WebIn this work, we propose a Bayesian methodology to make inferences for the memory parameter and other characteristics under non-standard assumptions for a class of stochastic processes. This class generalizes the Gamma-modulated process, with trajectories that exhibit long memory behavior, as well as decreasing variability as time … WebIn the field of high-dimensional statistical inference more generally, uncertainty quantification has become a major theme over the last decade, originating with influential work on the debiased Lasso in (generalized) linear models (Javanmard and Montanari 2014; van de Geer et al. 2014; Zhang and Zhang 2014), and subsequently developed in other ...
Inference in High-dimensional Online Changepoint Detection
WebBy dealing with strong and weak signals separately, our work combines sparse regression techniques with Stein estimation to build an honest and adaptive confidence set in high-dimensional regression. Corollaries 3 and 4 provide theoretical guarantees for the use of popular sparse regression methods, lasso and MCP, in our two-step method. WebIn this work, we study high-dimensional varying-coefficient quantile regression models and develop new tools for statistical inference. We focus on development of valid confidence intervals and honest tests for nonparametric coefficients at a fixed time point and quantile, while allowing for a high-dimensional setting where the number of input ... flink components
High-dimensional inference in misspecified linear models - Project …
WebSpringer Nature 2024 LATEX template Statistical Inference and Large-scale Multiple Testing for High-dimensional Regression Models T. Tony Cai1, Zijian Guo2 and Yin … WebAbstract Linear regression models with stationary errors are well studied but the non-stationary assumption is more realistic in practice. An estimation and inference procedure for high-dimensional... WebHigh-Dimensional Methods and Inference on Structural and Treatment Effects† Alexandre Belloni is Associate Professor of Decision Sciences, Fuqua School of Business, Duke … flink compress