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Annals of Statistics

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https://www.readbyqxmd.com/read/29942099/are-discoveries-spurious-distributions-of-maximum-spurious-correlations-and-their-applications
#1
Jianqing Fan, Qi-Man Shao, Wen-Xin Zhou
Over the last two decades, many exciting variable selection methods have been developed for finding a small group of covariates that are associated with the response from a large pool. Can the discoveries by such data mining approaches be spurious due to high dimensionality and limited sample size? Can our fundamental assumptions on exogeneity of covariates needed for such variable selection be validated with the data? To answer these questions, we need to derive the distributions of the maximum spurious correlations given certain number of predictors, namely, the distribution of the correlation of a response variable Y with the best s linear combinations of p covariates X , even when X and Y are independent...
June 2018: Annals of Statistics
https://www.readbyqxmd.com/read/29805186/high-dimensional-a-learning-for-optimal-dynamic-treatment-regimes
#2
Chengchun Shi, Alin Fan, Rui Song, Wenbin Lu
Precision medicine is a medical paradigm that focuses on finding the most effective treatment decision based on individual patient information. For many complex diseases, such as cancer, treatment decisions need to be tailored over time according to patients' responses to previous treatments. Such an adaptive strategy is referred as a dynamic treatment regime. A major challenge in deriving an optimal dynamic treatment regime arises when an extraordinary large number of prognostic factors, such as patient's genetic information, demographic characteristics, medical history and clinical measurements over time are available, but not all of them are necessary for making treatment decision...
June 2018: Annals of Statistics
https://www.readbyqxmd.com/read/29930436/i-lamm-for-sparse-learning-simultaneous-control-of-algorithmic-complexity-and-statistical-error
#3
Jianqing Fan, Han Liu, Qiang Sun, Tong Zhang
We propose a computational framework named iterative local adaptive majorize-minimization (I-LAMM) to simultaneously control algorithmic complexity and statistical error when fitting high dimensional models. I-LAMM is a two-stage algorithmic implementation of the local linear approximation to a family of folded concave penalized quasi-likelihood. The first stage solves a convex program with a crude precision tolerance to obtain a coarse initial estimator, which is further refined in the second stage by iteratively solving a sequence of convex programs with smaller precision tolerances...
April 2018: Annals of Statistics
https://www.readbyqxmd.com/read/29581648/chernoff-index-for-cox-test-of-separate-parametric-families
#4
Xiaoou Li, Jingchen Liu, Zhiliang Ying
The asymptotic efficiency of a generalized likelihood ratio test proposed by Cox is studied under the large deviations framework for error probabilities developed by Chernoff. In particular, two separate parametric families of hypotheses are considered (Cox, 1961, 1962). The significance level is set such that the maximal type I and type II error probabilities for the generalized likelihood ratio test decay exponentially fast with the same rate. We derive the analytic form of such a rate that is also known as the Chernoff index (Chernoff, 1952), a relative efficiency measure when there is no preference between the null and the alternative hypotheses...
February 2018: Annals of Statistics
https://www.readbyqxmd.com/read/28835726/asymptotics-of-empirical-eigenstructure-for-high-dimensional-spiked-covariance
#5
Weichen Wang, Jianqing Fan
We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the magnitude of spiked eigenvalues, sample size, and dimensionality. This regime allows high dimensionality and diverging eigenvalues and provides new insights into the roles that the leading eigenvalues, sample size, and dimensionality play in principal component analysis. Our results are a natural extension of those in Paul (2007) to a more general setting and solve the rates of convergence problems in Shen et al...
June 2017: Annals of Statistics
https://www.readbyqxmd.com/read/28757664/mimicking-counterfactual-outcomes-to-estimate-causal-effects
#6
Judith J Lok
In observational studies, treatment may be adapted to covariates at several times without a fixed protocol, in continuous time. Treatment influences covariates, which influence treatment, which influences covariates, and so on. Then even time-dependent Cox-models cannot be used to estimate the net treatment effect. Structural nested models have been applied in this setting. Structural nested models are based on counterfactuals: the outcome a person would have had had treatment been withheld after a certain time...
