421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
49 papers · 1 filter
Residual permutation test for regression coefficient testing
Kaiyue Wen, Tengyao Wang, Yuhao Wang
We consider the problem of testing whether a single coefficient is equal to zero in linear models when the dimension of covariates can be up to a constant fraction of sample si…
Edge differentially private estimation in the -model via jittering and method of moments
Jinyuan Chang, Qiao Hu, Eric D. Kolaczyk +2
A standing challenge in data privacy is the trade-off between the level of privacy and the efficiency of statistical inference. Here we conduct an in-depth study of this trade-off…
Lattice Conditional Independence Models and Hibi Ideals
Peter Caines, Fatemeh Mohammadi, Eduardo Sáenz de Cabezón +1
Lattice Conditional Independence models are a class of models developed first for the Gaussian case in which a distributive lattice classifies all the conditional independence stat…
Testing exchangeability: fork-convexity, supermartingales, and e-processes
Aaditya Ramdas, Johannes Ruf, Martin Larsson +1
Suppose we observe an infinite series of coin flips , and wish to sequentially test the null that these binary random variables are exchangeable. Nonnegative superm…
Semi-Parametric Estimation of Incubation and Generation Times by Means of Laguerre Polynomials
Alexander Kreiss, Ingrid Van Keilegom
In epidemics many interesting quantities, like the reproduction number, depend on the incubation period (time from infection to symptom onset) and/or the generation time (time unti…
Two-sample testing of high-dimensional linear regression coefficients via complementary sketching
Fengnan Gao, Tengyao Wang
We introduce a new method for two-sample testing of high-dimensional linear regression coefficients without assuming that those coefficients are individually estimable. The procedu…
Admissible anytime-valid sequential inference must rely on nonnegative martingales
Aaditya Ramdas, Johannes Ruf, Martin Larsson +1
Confidence sequences, anytime p-values (called p-processes in this paper), and e-processes all enable sequential inference for composite and nonparametric classes of distributions…
An autocovariance-based learning framework for high-dimensional functional time series
Jinyuan Chang, Cheng Chen, Xinghao Qiao +1
Many scientific and economic applications involve the statistical learning of high-dimensional functional time series, where the number of functional variables is comparable to, or…
A Note on Likelihood Ratio Tests for Models with Latent Variables
Yunxiao Chen, Irini Moustaki, Haoran Zhang
The likelihood ratio test (LRT) is widely used for comparing the relative fit of nested latent variable models. Following Wilks' theorem, the LRT is conducted by comparing the LRT…
Finite Sample Theory for High-Dimensional Functional/Scalar Time Series with Applications
Qin Fang, Shaojun Guo, Xinghao Qiao
Statistical analysis of high-dimensional functional times series arises in various applications. Under this scenario, in addition to the intrinsic infinite-dimensionality of functi…
Normal Approximation for Stochastic Gradient Descent via Non-Asymptotic Rates of Martingale CLT
Andreas Anastasiou, Krishnakumar Balasubramanian, Murat A. Erdogdu
We provide non-asymptotic convergence rates of the Polyak-Ruppert averaged stochastic gradient descent (SGD) to a normal random vector for a class of twice-differentiable test func…
Bregman divergences based on optimal design criteria and simplicial measures of dispersion
Luc Pronzato, Henry Wynn, Anatoly Zhigljavsky
In previous work the authors defined the k-th order simplicial distance between probability distributions which arises naturally from a measure of dispersion based on the squared v…
On sparsity, power-law and clustering properties of graphex processes
François Caron, Francesca Panero, Judith Rousseau
This paper investigates properties of the class of graphs based on exchangeable point processes. We provide asymptotic expressions for the number of edges, number of nodes and degr…
Homogeneity Pursuit in Single Index Models based Panel Data Analysis
Heng Lian, Xinghao Qiao, Wenyang Zhang
Panel data analysis is an important topic in statistics and econometrics. Traditionally, in panel data analysis, all individuals are assumed to share the same unknown parameters, e…
Parameter Estimation for Thurstone Choice Models
Milan Vojnovic, Se-Young Yun
We consider the estimation accuracy of individual strength parameters of a Thurstone choice model when each input observation consists of a choice of one item from a set of two or…
Optimal experimental design that minimizes the width of simultaneous confidence bands
Satoshi Kuriki, Henry P. Wynn
We propose an optimal experimental design for a curvilinear regression model that minimizes the band-width of simultaneous confidence bands. Simultaneous confidence bands for curvi…
Robust inference for threshold regression models
Javier Hidalgo, Jungyoon Lee, Myung Hwan Seo
This paper is concerned with inference in threshold regression models when the practitioners do not know whether at the threshold point the true specification has a kink or a jump.…
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
Stefan Birr, Holger Dette, Marc Hallin +2
The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.
Local M-estimation with Discontinuous Criterion for Dependent and Limited Observations
Myung Hwan Seo, Taisuke Otsu
This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume pre…
Bounds for the normal approximation of the maximum likelihood estimator from m-dependent random variables
Andreas Anastasiou
The asymptotic normality of the Maximum Likelihood Estimator (MLE) is a long established result. Explicit bounds for the distributional distance between the distribution of the MLE…
Central limit theorems for long range dependent spatial linear processes
S. N. Lahiri, Peter M. Robinson
Central limit theorems are established for the sum, over a spatial region, of observations from a linear process on a -dimensional lattice. This region need not be rectangular,…
An extended Generalised Variance, with Applications
Luc Pronzato, Henry Wynn, Anatoly Zhigljavsky
We consider a measure k of dispersion which extends the notion of Wilk's generalised variance, or entropy, for a d-dimensional distribution, and is based on the mean squared vo…
On Convex Least Squares Estimation when the Truth is Linear
Yining Chen, Jon A. Wellner
We prove that the convex least squares estimator (LSE) attains a pointwise rate of convergence in any region where the truth is linear. In addition, the asymptotic distr…
Quantile Spectral Analysis for Locally Stationary Time Series
Stefan Birr, Stanislav Volgushev, Tobias Kley +2
Classical spectral methods are subject to two fundamental limitations: they only can account for covariance-related serial dependencies, and they require second-order stationarity.…