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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood Variable selec- tion
2016/1/26
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/25
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood
2016/1/20
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
CreditRisk Model with Dependent Risk Factors
CreditRisk + model conditional independence dependent risk factors
2016/1/20
The CreditRisk + model is widely used in industry for computing the loss of a credit port-folio. The standard CreditRisk + model assumes independence among a set of common risk factors, a simplified a...
The backbone decomposition for spatially dependent supercritical superprocesses
Superprocesses N-measure backbone decomposition
2016/1/20
Consider any supercritical Galton-Watson process which may become extinct with positive probability. It is a well-understood and intuitively obvious phenomenon that,on the survival set, the process ma...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/20
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
From Feshbach-resonance managed Bose-Einstein condensates to anisotropic universes: Applications of the Ermakov-Pinney equation with time-dependent nonlinearity
Two-dimensional condensate time-varying magnetic confinement scattering wave function ordinary differential equations
2014/12/25
In this work we revisit the topic of two-dimensional Bose–Einstein condensates under the influence of time-dependent magnetic confinement and time-dependent scattering length. A moment approach reduce...
Dynamic Clustering via Asymptotics of the Dependent Dirichlet Process Mixture
Dynamic Clustering Asymptotics Dependent Dirichlet Process Mixture
2013/6/17
This paper presents a novel algorithm, based upon the dependent Dirichlet process mixture model (DDPMM), for clustering batch-sequential data containing an unknown number of evolving clusters. The alg...
Limit theorems for kernel density estimators under dependent samples
Kernel density estimator consistency convergence rate mixing rate
2013/6/14
In this paper, we construct a moment inequality for mixing dependent random variables, it is of independent interest. As applications, the consistency of the kernel density estimation is investigated....
A Semiparametric Estimator for Long-Range Dependent Multivariate Processes
Multivariate processes Long-range dependence Semiparametric estimation VARFIMA processes Asymptotic theory
2013/6/14
In this paper we propose a generalization of a class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter for long-range dependent multivariate time series. We generali...
Adaptive Metropolis-Hastings Sampling using Reversible Dependent Mixture Proposals
Ergodic convergence Markov Chain Monte Carlo Metropolis-within Gibbs composite sampling Multivariatet mixtures Simulated annealing Variational Approx-imation
2013/6/14
This article develops a general-purpose adaptive sampler that approximates the target density by a mixture of multivariate t densities. The adaptive sampler is based on reversible proposal distributio...
Asymptotic Normality of Estimates in Flexible Seasonal Time Series Model with Weak Dependent Error Terms
seasonal time series model local linear estimates consistency and asymptotic
2013/5/2
In this paper we considered a general seasonal time series model with K-dependent and \rambda-dependent errors, which are new concepts of dependence. In this model we derived consistency and asymptoti...
Power of Change-Point Tests for Long-Range Dependent Data
Change-point problems nonparametric change-point tests Wilcoxon two-sample rank test power of test local alternatives asymptotic relativeefficiency of tests long-range dependent data,long memory functional limit theorem
2013/4/28
We investigate the power of the CUSUM test and the Wilcoxon change-point test for a shift in the mean of a process with long-range dependent noise. We derive analytiv formulas for the power of these t...
Generalized Sobol sensitivity indices for dependent variables: numerical methods
Dependent variables Extended basis Greedy algorithm LARS Sensitivity analysis Sobol decomposition
2013/4/28
The hierarchically orthogonal functional decomposition of any measurable function f of a random vector X=(X_1,...,X_p) consists in decomposing f(X) into a sum of increasing dimension functions dependi...
Topic Discovery through Data Dependent and Random Projections
Topic Discovery through Data Dependent and Random Projections
2013/4/27
We present algorithms for topic modeling based on the geometry of cross-document word-frequency patterns. This perspective gains significance under the so called separability condition. This is a cond...