Kernel Density Estimation by Spectral Decomposition: Data-Driven Tapering and Superposition
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Kernel density estimation depends largely on one choice, the smoothing bandwidth. We treat bandwidth selection and density estimation in the characteristic-function domain, where the cyclic group-averaged covariance of the binned data has the squared empirical characteristic function as its spectrum: the true characteristic function sits over a sampling-noise floor of $1/n$, and the bandwidth is the spectral cutoff where the two meet. Several methods follow. An automatic selector strips the floor and minimizes a frequency-domain error criterion, matching the rule of thumb on smooth densities and approaching the best fixed bandwidth on multimodal ones. An adaptive estimator generalizes the fixed kernel to the per-frequency optimal Wiener taper, matching or surpassing the best fixed bandwidth on most standard densities, including sharply peaked and comb-like cases where fixed bandwidths fail; deconvolution under known measurement error follows in the same domain. Because the Wiener estimator resolves sharp structure but does not fit smooth bases as economically as a mixture, a Gaussian mixture is combined with it two ways, a piecewise partition and a superposition of a smooth base and a band-limited residual, the default. A data-driven floor read from the spectrum replaces the assumed $1/n$ floor and stays robust on heaped and rounded data. On the Marron-Wand benchmark scored by exact integrated squared error, the advantage emerges with sample size, a bias-variance tradeoff: the spectral estimators carry low bias but pay in variance, so a corrected Botev plug-in leads at $n=100$ while the Wiener filter and superposition take the top two ranks at $n=5000$. The methods are validated on six real datasets (CRSP returns, NHANES self-reports, CMS dimuon and SDSS spectra, a random-beacon stream, and UNSW-NB15 traffic) and on a synthetic-data quality check. All experiments are reproducible.
异质性高维分位数回归的全局推断
Quantile regression has received considerable attention in high dimensional methodology due to its robustness and ability to accommodate heteroskedasticity. Despite this attention, current inferential methods for high dimensional quantile regression have significant limitations---only testing significance, testing at a single quantile at a time, or assuming homoskedasticity. To generalize the inferences that can be drawn in high dimensional quantile regression, we introduce…
Uniform confidence bands are widely used in empirical analysis for uncertainty qualification of nonparametric inference of unknown functions. A variety of simple implementation methods, including multiplier bootstrap, have been proposed and theoretically justified. However, an implementation over a literally continuous index set is generally computationally infeasible, and practitioners therefore compute the critical value by evaluating the statistic on a finite evaluation…
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
We study nonparametric inference for a continuous-treatment causal dose-response curve and its first derivative under unmeasured confounding, using treatment- and outcome-inducing proxies. We establish a proximal doubly robust pseudo-outcome whose conditional mean given treatment equals the dose-response curve whenever either bridge function is correctly specified. Their (smoothed) efficient influence function representations lead to cross-fitted local-polynomial estimators…
检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
平均处理效应局部化:合成控制中的投影方法
Many real-world policies and business interventions require assessing short-term effects to inform timely decisions, even though most causal inference methods focus on long-term average treatment effects. In this article, we introduce average treatment effect localization (ATEL), which captures localized, short-term policy impacts in panel data settings with a single treated unit and provides early indicators of policy impact. To accommodate both time-varying and nonlinear…