to the criteria of IMSE, of uniform convergence, of almost sure convergence and of <span>(L^1)</span> convergence. We apply our results to simulated data and real data.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135390910","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Identifiability of latent-variable and structural-equation models: from linear to nonlinear 潜在变量和结构方程模型的可识别性：从线性到非线性
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-04 DOI: 10.1007/s10463-023-00884-4
Aapo Hyvärinen, Ilyes Khemakhem, Ricardo Monti
{"title":"Identifiability of latent-variable and structural-equation models: from linear to nonlinear","authors":"Aapo Hyvärinen,&nbsp;Ilyes Khemakhem,&nbsp;Ricardo Monti","doi":"10.1007/s10463-023-00884-4","DOIUrl":"10.1007/s10463-023-00884-4","url":null,"abstract":"<div><p>An old problem in multivariate statistics is that linear Gaussian models are often unidentifiable. In factor analysis, an orthogonal rotation of the factors is unidentifiable, while in linear regression, the direction of effect cannot be identified. For such linear models, non-Gaussianity of the (latent) variables has been shown to provide identifiability. In the case of factor analysis, this leads to independent component analysis, while in the case of the direction of effect, non-Gaussian versions of structural equation modeling solve the problem. More recently, we have shown how even general nonparametric nonlinear versions of such models can be estimated. Non-Gaussianity is not enough in this case, but assuming we have time series, or that the distributions are suitably modulated by observed auxiliary variables, the models are identifiable. This paper reviews the identifiability theory for the linear and nonlinear cases, considering both factor analytic and structural equation models.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135774127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Rejoinder of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear" 对 "潜在变量和结构方程模型的可识别性：从线性到非线性 "的再评论
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-01 DOI: 10.1007/s10463-023-00887-1
Aapo Hyvärinen
{"title":"Rejoinder of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear\"","authors":"Aapo Hyvärinen","doi":"10.1007/s10463-023-00887-1","DOIUrl":"10.1007/s10463-023-00887-1","url":null,"abstract":"","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135221090","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Discussion of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear” 讨论 "潜在变量和结构方程模型的可识别性：从线性到非线性"
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-01 DOI: 10.1007/s10463-023-00886-2
Hiroshi Morioka
{"title":"Discussion of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear”","authors":"Hiroshi Morioka","doi":"10.1007/s10463-023-00886-2","DOIUrl":"10.1007/s10463-023-00886-2","url":null,"abstract":"","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135221260","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Discussion of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear” 讨论 "潜在变量和结构方程模型的可识别性：从线性到非线性"
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-11-01 DOI: 10.1007/s10463-023-00885-3
Takeru Matsuda
{"title":"Discussion of “Identifiability of latent-variable and structural-equation models: from linear to nonlinear”","authors":"Takeru Matsuda","doi":"10.1007/s10463-023-00885-3","DOIUrl":"10.1007/s10463-023-00885-3","url":null,"abstract":"","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135221084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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 estimation of nonparametric regression models with autoregressive and moving average errors 关于具有自回归和移动平均误差的非参数回归模型的估计
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-10-26 DOI: 10.1007/s10463-023-00882-6
Qi Zheng, Yunwei Cui, Rongning Wu
{"title":"On estimation of nonparametric regression models with autoregressive and moving average errors","authors":"Qi Zheng,&nbsp;Yunwei Cui,&nbsp;Rongning Wu","doi":"10.1007/s10463-023-00882-6","DOIUrl":"10.1007/s10463-023-00882-6","url":null,"abstract":"<div><p>The nonparametric regression model with correlated errors is a powerful tool for time series forecasting. We are interested in the estimation of such a model, where the errors follow an autoregressive and moving average (ARMA) process, and the covariates can also be correlated. Instead of estimating the constituent parts of the model in a sequential fashion, we propose a spline-based method to estimate the mean function and the parameters of the ARMA process jointly. We establish the desirable asymptotic properties of the proposed approach under mild regularity conditions. Extensive simulation studies demonstrate that our proposed method performs well and generates strong evidence supporting the established theoretical results. Our method provides a new addition to the arsenal of tools for analyzing serially correlated data. We further illustrate the practical usefulness of our method by modeling and forecasting the weekly natural gas scraping data for the state of Iowa.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134908300","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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 a projection least squares estimator for jump diffusion processes 关于跃迁扩散过程的投影最小二乘估计器
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-09-11 DOI: 10.1007/s10463-023-00881-7
Hélène Halconruy, Nicolas Marie
{"title":"On a projection least squares estimator for jump diffusion processes","authors":"Hélène Halconruy,&nbsp;Nicolas Marie","doi":"10.1007/s10463-023-00881-7","DOIUrl":"10.1007/s10463-023-00881-7","url":null,"abstract":"<div><p>This paper deals with a projection least squares estimator of the drift function of a jump diffusion process <i>X</i> computed from multiple independent copies of <i>X</i> observed on [0, <i>T</i>]. Risk bounds are established on this estimator and on an associated adaptive estimator. Finally, some numerical experiments are provided.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":0.8,"publicationDate":"2023-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135938166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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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