April 2017: Annals of Statistics
https://www.readbyqxmd.com/read/29398733/targeted-sequential-design-for-targeted-learning-inference-of-the-optimal-treatment-rule-and-its-mean-reward
#7
Antoine Chambaz, Wenjing Zheng, Mark J van der Laan
This article studies the targeted sequential inference of an optimal treatment rule (TR) and its mean reward in the non-exceptional case, i.e. , assuming that there is no stratum of the baseline covariates where treatment is neither beneficial nor harmful, and under a companion margin assumption. Our pivotal estimator, whose definition hinges on the targeted minimum loss estimation (TMLE) principle, actually infers the mean reward under the current estimate of the optimal TR. This data-adaptive statistical parameter is worthy of interest on its own...
2017: Annals of Statistics
https://www.readbyqxmd.com/read/29353943/nonparametric-goodness-of-fit-tests-for-uniform-stochastic-ordering
#8
Chuan-Fa Tang, Dewei Wang, Joshua M Tebbs
We propose Lp distance-based goodness-of-fit (GOF) tests for uniform stochastic ordering with two continuous distributions F and G , both of which are unknown. Our tests are motivated by the fact that when F and G are uniformly stochastically ordered, the ordinal dominance curve R = FG -1 is star-shaped. We derive asymptotic distributions and prove that our testing procedure has a unique least favorable configuration of F and G for p ∈ [1,∞]. We use simulation to assess finite-sample performance and demonstrate that a modified, one-sample version of our procedure (e...
2017: Annals of Statistics
https://www.readbyqxmd.com/read/29332971/tensor-decompositions-and-sparse-log-linear-models
#9
James E Johndrow, Anirban Bhattacharya, David B Dunson
Contingency table analysis routinely relies on log-linear models, with latent structure analysis providing a common alternative. Latent structure models lead to a reduced rank tensor factorization of the probability mass function for multivariate categorical data, while log-linear models achieve dimensionality reduction through sparsity. Little is known about the relationship between these notions of dimensionality reduction in the two paradigms. We derive several results relating the support of a log-linear model to nonnegative ranks of the associated probability tensor...
2017: Annals of Statistics
https://www.readbyqxmd.com/read/28919652/causal-inference-with-a-graphical-hierarchy-of-interventions
#10
Ilya Shpitser, Eric Tchetgen Tchetgen
Identifying causal parameters from observational data is fraught with subtleties due to the issues of selection bias and confounding. In addition, more complex questions of interest, such as effects of treatment on the treated and mediated effects may not always be identified even in data where treatment assignment is known and under investigator control, or may be identified under one causal model but not another. Increasingly complex effects of interest, coupled with a diversity of causal models in use resulted in a fragmented view of identification...
December 2016: Annals of Statistics
https://www.readbyqxmd.com/read/28428647/a-partially-linear-framework-for-massive-heterogeneous-data
#11
Tianqi Zhao, Guang Cheng, Han Liu
We consider a partially linear framework for modelling massive heterogeneous data. The major goal is to extract common features across all sub-populations while exploring heterogeneity of each sub-population. In particular, we propose an aggregation type estimator for the commonality parameter that possesses the (non-asymptotic) minimax optimal bound and asymptotic distribution as if there were no heterogeneity. This oracular result holds when the number of sub-populations does not grow too fast. A plug-in estimator for the heterogeneity parameter is further constructed, and shown to possess the asymptotic distribution as if the commonality information were available...
August 2016: Annals of Statistics
https://www.readbyqxmd.com/read/29527068/semiparametric-efficient-estimation-for-shared-frailty-models-with-doubly-censored-clustered-data
#12
Yu-Ru Su, Jane-Ling Wang
In this paper, we investigate frailty models for clustered survival data that are subject to both left- and right-censoring, termed "doubly-censored data". This model extends current survival literature by broadening the application of frailty models from right-censoring to a more complicated situation with additional left censoring. Our approach is motivated by a recent Hepatitis B study where the sample consists of families. We adopt a likelihood approach that aims at the nonparametric maximum likelihood estimators (NPMLE)...
June 2016: Annals of Statistics
https://www.readbyqxmd.com/read/27340305/optimal-designs-for-comparing-curves
#13
Holger Dette, Kirsten Schorning
We consider the optimal design problem for a comparison of two regression curves, which is used to establish the similarity between the dose response relationships of two groups. An optimal pair of designs minimizes the width of the confidence band for the difference between the two regression functions. Optimal design theory (equivalence theorems, efficiency bounds) is developed for this non standard design problem and for some commonly used dose response models optimal designs are found explicitly. The results are illustrated in several examples modeling dose response relationships...
