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StarTrek：控制错误发现率的组合变量选择AI 解读

Variable selection on the large-scale networks has been extensively studied in the literature. While most of the existing methods are limited to the local functionals especially the graph edges, this paper focuses on selecting the discrete hub structures of the networks. Specifically, we propose an inferential method, called StarTrek filter, to select the hub nodes with degrees larger than a certain thresholding level in the high-dimensional graphical models and control the…

重印：高维分位数回归的假设检验AI 解读

Quantile regression has been an important analytical tool in econometrics since it was proposed in 1970s. Many advantages make it still popular in the era of big data. This paper focuses on the testing problems of high-dimensional quantile regression, supplementing to robust methods in the literature of high-dimensional hypothesis testing. We first construct a new test statistic based on the quantile regression score function. The new test statistic avoids the inverse…

重印：高维线性中介模型推断及新冠疫情股票反应应用AI 解读

Mediation analysis draws increasing attention in many research areas such as economics, finance and social sciences. In this paper, we propose new statistical inference procedures for high dimensional mediation models, in which both the outcome model and the mediator model are linear with high dimensional mediators. Traditional procedures for mediation analysis cannot be used to make statistical inference for high dimensional linear mediation models due to…

Retire：高维稳健期望分位数回归AI 解读

High-dimensional data can often display heterogeneity due to heteroscedastic variance or inhomogeneous covariate effects. Penalized quantile and expectile regression methods offer useful tools to detect heteroscedasticity in high-dimensional data. The former is computationally challenging due to the non-smooth nature of the check loss, and the latter is sensitive to heavy-tailed error distributions. In this paper, we propose and study (penalized) robust expectile regression…

利用 Fisher 方法增强多因子资产定价模型检验功效AI 解读

Testing multi-factor asset pricing models is instrumental for asset pricing theory and practice. However, due to the accumulation of errors in estimating high-dimensional parameters, traditional quadratic-form tests such as the Wald test perform poorly against the sparse alternative hypothesis, i.e., a few mispriced assets. Fan et al. (2015b) introduced a powerful testing procedure by adding a power enhancement component to the Wald test statistic and proved power…

异步、含噪与高维高频数据的已实现回归AI 解读

We develop regression for high frequency data. This regression is novel in that it can be for both fixed and increasing dimension. Also, the data may have microstructure noise, and observations (trades, or quotes) can be asynchronous, (i.e., the observations do not need to be synchronized across dimensions). As is customary for high-frequency inference methods, we refer to our method as “realized” regression.

广义动态因子模型的推断理论AI 解读

We provide the asymptotic distributional theory for the so-called General or Generalized Dynamic Factor Model (GDFM), laying the foundations for an inferential approach in the GDFM analysis of high-dimensional time series. By exploiting the duality between common shocks and dynamic loadings, we derive the asymptotic distribution and associated standard errors for a class of estimators for common shocks, dynamic loadings, common components, and impulse response functions. We…

用于高维回归分析的非参数Box–Cox模型AI 解读

The mainstream theory for high-dimensional regression assumes that the underlying true model is a low-dimensional linear regression model. On the other hand, a standard technique in regression analysis, even in the traditional low-dimensional setting, is to employ the Box–Cox transformation for reducing anomalies such as non-additivity and heteroscedasticity in linear regression. In this paper, we propose a new high-dimensional regression method based on a nonparametric…

挖掘因子动物园：借助充分代理变量估计潜在因子模型AI 解读

Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the former approach may suffer from the bias while the latter cannot incorporate additional information. We propose to bridge these two approaches while allowing the number of factor proxies to diverge, and hence make the latent factor model…

基于自协方差的高维函数型时间序列学习框架AI 解读

Many scientific and economic applications involve the statistical learning of high-dimensional functional time series, where the number of functional variables is comparable to, or even greater than, the number of serially dependent functional observations. In this paper, we model observed functional time series, which are subject to errors in the sense that each functional datum arises as the sum of two uncorrelated components, one dynamic and one white noise. Motivated…

异质事件发生时间数据的潜在类别 Cox 模型AI 解读

Credit risk plays a vital role in the era of digital finance and it is one of primary interests to identify customers with similar types of risk categories so that personalized financial services can be offered accordingly. Motivated by the bourgeoning need for default risk modeling in finance, we propose herein a latent class Cox model for heterogeneous time-to-event data. The proposed model naturally extends the Cox proportional hazards model to flexibly take into account…

时变最小方差投资组合AI 解读

This paper proposes a new time-varying minimum variance portfolio (TV-MVP) in a large investment universe of assets. Our method extends the existing literature on minimum variance portfolios by allowing for time-varying factor loadings, which facilitates the capture of the dynamics of the covariance structure of asset returns (and hence, the optimal investment strategy in a dynamic setting). We also use a shrinkage estimation method based on a quasi-likelihood function to…

