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A copula spectral test for pairwise time reversibility 两两时间可逆性的联结谱检验
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-12-26 DOI: 10.1007/s10463-022-00859-x
Shibin Zhang
{"title":"A copula spectral test for pairwise time reversibility","authors":"Shibin Zhang","doi":"10.1007/s10463-022-00859-x","DOIUrl":"10.1007/s10463-022-00859-x","url":null,"abstract":"<div><p>In this paper, we propose a new frequency domain test for pairwise time reversibility at any specific couple of quantiles of two-dimensional marginal distribution. The proposed test is applicable to a very broad class of time series, regardless of the existence of moments and Markovian properties. By varying the couple of quantiles, the test can detect any violation of pairwise time reversibility. Our approach is based on an estimator of the <span>(L^2)</span>-distance between the imaginary part of copula spectral density kernel and its value under the null hypothesis. We show that the limiting distribution of the proposed test statistic is normal and investigate the finite sample performance by means of a simulation study. We illustrate the use of the proposed test by applying it to stock price data.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44497851","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: 1
Generation of all randomizations using circuits 使用电路生成所有随机化。
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-12-23 DOI: 10.1007/s10463-022-00860-4
Elena Pesce, Fabio Rapallo, Eva Riccomagno, Henry P. Wynn
{"title":"Generation of all randomizations using circuits","authors":"Elena Pesce,&nbsp;Fabio Rapallo,&nbsp;Eva Riccomagno,&nbsp;Henry P. Wynn","doi":"10.1007/s10463-022-00860-4","DOIUrl":"10.1007/s10463-022-00860-4","url":null,"abstract":"<div><p>After a rich history in medicine, randomized control trials (RCTs), both simple and complex, are in increasing use in other areas, such as web-based A/B testing and planning and design of decisions. A main objective of RCTs is to be able to measure parameters, and contrasts in particular, while guarding against biases from hidden confounders. After careful definitions of classical entities such as contrasts, an algebraic method based on circuits is introduced which gives a wide choice of randomization schemes.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-12-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10463-022-00860-4.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9626155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Model averaging for semiparametric varying coefficient quantile regression models 半参数变系数分位数回归模型的模型平均
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-12-22 DOI: 10.1007/s10463-022-00857-z
Zishu Zhan, Yang Li, Yuhong Yang, Cunjie Lin
{"title":"Model averaging for semiparametric varying coefficient quantile regression models","authors":"Zishu Zhan,&nbsp;Yang Li,&nbsp;Yuhong Yang,&nbsp;Cunjie Lin","doi":"10.1007/s10463-022-00857-z","DOIUrl":"10.1007/s10463-022-00857-z","url":null,"abstract":"<div><p>In this study, we propose a model averaging approach to estimating the conditional quantiles based on a set of semiparametric varying coefficient models. Different from existing literature on the subject, we consider a particular form for all candidates, where there is only one varying coefficient in each sub-model, and all the candidates under investigation may be misspecified. We propose a weight choice criterion based on a leave-more-out cross-validation objective function. Moreover, the resulting averaging estimator is more robust against model misspecification due to the weighted coefficients that adjust the relative importance of the varying and constant coefficients for the same predictors. We prove out statistical properties for each sub-model and asymptotic optimality of the weight selection method. Simulation studies show that the proposed procedure has satisfactory prediction accuracy. An analysis of a skin cutaneous melanoma data further supports the merits of the proposed approach.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47825772","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: 1
Slash distributions, generalized convolutions, and extremes 斜线分布，广义卷积和极值
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-12-20 DOI: 10.1007/s10463-022-00858-y
M. Arendarczyk, T. J. Kozubowski, A. K. Panorska
