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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":"76 1","pages":"35 - 37"},"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":"76 1","pages":"39 - 42"},"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":"76 2","pages":"235 - 262"},"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":"76 2","pages":"209 - 234"},"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
Comparing regression curves: an L1-point of view 比较回归曲线：从 L1 角度看问题
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-08-30 DOI: 10.1007/s10463-023-00880-8
Patrick Bastian, Holger Dette, Lukas Koletzko, Kathrin Möllenhoff
{"title":"Comparing regression curves: an L1-point of view","authors":"Patrick Bastian,&nbsp;Holger Dette,&nbsp;Lukas Koletzko,&nbsp;Kathrin Möllenhoff","doi":"10.1007/s10463-023-00880-8","DOIUrl":"10.1007/s10463-023-00880-8","url":null,"abstract":"<div><p>In this paper, we compare two regression curves by measuring their difference by the area between the two curves, represented by their <span>(L^1)</span>-distance. We develop asymptotic confidence intervals for this measure and statistical tests to investigate the similarity/equivalence of the two curves. Bootstrap methodology specifically designed for equivalence testing is developed to obtain procedures with good finite sample properties and its consistency is rigorously proved. The finite sample properties are investigated by means of a small simulation study.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 1","pages":"159 - 183"},"PeriodicalIF":0.8,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"52265286","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
Gaussian quasi-information criteria for ergodic Lévy driven SDE 遍历lsamy驱动SDE的高斯拟信息准则
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-08-11 DOI: 10.1007/s10463-023-00878-2
Shoichi Eguchi, Hiroki Masuda
{"title":"Gaussian quasi-information criteria for ergodic Lévy driven SDE","authors":"Shoichi Eguchi,&nbsp;Hiroki Masuda","doi":"10.1007/s10463-023-00878-2","DOIUrl":"10.1007/s10463-023-00878-2","url":null,"abstract":"<div><p>We consider relative model comparison for the parametric coefficients of an ergodic Lévy driven model observed at high-frequency. Our asymptotics is based on the fully explicit two-stage Gaussian quasi-likelihood function (GQLF) of the Euler-approximation type. For selections of the scale and drift coefficients, we propose explicit Gaussian quasi-AIC and Gaussian quasi-BIC statistics through the stepwise inference procedure, and prove their asymptotic properties. In particular, we show that the mixed-rates structure of the joint GQLF, which does not emerge in the case of diffusions, gives rise to the non-standard forms of the regularization terms in the selection of the scale coefficient, quantitatively clarifying the relation between estimation precision and sampling frequency. Also shown is that the stepwise strategies are essential for both the tractable forms of the regularization terms and the derivation of the asymptotic properties of the Gaussian quasi-information criteria. Numerical experiments are given to illustrate our theoretical findings.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 1","pages":"111 - 157"},"PeriodicalIF":0.8,"publicationDate":"2023-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43044984","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
Approximating symmetrized estimators of scatter via balanced incomplete U-statistics 用平衡不完全U-统计量逼近散射的对称估计
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-08-08 DOI: 10.1007/s10463-023-00879-1
Lutz Dümbgen, Klaus Nordhausen
{"title":"Approximating symmetrized estimators of scatter via balanced incomplete U-statistics","authors":"Lutz Dümbgen,&nbsp;Klaus Nordhausen","doi":"10.1007/s10463-023-00879-1","DOIUrl":"10.1007/s10463-023-00879-1","url":null,"abstract":"<div><p>We derive limiting distributions of symmetrized estimators of scatter. Instead of considering all <span>(n(n-1)/2)</span> pairs of the <i>n</i> observations, we only use <i>nd</i> suitably chosen pairs, where <span>(d ge 1)</span> is substantially smaller than <i>n</i>. It turns out that the resulting estimators are asymptotically equivalent to the original one whenever <span>(d = d(n) rightarrow infty)</span> at arbitrarily slow speed. We also investigate the asymptotic properties for arbitrary fixed <i>d</i>. These considerations and numerical examples indicate that for practical purposes, moderate fixed values of <i>d</i> between 10 and 20 yield already estimators which are computationally feasible and rather close to the original ones.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 2","pages":"185 - 207"},"PeriodicalIF":0.8,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45737931","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
A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression 高维分位数回归中边际线性效应的无调谐有效检验
