On Weighted Multivariate Sign Functions

Multivariate sign functions are often used for robust estimation and inference. We propose using data dependent weights in association with such functions. The proposed weighted sign functions retain desirable robustness properties, while significantly improving efficiency in estimation and inference compared to unweighted multivariate sign-based methods. Using weighted signs, we demonstrate methods of robust location estimation and robust principal component analysis. We extend the scope of using robust multivariate methods to include robust sufficient dimension reduction and functional outlier detection. Several numerical studies and real data applications demonstrate the efficacy of the proposed methodology.Comment: Keywords: Multivariate sign, Principal component analysis, Data depth, Sufficient dimension reductio

Counting Process Based Dimension Reduction Methods for Censored Outcomes

We propose a class of dimension reduction methods for right censored survival data using a counting process representation of the failure process. Semiparametric estimating equations are constructed to estimate the dimension reduction subspace for the failure time model. The proposed method addresses two fundamental limitations of existing approaches. First, using the counting process formulation, it does not require any estimation of the censoring distribution to compensate the bias in estimating the dimension reduction subspace. Second, the nonparametric part in the estimating equations is adaptive to the structural dimension, hence the approach circumvents the curse of dimensionality. Asymptotic normality is established for the obtained estimators. We further propose a computationally efficient approach that simplifies the estimation equation formulations and requires only a singular value decomposition to estimate the dimension reduction subspace. Numerical studies suggest that our new approaches exhibit significantly improved performance for estimating the true dimension reduction subspace. We further conduct a real data analysis on a skin cutaneous melanoma dataset from The Cancer Genome Atlas. The proposed method is implemented in the R package "orthoDr".Comment: First versio

Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC

This article discusses the linkages between two recent themes in economic research: "real time" data and replication. These two themes share many of the same ideas, specifically, that scientific research itself has a time dimension. In research using real-time data, this time dimension is the date on which particular observations, or pieces of data, became available. In work with replication, it is the date on which a study (and its results) became available to other researchers and/or was published. Recognition of both dimensions of scientific research is important. A project at the Federal Reserve Bank of St. Louis to place large amounts of historical data on the Internet holds promise to unify these two themes.Research ; Federal Reserve Bank of St. Louis

Adaptive probability scheme for behaviour monitoring of the elderly using a specialised ambient device

A Hidden Markov Model (HMM) modified to work in combination with a Fuzzy System is utilised to determine the current behavioural state of the user from information obtained with specialised hardware. Due to the high dimensionality and not-linearly-separable nature of the Fuzzy System and the sensor data obtained with the hardware which informs the state decision, a new method is devised to update the HMM and replace the initial Fuzzy System such that subsequent state decisions are based on the most recent information. The resultant system first reduces the dimensionality of the original information by using a manifold representation in the high dimension which is unfolded in the lower dimension. The data is then linearly separable in the lower dimension where a simple linear classifier, such as the perceptron used here, is applied to determine the probability of the observations belonging to a state. Experiments using the new system verify its applicability in a real scenario

Dimension Detection with Local Homology

Detecting the dimension of a hidden manifold from a point sample has become an important problem in the current data-driven era. Indeed, estimating the shape dimension is often the first step in studying the processes or phenomena associated to the data. Among the many dimension detection algorithms proposed in various fields, a few can provide theoretical guarantee on the correctness of the estimated dimension. However, the correctness usually requires certain regularity of the input: the input points are either uniformly randomly sampled in a statistical setting, or they form the so-called $(\varepsilon,\delta)$-sample which can be neither too dense nor too sparse. Here, we propose a purely topological technique to detect dimensions. Our algorithm is provably correct and works under a more relaxed sampling condition: we do not require uniformity, and we also allow Hausdorff noise. Our approach detects dimension by determining local homology. The computation of this topological structure is much less sensitive to the local distribution of points, which leads to the relaxation of the sampling conditions. Furthermore, by leveraging various developments in computational topology, we show that this local homology at a point $z$ can be computed \emph{exactly} for manifolds using Vietoris-Rips complexes whose vertices are confined within a local neighborhood of $z$. We implement our algorithm and demonstrate the accuracy and robustness of our method using both synthetic and real data sets

Estimation in Single-Index Panel Data Models with Heterogeneous Link Functions

In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section dimension N and the time series dimension T tend to infinity simultaneously, we establish asymptotic distributions for the proposed estimator. In addition, we provide a real-data example to illustrate the finite sample behaviour of the proposed estimation method.Asymptotic distribution; local linear smoother; minimum average variance estimation; panel data; semiparametric estimation; single-index models.