{"title":"Slash distributions, generalized convolutions, and extremes","authors":"M. Arendarczyk,&nbsp;T. J. Kozubowski,&nbsp;A. K. Panorska","doi":"10.1007/s10463-022-00858-y","DOIUrl":"10.1007/s10463-022-00858-y","url":null,"abstract":"<div><p>An <span>(alpha)</span>-slash distribution built upon a random variable <i>X</i> is a heavy tailed distribution corresponding to <span>(Y=X/U^{1/alpha })</span>, where <i>U</i> is standard uniform random variable, independent of <i>X</i>. We point out and explore a connection between <span>(alpha)</span>-slash distributions, which are gaining popularity in statistical practice, and generalized convolutions, which come up in the probability theory as generalizations of the standard concept of the convolution of probability measures and allow for the operation between the measures to be random itself. The stochastic interpretation of Kendall convolution discussed in this work brings this theoretical concept closer to statistical practice, and leads to new results for <span>(alpha)</span>-slash distributions connected with extremes. In particular, we show that the maximum of independent random variables with <span>(alpha)</span>-slash distributions is also a random variable with an <span>(alpha)</span>-slash distribution. Our theoretical results are illustrated by several examples involving standard and novel probability distributions and extremes.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10463-022-00858-y.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42924932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 4
A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity 弱稀疏性下基于稀疏列逆算子的统一精度矩阵估计框架
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-12-08 DOI: 10.1007/s10463-022-00856-0
Zeyu Wu, Cheng Wang, Weidong Liu
{"title":"A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity","authors":"Zeyu Wu,&nbsp;Cheng Wang,&nbsp;Weidong Liu","doi":"10.1007/s10463-022-00856-0","DOIUrl":"10.1007/s10463-022-00856-0","url":null,"abstract":"<div><p>In this paper, we estimate the high-dimensional precision matrix under the weak sparsity condition where many entries are nearly zero. We revisit the sparse column-wise inverse operator estimator and derive its general error bounds under the weak sparsity condition. A unified framework is established to deal with various cases including the heavy-tailed data, the non-paranormal data, and the matrix variate data. These new methods can achieve the same convergence rates as the existing methods and can be implemented efficiently.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10463-022-00856-0.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41927406","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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
Data-driven model selection for same-realization predictions in autoregressive processes 自回归过程中相同实现预测的数据驱动模型选择
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-11-27 DOI: 10.1007/s10463-022-00855-1
Kare Kamila
{"title":"Data-driven model selection for same-realization predictions in autoregressive processes","authors":"Kare Kamila","doi":"10.1007/s10463-022-00855-1","DOIUrl":"10.1007/s10463-022-00855-1","url":null,"abstract":"<div><p>This paper is about the one-step ahead prediction of the future of observations drawn from an infinite-order autoregressive AR(<span>(infty )</span>) process. It aims to design penalties (fully data driven) ensuring that the selected model verifies the efficiency property but in the non-asymptotic framework. We show that the excess risk of the selected estimator enjoys the best bias-variance trade-off over the considered collection. To achieve these results, we needed to overcome the dependence difficulties by following a classical approach which consists in restricting to a set where the empirical covariance matrix is equivalent to the theoretical one. We show that this event happens with probability larger than <span>(1-c_0/n^2)</span> with <span>(c_0&gt;0)</span>. The proposed data-driven criteria are based on the minimization of the penalized criterion akin to the Mallows’s <span>(C_p)</span>.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43492788","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
Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models 错定遍历lsamy驱动随机微分方程模型的自举法
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-11-10 DOI: 10.1007/s10463-022-00854-2
Yuma Uehara
{"title":"Bootstrap method for misspecified ergodic Lévy driven stochastic differential equation models","authors":"Yuma Uehara","doi":"10.1007/s10463-022-00854-2","DOIUrl":"10.1007/s10463-022-00854-2","url":null,"abstract":"<div><p>In this paper, we consider possibly misspecified stochastic differential equation models driven by Lévy processes. Regardless of whether the driving noise is Gaussian or not, Gaussian quasi-likelihood estimator can estimate unknown parameters in the drift and scale coefficients. However, in the misspecified case, the asymptotic distribution of the estimator varies by the correction of the misspecification bias, and consistent estimators for the asymptotic variance proposed in the correctly specified case may lose theoretical validity. As one of its solutions, we propose a bootstrap method for approximating the asymptotic distribution. We show that our bootstrap method theoretically works in both correctly specified case and misspecified case without assuming the precise distribution of the driving noise.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42521981","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
Tests for the existence of group effects and interactions for two-way models with dependent errors 具有相依误差的双向模型的群效应和相互作用的存在性检验
