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Construction of sliced space-ˉlling designs based on balanced sliced orthogonal arrays
Balanced computer experiment difference matrix Latin hypercube design
2016/1/20
Latin hypercube designs have been widely used in computer experiments with quantitative factors. When there are both qualitative and quantitative fac-tors in computer experiments, sliced space-filling...
Testing Covariates in High Dimensional Regression
Generalized Linear Model High Dimensional Data Hypothe- ses Testing Paid Search Advertising Partial Covariance
2016/1/20
In a high dimensional linear regression model, we propose a new procedure for testing statistical significance of a subset of regression coefficients. Specifically,we employ the partial covariances be...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Testing Additive Separability of Error Term in Nonparametric Structural Models
Additive Separability Hypotheses Testing Nonparametric Structural Equation
2016/1/20
This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively.We...
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Nonlinearity Nonparametric regression Semiparametric regression Local mono- tonicity Bagging
2016/1/20
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang(2001). Asymptotic properties of ...
On Implied Volatility for Options – Some Reasons to Smile and More to Correct
Bias correction Implied volatility Kernel estimator Pricing errors
2016/1/20
We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in...
Testing the statistical significance of an ultra-high-dimensional naïve Bayes classfier
Binary Predictor Hypothesis Testing Na?ve Bayes Supervised Learning
2016/1/20
The na?ve Bayes approach is one of the most popular methods used for classi?cation. Nevertheless, how to test its statistical signi?cance under an ultra-high-dimensional(UHD) setup is not well underst...
Weak extinction versus global exponential growth of total mass for superdi usions corresponding to the operator Lu + βu − ku2
superdiffusion superprocess measure-valued process gauge theorem Kato class growth bound principal eigenvalue
2016/1/20
Consider a superdiffusion X on R d corresponding to the semilinear operator A(u) = Lu + βu − ku 2 , where L is a second order elliptic operator, β(·) is in the Kato class and bounded from above,...
Small Value Probabilities for Supercritical Branching Processes with Immigration
Supercritical Galton-Watson branching process small value probability immigration
2016/1/20
We consider a supercritical Galton-Watson branching process with immigration. It is well known that under suitable conditions on the offspring and immigration distributions, there is a finite,strictly...
On Pattern Recovery of The Fused Lasso
Fused Lasso Non-asymptotic Pattern recovery Preconditioning
2016/1/20
We study the property of the Fused Lasso Signal Approximator(FLSA) for estimating a blocky signal sequence with additive noise.We transform the FLSA to an ordinary Lasso problem. By studying the prope...
Bessel Processes, Stochastic Volatility, and Timer Options
Bessel Processes Stochastic Volatility Timer Options
2016/1/20
Motivated by analytical valuation of timer options (an important innovation in realized variance based derivatives), we explore their novel mathematical connection with stochastic volatility and Besse...
On a Principal Varying Coefficient Model
local linear estimator L 1 -penalty principal function pro- file least-squares estimation semi-varying coefficient model
2016/1/20
We propose a novel varying coefficient model, called princi-pal varying coefficient model (PVCM), by characterizing the varying coeffi-cients through linear combinations of a few principal functions. ...
Preconditioning to Comply with the Irrepresentable Condition
Preconditioning Lasso Sign consistency
2016/1/20
Preconditioning is a technique from numerical linear algebra that can accelerate algorithms to solve systems of equations. In this pa-per, we demonstrate how preconditioning can circumvent a stringent...
On the eigenfunctions of the complex Ornstein-Uhlenbeck operators
eigenfunctions complex Ornstein-Uhlenbeck operators
2016/1/20
Starting from the 1-dimensional complex-valued Ornstein-Uhlenbeck process, we present two natural ways to imply the associated eigenfunctions of the 2-dimensional normal Ornstein-Uhlenbeck operators i...
Multitype Branching Brownian Motion and Traveling Waves
Multitype branching Brownian motion Spine approach Ad- ditive martingale Traveling wave solution
2016/1/20
This article studies the parabolic system of equations which is closely related to multitype branching Brownian motion. Particular attention is paid to the monotone traveling wave solutions of this sy...