June 2016: Annals of Statistics
https://www.readbyqxmd.com/read/27141126/global-solutions-to-folded-concave-penalized-nonconvex-learning
#14
Hongcheng Liu, Tao Yao, Runze Li
This paper is concerned with solving nonconvex learning problems with folded concave penalty. Despite that their global solutions entail desirable statistical properties, there lack optimization techniques that guarantee global optimality in a general setting. In this paper, we show that a class of nonconvex learning problems are equivalent to general quadratic programs. This equivalence facilitates us in developing mixed integer linear programming reformulations, which admit finite algorithms that find a provably global optimal solution...
April 2016: Annals of Statistics
https://www.readbyqxmd.com/read/27041778/optimal-shrinkage-estimation-of-mean-parameters-in-family-of-distributions-with-quadratic-variance
#15
Xianchao Xie, S C Kou, Lawrence Brown
This paper discusses the simultaneous inference of mean parameters in a family of distributions with quadratic variance function. We first introduce a class of semi-parametric/parametric shrinkage estimators and establish their asymptotic optimality properties. Two specific cases, the location-scale family and the natural exponential family with quadratic variance function, are then studied in detail. We conduct a comprehensive simulation study to compare the performance of the proposed methods with existing shrinkage estimators...
March 1, 2016: Annals of Statistics
https://www.readbyqxmd.com/read/27340304/optimal-designs-in-regression-with-correlated-errors
#16
Holger Dette, Andrey Pepelyshev, Anatoly Zhigljavsky
This paper discusses the problem of determining optimal designs for regression models, when the observations are dependent and taken on an interval. A complete solution of this challenging optimal design problem is given for a broad class of regression models and covariance kernels. We propose a class of estimators which are only slightly more complicated than the ordinary least-squares estimators. We then demonstrate that we can design the experiments, such that asymptotically the new estimators achieve the same precision as the best linear unbiased estimator computed for the whole trajectory of the process...
February 2016: Annals of Statistics
https://www.readbyqxmd.com/read/26783374/projected-principal-component-analysis-in-factor-models
#17
Jianqing Fan, Yuan Liao, Weichen Wang
This paper introduces a Projected Principal Component Analysis (Projected-PCA), which employees principal component analysis to the projected (smoothed) data matrix onto a given linear space spanned by covariates. When it applies to high-dimensional factor analysis, the projection removes noise components. We show that the unobserved latent factors can be more accurately estimated than the conventional PCA if the projection is genuine, or more precisely, when the factor loading matrices are related to the projected linear space...
February 2016: Annals of Statistics
https://www.readbyqxmd.com/read/26681814/asymptotics-for-change-point-models-under-varying-degrees-of-mis-specification
#18
Rui Song, Moulinath Banerjee, Michael R Kosorok
Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point model is correctly specified, such estimates generally converge at a fast rate (n) and are asymptotically described by minimizers of a jump process. Under complete mis-specification by a smooth curve, i.e. when a change-point model is fitted to data described by a smooth curve, the rate of convergence slows down to n(1/3) and the limit distribution changes to that of the minimizer of a continuous Gaussian process...
February 2016: Annals of Statistics
https://www.readbyqxmd.com/read/28966410/approximation-and-estimation-of-s-concave-densities-via-r%C3%A3-nyi-divergences
#19
Qiyang Han, Jon A Wellner
In this paper, we study the approximation and estimation of s -concave densities via Rényi divergence. We first show that the approximation of a probability measure Q by an s -concave density exists and is unique via the procedure of minimizing a divergence functional proposed by [ Ann. Statist. 38 (2010) 2998-3027] if and only if Q admits full-dimensional support and a first moment. We also show continuity of the divergence functional in Q : if Qn → Q in the Wasserstein metric, then the projected densities converge in weighted L 1 metrics and uniformly on closed subsets of the continuity set of the limit...
2016: Annals of Statistics
https://www.readbyqxmd.com/read/28966409/global-rates-of-convergence-of-the-mles-of-log-concave-and-s-concave-densities
#20
Charles R Doss, Jon A Wellner
We establish global rates of convergence for the Maximum Likelihood Estimators (MLEs) of log-concave and s -concave densities on ℝ. The main finding is that the rate of convergence of the MLE in the Hellinger metric is no worse than n -2/5 when -1 < s < ∞ where s = 0 corresponds to the log-concave case. We also show that the MLE does not exist for the classes of s -concave densities with s < -1.
2016: Annals of Statistics
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