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Parametric Stein operators and variance bounds
Chernoff inequality Cramer-Rao inequality parameter of interest Stein charac-terization Stein’s method
2013/6/17
Stein operators are differential operators which arise within the so-called Stein's method for stochastic approximation. We propose a new mechanism for constructing such operators for arbitrary (conti...
Warped Functional Analysis of Variance
Karhunen–Lo`eve decomposition longitudinal data phasevariability quan-titative genetics random-effect models
2013/4/28
This article presents a functional Analysis of Variance model that explicitly incorporates phase variability through a time-warping component, allowing for a unified and parsimonious approach to estim...
Variance estimation for Brier Score decomposition
Variance estimation Brier Score decomposition
2013/4/28
The Brier Score is a widely-used criterion to assess the quality of probabilistic predictions of binary events. The expectation value of the Brier Score can be decomposed into the sum of three compone...
Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Corrected portmanteau tests for VAR models with time-varying variance
VAR model Unconditionally heteroscedastic errors Residual autocorrelations Portmanteau tests
2011/6/20
The problem of test of fit for Vector AutoRegressive (VAR) processes
with unconditionally heteroscedastic errors is studied. The volatility structure is
deterministic but time-varying and allows for...
Weyl Chambers, Symmetric Spaces and Number Variance Saturation
Symmetric Spaces Number Variance Saturation
2009/6/12
Weyl Chambers, Symmetric Spaces and Number Variance Saturation.
Diffusive variance for a tagged particle in d<3 asymmetric simple exclusion
diffusive variance tagged particle asymmetric simple exclusion
2009/6/12
Diffusive variance for a tagged particle in d<3 asymmetric simple exclusion.
Strong Approximation for Mixing Sequences with Infinite Variance
mixing sequence domain of attraction of the normal law truncation blocking
2009/4/22
In this paper we prove a strong approximation result for a mixing sequence with infinite variance and logarithmic decay rate of the mixing coefficient. The result is proved under the assumption that t...