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部分一致调参下自适应 Lasso 的一致渐近与置信区域AI 解读

We consider the adaptive Lasso estimator with componentwise tuning in the framework of a low-dimensional linear regression model. In our setting, at least one of the components is penalized at the rate of consistent model selection and certain components may not be penalized at all. We perform a detailed study of the consistency properties and the asymptotic distribution which includes the effects of componentwise tuning within a so-called moving-parameter framework. These…

《流式纵向数据的统计推断》讨论回复AI 解读

We thank the editorial board for organizing this discussion and giving us the opportunity to explore experts’ perspectives on our work. We sincerely appreciate the discussants for their insightful contributions, which have raised many important points and provided suggestions for potential improvements and generalizations of our proposed method. In this rejoinder, we primarily focus on three important aspects raised by the discussants: (i) the role of the weighting parameter…

对《流式纵向数据的统计推断》的讨论AI 解读

We congratulate the authors for their contributions to statistical analysis for streamed longitudinal data. Streamed data occur frequently in many modern biomedical areas such as mobile health, drawing increasing attention in recent years. Luo et al. (2023) developed a new statistical inference framework for streamed longitudinal data via the quadratic inference function approach. The proposed method avoids retrospective calculations using the individual-level data in the…

混合效应模型下应对选择偏差的软校准AI 解读

Abstract Calibration weighting has been widely used to correct selection biases in nonprobability sampling, missing data and causal inference. The main idea is to calibrate the biased sample to the benchmark by adjusting the subject weights. However, hard calibration can produce enormous weights when an exact calibration is enforced on a large set of extraneous covariates. This article proposes a soft calibration scheme, where the outcome and the selection indicator follow…

基于高频金融数据的大型波动率矩阵自适应稳健估计AI 解读

Several novel statistical methods have been developed to estimate large integrated volatility matrices based on high-frequency financial data. To investigate their asymptotic behaviors, they require a sub-Gaussian or finite high-order moment assumption for observed log-returns, which cannot account for the heavy-tail phenomenon of stock-returns. Recently, a robust estimator was developed to handle heavy-tailed distributions with some bounded fourth-moment assumption.…

高维半参数高斯 Copula 向量自回归模型的估计与推断AI 解读

This paper develops simple, robust estimation and inference methods for the transition matrix of a high-dimensional semiparametric Gaussian copula vector autoregressive process. Our estimator is based on rank estimators of the large variance and auto-covariance matrices of a transformed latent high-dimensional Gaussian process. We derive rates of convergence of our estimator based on which we develop de-biased inference for Granger causality. Numerical results demonstrate…

识别间歇性的收益可预测性AI 解读

Return predictability has been one of the central research questions in finance for many decades. This paper proposes a predictive regression with multiple structural changes to capture the sporadic predictive ability of potential predictors for the return series. An adaptive group Lasso procedure, augmented with a forward regression for break screening, is adopted to efficiently and consistently identify the structural breaks in the predictive regression, with predictors…

容纳风险估计中的时变异质性：Cox 模型下的迁移学习AI 解读

Transfer learning has attracted increasing attention in recent years for adaptively borrowing information across different data cohorts in various settings. Cancer registries have been widely used in clinical research because of their easy accessibility and large sample size. Our method is motivated by the question of how to utilize cancer registry data as a complement to improve the estimation precision of individual risks of death for inflammatory breast cancer (IBC)…

利用提升式离散时间竞争风险模型分析老年患者术后死亡AI 解读

Elderly patients are at a high risk of suffering from postoperative death. Personalized strategies to improve their recovery after intervention are therefore urgently needed. A popular way to analyze postoperative mortality is to develop a prognostic model that incorporates risk factors measured at hospital admission, for example, comorbidities. When building such models, numerous issues must be addressed, including censoring and the presence of competing events (such as…

低秩高维向量自回归模型的多重变点检测AI 解读

We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structure. We first address the problem of detecting a single change point using an exhaustive search algorithm and establish a finite sample error bound for its accuracy. Next, we extend the results to the case of multiple change points that can grow as a function of the sample size. Their detection is…

用于变量选择的可逆跳跃分段确定性马尔可夫过程采样器AI 解读

A new class of Markov chain Monte Carlo (MCMC) algorithms, based on simulating piecewise deterministic Markov processes (PDMPs), has recently shown great promise: they are nonreversible, can mix better than standard MCMC algorithms, and can use subsampling ideas to speed up computation in big data scenarios. However, current PDMP samplers can only sample from posterior densities that are differentiable almost everywhere, which precludes their use for model choice. Motivated…

良性过拟合与含噪特征AI 解读

Modern machine learning models often exhibit the benign overfitting phenomenon, which has recently been characterized using the double descent curves. In addition to the classical U-shaped learning curve, the learning risk undergoes another descent as we increase the number of parameters beyond a certain threshold. In this article, we examine the conditions under which benign overfitting occurs in the random feature (RF) models, that is, in a two-layer neural network with…

