Averaged Singular Integral Estimation as a Bias Reduction Technique

This paper proposes an averaged version of singular integral estimators, whose bias achieves higher rates of convergence under smoothing assumptions. We derive exact bias bounds, without imposing smoothing assumptions, which are a basis for deriving the rates of convergence under differentiability assumptions.Publicad

Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound on the sup-norm (uniform) convergence rate of a sieve estimator, allowing for endogenous regressors and weakly dependent data. This result leads to the optimal sup-norm convergence rates for spline and wavelet least squares regression estimators under weakly dependent data and heavy-tailed error terms. This upper bound also yields the sup-norm convergence rates for sieve NPIV estimators under i.i.d. data: the rates coincide with the known optimal $L^2$-norm rates for severely ill-posed problems, and are power of $\log(n)$ slower than the optimal $L^2$-norm rates for mildly ill-posed problems. We then establish the minimax risk lower bound in sup-norm loss, which coincides with our upper bounds on sup-norm rates for the spline and wavelet sieve NPIV estimators. This sup-norm rate optimality provides another justification for the wide application of sieve NPIV estimators. Useful results on weakly-dependent random matrices are also provided

Expectile Matrix Factorization for Skewed Data Analysis

Matrix factorization is a popular approach to solving matrix estimation problems based on partial observations. Existing matrix factorization is based on least squares and aims to yield a low-rank matrix to interpret the conditional sample means given the observations. However, in many real applications with skewed and extreme data, least squares cannot explain their central tendency or tail distributions, yielding undesired estimates. In this paper, we propose \emph{expectile matrix factorization} by introducing asymmetric least squares, a key concept in expectile regression analysis, into the matrix factorization framework. We propose an efficient algorithm to solve the new problem based on alternating minimization and quadratic programming. We prove that our algorithm converges to a global optimum and exactly recovers the true underlying low-rank matrices when noise is zero. For synthetic data with skewed noise and a real-world dataset containing web service response times, the proposed scheme achieves lower recovery errors than the existing matrix factorization method based on least squares in a wide range of settings.Comment: 8 page main text with 5 page supplementary documents, published in AAAI 201

Numerical experience with a class of algorithms for nonlinear optimization using inexact function and gradient information

For optimization problems associated with engineering design, parameter estimation, image reconstruction, and other optimization/simulation applications, low accuracy function and gradient values are frequently much less expensive to obtain than high accuracy values. Here, researchers investigate the computational performance of trust region methods for nonlinear optimization when high accuracy evaluations are unavailable or prohibitively expensive, and confirm earlier theoretical predictions when the algorithm is convergent even with relative gradient errors of 0.5 or more. The proper choice of the amount of accuracy to use in function and gradient evaluations can result in orders-of-magnitude savings in computational cost

Semi-nonparametric IV estimation of shape-invariant Engel curves

This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of both the nonparametric shapes of the Engel curves and the parametric specification of the demographic scaling parameters. The identification condition relates to the bounded completeness and the estimation procedure applies the sieve minimum distance estimation of conditional moment restrictions, allowing for endogeneity. We establish a new root mean squared convergence rate for the nonparametric instrumental variable regression when the endogenous regressor could have unbounded support. Root-n asymptotic normality and semiparametric efficiency of the parametric components are also given under a set of "low-level" sufficient conditions. Our empirical application using the U.K. Family Expenditure Survey shows the importance of adjusting for endogeneity in terms of both the nonparametric curvatures and the demographic parameters of systems of Engel curves

Long's Vortex Revisited

The conical self-similar vortex solution of Long (1961) is reconsidered, with a view toward understanding what, if any, relationship exists between Long's solution and the more-recent similarity solutions of Mayer and Powell (1992), which are a rotational-flow analogue of the Falkner-Skan boundary-layer flows, describing a self-similar axisymmetric vortex embedded in an external stream whose axial velocity varies as a power law in the axial (z) coordinate, with phi=r/z^n being the radial similarity coordinate and n the core growth rate parameter. We show that, when certain ostensible differences in the formulations and radial scalings are properly accounted for, the Long and Mayer-Powell flows in fact satisfy the same system of coupled ordinary differential equations, subject to different kinds of outer-boundary conditions, and with Long's equations a special case corresponding to conical vortex core growth, n=1 with outer axial velocity field decelerating in a 1/z fashion, which implies a severe adverse pressure gradient. For pressure gradients this adverse Mayer and Powell were unable to find any leading-edge-type vortex flow solutions which satisfy a basic physicality criterion based on monotonicity of the total-pressure profile of the flow, and it is shown that Long's solutions also violate this criterion, in an extreme fashion. Despite their apparent nonphysicality, the fact that Long's solutions fit into a more general similarity framework means that nonconical analogues of these flows should exist. The far-field asymptotics of these generalized solutions are derived and used as the basis for a hybrid spectral-numerical solution of the generalized similarity equations, which reveal the existence of solutions for more modestly adverse pressure gradients than those in Long's case, and which do satisfy the above physicality criterion.Comment: 30 pages, including 16 figure