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6 papers · 1 filter
Likelihood Inference in Exponential Families and Directions of Recession
Charles J. Geyer
When in a full exponential family the maximum likelihood estimate (MLE) does not exist, the MLE may exist in the Barndorff-Nielsen completion of the family. We propose a practical…
Rejoinder: One-step sparse estimates in nonconcave penalized likelihood models
Hui Zou, Runze Li
We would like to take this opportunity to thank the discussants for their thoughtful comments and encouragements on our work [arXiv:0808.1012]. The discussants raised a number of i…
Parametric bootstrap approximation to the distribution of EBLUP and related prediction intervals in linear mixed models
Snigdhansu Chatterjee, Partha Lahiri, Huilin Li
Empirical best linear unbiased prediction (EBLUP) method uses a linear mixed model in combining information from different sources of information. This method is particularly usefu…
Composite quantile regression and the oracle Model Selection Theory
Hui Zou, Ming Yuan
Coefficient estimation and variable selection in multiple linear regression is routinely done in the (penalized) least squares (LS) framework. The concept of model selection oracle…
Consistency of cross validation for comparing regression procedures
Yuhong Yang
Theoretical developments on cross validation (CV) have mainly focused on selecting one among a list of finite-dimensional models (e.g., subset or order selection in linear regressi…
Evaluation of Formal posterior distributions via Markov chain arguments
Morris L. Eaton, James P. Hobert, Galin L. Jones +1
We consider evaluation of proper posterior distributions obtained from improper prior distributions. Our context is estimating a bounded function of a parameter when the loss i…