Asymptotic properties of penalized spline estimators in concave extended linear models: Rates of convergence
凹扩展线性模型中惩罚样条估计量的渐近性质:收敛速率AI 解读 ↓
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凹扩展线性模型中惩罚样条估计量的渐近性质:收敛速率AI 解读 ↓
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This paper develops a general theory on rates of convergence of penalized spline estimators for function estimation when the likelihood functional is concave in candidate functions, where the likelihood is interpreted in a broad sense that includes conditional likelihood, quasi-likelihood and pseudo-likelihood. The theory allows all feasible combinations of the spline degree, the penalty order and the smoothness of the unknown functions. According to this theory, the asymptotic behaviors of the penalized spline estimators depends on interplay between the spline knot number and the penalty parameter. The general theory is applied to obtain results in a variety of contexts, including regression, generalized regression such as logistic regression and Poisson regression, density estimation, conditional hazard function estimation for censored data, quantile regression, diffusion function estimation for a diffusion type process and estimation of spectral density function of a stationary time series. For multidimensional function estimation, the theory (presented in the Supplementary Material) covers both penalized tensor product splines and penalized bivariate splines on triangulations.
凹扩展线性模型中惩罚样条估计量的渐近性质:收敛速度
This paper develops a general theory on rates of convergence of penalized spline estimators for function estimation when the likelihood functional is concave in candidate functions, where the likelihood is interpreted in a broad sense that includes conditional likelihood, quasi-likelihood, and pseudo-likelihood. The theory allows all feasible combinations of the spline degree, the penalty order, and the smoothness of the unknown functions. According to this theory, the…
XMSE 感知的自适应经验贝叶斯估计
Empirical Bayes (EB) estimators can match the first-order asymptotic risk of maximum likelihood (ML) while behaving very differently at second order: recent excess mean squared error (XMSE) analysis shows that kernel-based EB estimation may be worse than ML when the kernel is poorly aligned with the true parameter. This paper turns that diagnostic into a design principle. We propose an XMSE-aware mixed estimator that interpolates between ML and EB shrinkage. Its fixed-weight…
使用非线性筛方法推断时间序列非参数条件矩限制
This paper studies estimation of and inference on dynamic nonparametric conditional moment restrictions of high dimensional variables for weakly dependent data, where the unknown functions of endogenous variables can be approximated via nonlinear sieves such as neural networks and Gaussian radial bases. The true unknown functions and their sieve approximations are allowed to be in general weighted function spaces with unbounded supports, which is important for time series…
通过拟限制最大似然高效选择非参数马尔可夫转换模型的平滑程度
Markov-switching models are powerful tools that allow capturing complex patterns from time series data driven by latent states. Recent work has highlighted the benefits of estimating components of these models nonparametrically, enhancing their flexibility and reducing biases, which in turn can improve state decoding, forecasting, and overall inference. Formulating such models using penalized splines is straightforward, but practically feasible methods for a data-driven…
使用一般筛法推断时间序列非参数条件矩约束
General nonlinear sieve learnings are classes of nonlinear sieves that can approximate nonlinear functions of high dimensional variables much more flexibly than various linear sieves (or series). This paper considers general nonlinear sieve quasi-likelihood ratio (GN-QLR) based inference on expectation functionals of time series data, where the functionals of interest are based on some nonparametric function that satisfy conditional moment restrictions and are learned using…
高维数据下的非可分模型
This paper studies non-separable models with a continuous treatment when the dimension of the control variables is high and potentially larger than the effective sample size. We propose a three-step estimation procedure to estimate the average, quantile, and marginal treatment effects. In the first stage we estimate the conditional mean, distribution, and density objects by penalized local least squares, penalized local maximum likelihood estimation, and numerical…