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Two-step estimation of high dimensional additive models
additive model group Lasso penalized least squares.
2012/9/19
This paper investigates the two-step estimation of a high dimensional additive regression model, in which the number of nonparametric additive components is potentially larger than the sample size but...
Approaches for Multi-step Density Forecasts with Application to Aggregated Wind Power
Non-Gaussian time series logistic transformation exponentialsmoothing truncated normal distribution ARIMA-GARCH model
2010/3/11
The generation of multi-step density forecasts for non-Gaussian
data mostly relies on Monte-Carlo simulations which are computa-
tionally intensive. Using aggregated wind power in Ireland, we study
...
Robust Independent Component Analysis by Iterative Maximization of the Kurtosis Contrast with Algebraic Optimal Step Size
Atrial fibrillation (AF) blind source separation (BSS) independent component analysis (ICA) iterative optimization kurtosis
2010/3/10
Independent component analysis (ICA) aims at decomposing an observed random vector into
statistically independent variables. Deflation-based implementations, such as the popular one-unit FastICA algo...
Exact calculation of false discovery rate for step-up and step-down procedures
False Discovery Rate multiple testing step-up procedure positive correlations Power equicorrelated multivariate normal distribution
2010/3/10
We derive exact formulas for the false discovery rate (FDR) and
the Power of any step-up and step-down procedures and for the s-
th moment of the false discovery proportion (FDP) of any step-up
pro...
A note on weak convergence of random step processes
Weak convergence of semimartingales diffusion process
2010/4/26
First, sufficient conditions are given for a triangular array of random vectors such that the sequence of related random step functions converges towards a (not necessarily time homogeneous) diffusion...
Laws of large numbers on simply connected step 2-nilpotent Lie groups
Laws of large numbers step 2-nilpotent Lie groups
2009/9/22
The Strong Law of Large Numbers due to Marcinkiewicz
and Zygmund is carried over to simply connected step 2-nilpotent
Lie groups. Moreover, for such groups, we prove analogues of the
classical theo...
An adaptive step-down procedure with proven FDR control under independence
Multiple testing false discovery rate
2010/3/19
In this work we study an adaptive step-down procedure for testing
m hypotheses. It stems from the repeated use of the false discovery
rate controlling the linear step-up procedure (sometimes called
...
One-step sparse estimates in nonconcave penalized likelihood models
AIC BIC LASSO one-step estimator oracle properties SCAD
2010/4/30
Fan and Li propose a family of variable selection methods via penalized
likelihood using concave penalty functions. The nonconcave
penalized likelihood estimators enjoy the oracle properties, but ma...
Discussion: One-step sparse estimates in nonconcave penalized likelihood models
Discussion One-step sparse estimates nonconcave penalized likelihood models
2010/4/30
Hui Zou and Runze Li ought to be congratulated for their nice and interesting
work which presents a variety of ideas and insights in statistical
methodology, computing and asymptotics.
We agree wit...
Discussion：One-step sparse estimates in nonconcave penalized likelihood models：Who cares if it is a white cat or a black Cat?
One-step sparse estimates nonconcave penalized likelihood models
2010/4/30
An insider’s minor comments. Section 2.3 seems to be the reason
that I am a discussant. There, it was first stated that the proposed LLA
algorithm is an instance of the MM algorithm, as termed by La...
Rejoinder：One-step sparse estimates in nonconcave penalized likelihood models
Rejoinder One-step sparse estimates nonconcave penalized likelihood models
2010/4/30
We would like to take this opportunity to thank the discussants
for their thoughtful comments and encouragements on our work. The
discussants raised a number of issues from theoretical as well as co...