20,869 research outputs found
On the decomposition of Generalized Additive Independence models
The GAI (Generalized Additive Independence) model proposed by Fishburn is a
generalization of the additive utility model, which need not satisfy mutual
preferential independence. Its great generality makes however its application
and study difficult. We consider a significant subclass of GAI models, namely
the discrete 2-additive GAI models, and provide for this class a decomposition
into nonnegative monotone terms. This decomposition allows a reduction from
exponential to quadratic complexity in any optimization problem involving
discrete 2-additive models, making them usable in practice
Functional Linear Mixed Models for Irregularly or Sparsely Sampled Data
We propose an estimation approach to analyse correlated functional data which
are observed on unequal grids or even sparsely. The model we use is a
functional linear mixed model, a functional analogue of the linear mixed model.
Estimation is based on dimension reduction via functional principal component
analysis and on mixed model methodology. Our procedure allows the decomposition
of the variability in the data as well as the estimation of mean effects of
interest and borrows strength across curves. Confidence bands for mean effects
can be constructed conditional on estimated principal components. We provide
R-code implementing our approach. The method is motivated by and applied to
data from speech production research
New stochastic processes to model interest rates : LIBOR additive processes
In this paper, a new kind of additive process is proposed. Our main goal is to define,
characterize and prove the existence of the LIBOR additive process as a new stochastic process.
This process will be de.ned as a piecewise stationary process with independent increments,
continuous in probability but with discontinuous trajectories, and having "cĂ dlĂ g" sample paths.
The proposed process is specifically designed to derive interest-rates modelling because it
allows us to introduce a jump-term structure as an increasing sequence of LĂ©vy measures. In
this paper we characterize this process as a Markovian process with an infinitely divisible,
selfsimilar, stable and self-decomposable distribution. Also, we prove that the LĂ©vy-Khintchine
characteristic function and LĂ©vy-ItĂ´ decomposition apply to this process. Additionally we
develop a basic framework for density transformations. Finally, we show some examples of
LIBOR additive processes
Nonparametric Independence Screening in Sparse Ultra-High Dimensional Additive Models
A variable screening procedure via correlation learning was proposed Fan and
Lv (2008) to reduce dimensionality in sparse ultra-high dimensional models.
Even when the true model is linear, the marginal regression can be highly
nonlinear. To address this issue, we further extend the correlation learning to
marginal nonparametric learning. Our nonparametric independence screening is
called NIS, a specific member of the sure independence screening. Several
closely related variable screening procedures are proposed. Under the
nonparametric additive models, it is shown that under some mild technical
conditions, the proposed independence screening methods enjoy a sure screening
property. The extent to which the dimensionality can be reduced by independence
screening is also explicitly quantified. As a methodological extension, an
iterative nonparametric independence screening (INIS) is also proposed to
enhance the finite sample performance for fitting sparse additive models. The
simulation results and a real data analysis demonstrate that the proposed
procedure works well with moderate sample size and large dimension and performs
better than competing methods.Comment: 48 page
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