结构变化检测中控制错误发现率的广义Knockoff程序AI 解读

Controlling false discovery rate (FDR) is crucial for variable selection, multiple testing, among other signal detection problems. In literature, there is certainly no shortage of FDR control strategies when selecting individual features, but the relevant works for structural change detection, such as profile analysis for piecewise constant coefficients and integration analysis with multiple data sources, are limited. In this paper, we propose a generalized knockoff…

高频数据中高维噪声协方差矩阵的最优估计AI 解读

We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the random vector are observed at the same time and the measurement errors are latent variables, leading to major challenges besides high data dimensionality. We propose a new covariance matrix estimator in this context with appropriate…

可分度量空间中多个分布的相等性检验：最大均值差异方法AI 解读

A new test for equal distributions of several high-dimensional samples in separable metric spaces, with its test statistic constructed based on maximum mean discrepancy, is proposed and studied. The asymptotic null and alternative distributions of the test statistic are established under some mild conditions. The new test is implemented via a three-cumulant matched chi-square approximation with the associated approximation parameters consistently estimated from the data. A…

超高维投资组合选择的资产拆分算法及其理论性质AI 解读

The presence of a huge number of assets poses challenges to classical portfolio selection algorithms. Constrained l1 minimization approaches have been proposed to directly estimate effective parameters in the optimal portfolio. Linear programming method and alternating direction method of multiplier (ADMM) algorithm is used to solve the corresponding minimization problems. However, these two algorithms may fail due to the limitations of computing time and computing memory…

大型时空自回归的稀疏广义 Yule–Walker 估计：卫星二氧化氮数据应用AI 解读

We consider a high-dimensional model in which variables are observed over time and space. The model consists of a spatio-temporal regression containing a time lag and a spatial lag of the dependent variable. Unlike classical spatial autoregressive models, we do not rely on a predetermined spatial interaction matrix, but infer all spatial interactions from the data. Assuming sparsity, we estimate the spatial and temporal dependence fully data-driven by penalizing a set of…

识别材料基因的算子诱导结构变量选择AI 解读

In the emerging field of materials informatics, a fundamental task is to identify physicochemically meaningful descriptors, or materials genes, which are engineered from primary features and a set of elementary algebraic operators through compositions. Standard practice directly analyzes the high-dimensional candidate predictor space in a linear model; statistical analyses are then substantially hampered by the daunting challenge posed by the astronomically large number of…

利用决策树进行大规模预测AI 解读

This article shows that decision trees constructed with Classification and Regression Trees (CART) and C4.5 methodology are consistent for regression and classification tasks, even when the number of predictor variables grows sub-exponentially with the sample size, under natural 0-norm and 1-norm sparsity constraints. The theory applies to a wide range of models, including (ordinary or logistic) additive regression models with component functions that are continuous, of…

估计孕期空气污染个体化效应的异质分布滞后模型AI 解读

Children’s health studies support an association between maternal environmental exposures and children’s birth outcomes. A common goal is to identify critical windows of susceptibility—periods during gestation with increased association between maternal exposures and a future outcome. The timing of the critical windows and magnitude of the associations are likely heterogeneous across different levels of individual, family, and neighborhood characteristics. Using an…

广义线性模型中均值与离散度的稳健建模及推断AI 解读

Generalized Linear Models (GLMs) are a popular class of regression models when the responses follow a distribution in the exponential family. In real data the variability often deviates from the relation imposed by the exponential family distribution, which results in over- or underdispersion. Dispersion effects may even vary in the data. Such datasets do not follow the traditional GLM distributional assumptions, leading to unreliable inference. Therefore, the family of…

贝叶斯推断中自适应求积的随机收敛速率及应用AI 解读

We provide the first stochastic convergence rates for a family of adaptive quadrature rules used to normalize the posterior distribution in Bayesian models. Our results apply to the uniform relative error in the approximate posterior density, the coverage probabilities of approximate credible sets, and approximate moments and quantiles, therefore, guaranteeing fast asymptotic convergence of approximate summary statistics used in practice. The family of quadrature rules…

通过随机积分检验高维两样本均值相等AI 解读

Testing the equality of the means in two samples is a fundamental statistical inferential problem. Most of the existing methods are based on the sum-of-squares or supremum statistics. They are possibly powerful in some situations, but not in others, and they do not work in a unified way. Using random integration of the difference, we develop a framework that includes and extends many existing methods, especially in high-dimensional settings, without restricting the same…

网络上的系数异质性学习：基于生成树的分布式融合套索回归AI 解读

Identifying the latent cluster structure based on model heterogeneity is a fundamental but challenging task arises in many machine learning applications. In this article, we study the clustered coefficient regression problem in the distributed network systems, where the data are locally collected and held by nodes. Our work aims to improve the regression estimation efficiency by aggregating the neighbors’ information while also identifying the cluster membership for nodes.…