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-07-18 DOI: 10.1007/s10463-023-00877-3
Kai Xu, Nan An
{"title":"A tuning-free efficient test for marginal linear effects in high-dimensional quantile regression","authors":"Kai Xu,&nbsp;Nan An","doi":"10.1007/s10463-023-00877-3","DOIUrl":"10.1007/s10463-023-00877-3","url":null,"abstract":"<div><p>This work is concerned with testing the marginal linear effects of high-dimensional predictors in quantile regression. We introduce a novel test that is constructed using maxima of pairwise quantile correlations, which permit consistent assessment of the marginal linear effects. The proposed testing procedure is computationally efficient with the aid of a simple multiplier bootstrap method and does not involve any need to select tuning parameters, apart from the number of bootstrap replications. Other distinguishing features of the new procedure are that it imposes no structural assumptions on the unknown dependence structures of the predictor vector and allows the dimension of the predictor vector to be exponentially larger than sample size. To broaden the applicability, we further extend the preceding analysis to the censored response case. The effectiveness of our proposed approach in the finite samples is illustrated through simulation studies.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 1","pages":"93 - 110"},"PeriodicalIF":0.8,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44131074","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
Model averaging for estimating treatment effects 用于估计治疗效果的模型平均
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-06-30 DOI: 10.1007/s10463-023-00876-4
Zhihao Zhao, Xinyu Zhang, Guohua Zou, Alan T. K. Wan, Geoffrey K. F. Tso
{"title":"Model averaging for estimating treatment effects","authors":"Zhihao Zhao,&nbsp;Xinyu Zhang,&nbsp;Guohua Zou,&nbsp;Alan T. K. Wan,&nbsp;Geoffrey K. F. Tso","doi":"10.1007/s10463-023-00876-4","DOIUrl":"10.1007/s10463-023-00876-4","url":null,"abstract":"<div><p>The estimation of treatment effects on the response variable is often a primary goal in empirical investigations in disciplines such as medicine, economics and marketing. Typically, the investigator would select one model from a multitude of models and estimate the treatment effects based on this single winning model. In this paper, we consider an alternative model averaging approach, where estimates of treatment effects are obtained from not one single model but a weighted ensemble of models. We develop a weight choice method based on a minimisation of the approximate risk under squared error loss of the model average estimator of the conditional treatment effects. We prove that the model average estimator resulting from this criterion has an optimal asymptotic property. The results of a simulation study show that the proposed approach is superior to various existing model selection and averaging methods in a large region of the parameter space in finite samples. The proposed method is applied to a data set on HIV treatment.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 1","pages":"73 - 92"},"PeriodicalIF":0.8,"publicationDate":"2023-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44464344","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
Comparative evaluation of point process forecasts 点工艺预测的比较评价
IF 0.8 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2023-06-15 DOI: 10.1007/s10463-023-00875-5
Jonas R. Brehmer, Tilmann Gneiting, Marcus Herrmann, Warner Marzocchi, Martin Schlather, Kirstin Strokorb
{"title":"Comparative evaluation of point process forecasts","authors":"Jonas R. Brehmer,&nbsp;Tilmann Gneiting,&nbsp;Marcus Herrmann,&nbsp;Warner Marzocchi,&nbsp;Martin Schlather,&nbsp;Kirstin Strokorb","doi":"10.1007/s10463-023-00875-5","DOIUrl":"10.1007/s10463-023-00875-5","url":null,"abstract":"<div><p>Stochastic models of point patterns in space and time are widely used to issue forecasts or assess risk, and often they affect societally relevant decisions. We adapt the concept of consistent scoring functions and proper scoring rules, which are statistically principled tools for the comparative evaluation of predictive performance, to the point process setting, and place both new and existing methodology in this framework. With reference to earthquake likelihood model testing, we demonstrate that extant techniques apply in much broader contexts than previously thought. In particular, the Poisson log-likelihood can be used for theoretically principled comparative forecast evaluation in terms of cell expectations. We illustrate the approach in a simulation study and in a comparative evaluation of operational earthquake forecasts for Italy.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":"76 1","pages":"47 - 71"},"PeriodicalIF":0.8,"publicationDate":"2023-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43246326","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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