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-10-31 DOI: 10.1007/s10463-022-00853-3
Yuichi Goto, Kotone Suzuki, Xiaofei Xu, Masanobu Taniguchi
{"title":"Tests for the existence of group effects and interactions for two-way models with dependent errors","authors":"Yuichi Goto,&nbsp;Kotone Suzuki,&nbsp;Xiaofei Xu,&nbsp;Masanobu Taniguchi","doi":"10.1007/s10463-022-00853-3","DOIUrl":"10.1007/s10463-022-00853-3","url":null,"abstract":"<div><p>In this paper, we propose tests for the existence of random effects and interactions for two-way models with dependent errors. We prove that the proposed tests are asymptotically distribution-free which have asymptotically size <span>({{tau }})</span> and are consistent. We elucidate the nontrivial power under the local alternative when a sample size tends to infinity and the number of groups is fixed. A simulation study is performed to investigate the finite-sample performance of the proposed tests. In the real data analysis, we apply our tests to the daily log-returns of 24 stock prices from six countries and four sectors. We find that there is no strong evidence to support the existence of substantial differences in the log-return across countries, nor to the existence of interactions between countries and sectors. However, there exists random effect differences in the daily log-return series across different sectors.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43124921","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
Robust estimation for nonrandomly distributed data 非随机分布数据的鲁棒估计
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-10-12 DOI: 10.1007/s10463-022-00852-4
Shaomin Li, Kangning Wang, Yong Xu
{"title":"Robust estimation for nonrandomly distributed data","authors":"Shaomin Li,&nbsp;Kangning Wang,&nbsp;Yong Xu","doi":"10.1007/s10463-022-00852-4","DOIUrl":"10.1007/s10463-022-00852-4","url":null,"abstract":"<div><p>In recent years, many methodologies for distributed data have been developed. However, there are two problems. First, most of these methods require the data to be randomly and uniformly distributed across different machines. Second, the methods are mainly not robust. To solve these problems, we propose a distributed pilot modal regression estimator, which achieves robustness and can adapt when the data are stored nonrandomly. First, we collect a random pilot sample from different machines; then, we approximate the global MR objective function by a communication-efficient surrogate that can be efficiently evaluated by the pilot sample and the local gradients. The final estimator is obtained by minimizing the surrogate function in the master machine, while the other machines only need to calculate their gradients. Theoretical results show the new estimator is asymptotically efficient as the global MR estimator. Simulation studies illustrate the utility of the proposed approach.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41284458","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
Matrix completion under complex survey sampling 复杂调查抽样下的矩阵补全
IF 1 4区 数学
Annals of the Institute of Statistical Mathematics Pub Date : 2022-09-19 DOI: 10.1007/s10463-022-00851-5
Xiaojun Mao, Zhonglei Wang, Shu Yang
{"title":"Matrix completion under complex survey sampling","authors":"Xiaojun Mao,&nbsp;Zhonglei Wang,&nbsp;Shu Yang","doi":"10.1007/s10463-022-00851-5","DOIUrl":"10.1007/s10463-022-00851-5","url":null,"abstract":"<div><p>Multivariate nonresponse is often encountered in complex survey sampling, and simply ignoring it leads to erroneous inference. In this paper, we propose a new matrix completion method for complex survey sampling. Different from existing works either conducting row-wise or column-wise imputation, the data matrix is treated as a whole which allows for exploiting both row and column patterns simultaneously. A column-space-decomposition model is adopted incorporating a low-rank structured matrix for the finite population with easy-to-obtain demographic information as covariates. Besides, we propose a computationally efficient projection strategy to identify the model parameters under complex survey sampling. Then, an augmented inverse probability weighting estimator is used to estimate the parameter of interest, and the corresponding asymptotic upper bound of the estimation error is derived. Simulation studies show that the proposed estimator has a smaller mean squared error than other competitors, and the corresponding variance estimator performs well. The proposed method is applied to assess the health status of the U.S. population.</p></div>","PeriodicalId":55511,"journal":{"name":"Annals of the Institute of Statistical Mathematics","volume":null,"pages":null},"PeriodicalIF":1.0,"publicationDate":"2022-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10465119/pdf/nihms-1875523.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10127028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"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: 1
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