合成似然贝叶斯推断：渐近性质与调整AI 解读

Implementing Bayesian inference is often computationally challenging in complex models, especially when calculating the likelihood is difficult. Synthetic likelihood is one approach for carrying out inference when the likelihood is intractable, but it is straightforward to simulate from the model. The method constructs an approximate likelihood by taking a vector summary statistic as being multivariate normal, with the unknown mean and covariance estimated by simulation.…

高维生存数据的秩驱动贪心模型平均AI 解读

Model averaging is an effective way to enhance prediction accuracy. However, most previous works focus on low-dimensional settings with completely observed responses. To attain an accurate prediction for the risk effect of survival data with high-dimensional predictors, we propose a novel method: rank-based greedy (RG) model averaging. Specifically, adopting the transformation model with splitting predictors as working models, we doubly use the smooth concordance index…

高维广义线性模型下的迁移学习AI 解读

In this work, we study the transfer learning problem under high-dimensional generalized linear models (GLMs), which aim to improve the fit on target data by borrowing information from useful source data. Given which sources to transfer, we propose a transfer learning algorithm on GLM, and derive its l1/l2-estimation error bounds as well as a bound for a prediction error measure. The theoretical analysis shows that when the target and sources are sufficiently close to each…

分而治之：大规模时间序列的分布式层级因子建模AI 解读

This paper proposes a hierarchical approximate-factor approach to analyzing high-dimensional, large-scale heterogeneous time series data using distributed computing. The new method employs a multiple-fold dimension reduction procedure using Principal Component Analysis (PCA) and shows great promises for modeling large-scale data that cannot be stored nor analyzed by a single machine. Each computer at the basic level performs a PCA to extract common factors among the time…

矩阵值数据的协方差估计AI 解读

Covariance estimation for matrix-valued data has received an increasing interest in applications. Unlike previous works that rely heavily on matrix normal distribution assumption and the requirement of fixed matrix size, we propose a class of distribution-free regularized covariance estimation methods for high-dimensional matrix data under a separability condition and a bandable covariance structure. Under these conditions, the original covariance matrix is decomposed into a…

高维均值向量与协方差矩阵的功效增强联合检验及基因集应用AI 解读

Power-enhanced tests with high-dimensional data have received growing attention in theoretical and applied statistics in recent years. Existing tests possess their respective high-power regions, and we may lack prior knowledge about the alternatives when testing for a problem of interest in practice. There is a critical need of developing powerful testing procedures against more general alternatives. This article studies the joint test of two-sample mean vectors and…

控制错误发现率的无模型条件特征筛选AI 解读

In this article, we propose a model-free conditional feature screening method with false discovery rate (FDR) control for ultra-high dimensional data. The proposed method is built upon a new measure of conditional independence. Thus, the new method does not require a specific functional form of the regression function and is robust to heavy-tailed responses and predictors. The variables to be conditional on are allowed to be multivariate. The proposed method enjoys sure…

以先验预条件共轭梯度法加速大样本高维贝叶斯稀疏回归的 Gibbs 抽样AI 解读

In a modern observational study based on healthcare databases, the number of observations and of predictors typically range in the order of 10^{5}-10^{6} and of 10^{4}-10^{5}. Despite the large sample size, data rarely provide sufficient information to reliably estimate such a large number of parameters. Sparse regression techniques provide potential solutions, one notable approach being the Bayesian method based on shrinkage priors. In the "large n and large p" setting,…

高维稀疏降秩 Huber 回归AI 解读

We propose a sparse reduced rank Huber regression for analyzing large and complex high-dimensional data with heavy-tailed random noise. The proposed method is based on a convex relaxation of a rank- and sparsity-constrained nonconvex optimization problem, which is then solved using a block coordinate descent and an alternating direction method of multipliers algorithm. We establish nonasymptotic estimation error bounds under both Frobenius and nuclear norms in the…

过参数化单指标模型中的隐式正则化AI 解读

In this paper, we leverage over-parameterization to design regularization-free algorithms for the high-dimensional single index model and provide theoretical guarantees for the induced implicit regularization phenomenon. Specifically, we study both vector and matrix single index models where the link function is nonlinear and unknown, the signal parameter is either a sparse vector or a low-rank symmetric matrix, and the response variable can be heavy-tailed. To gain a better…

企业违约概率：单指标风险率模型方法AI 解读

Corporate probability of default (PD) prediction is vitally important for risk management and asset pricing. In search of accurate PD prediction, we propose a flexible yet easy-to-interpret default-prediction single-index hazard model (DSI). By applying it to a comprehensive U.S. corporate bankruptcy database we constructed, we discover an interesting V-shaped relationship, indicating a violation of the common linear hazard specification. Most importantly, the single-index…

Google 数据何时有助于 GDP 即时预测？预筛选与收缩方法AI 解读

Alternative datasets are widely used for macroeconomic nowcasting together with machine learning–based tools. The latter are often applied without a complete picture of their theoretical nowcasting properties. Against this background, this article proposes a theoretically grounded nowcasting methodology that allows researchers to incorporate alternative Google Search Data (GSD) among the predictors and that combines targeted preselection, Ridge regularization, and…