Asymptotic properties of maximum likelihood estimators in models with multiple change points

Models with multiple change points are used in many fields; however, the theoretical properties of maximum likelihood estimators of such models have received relatively little attention. The goal of this paper is to establish the asymptotic properties of maximum likelihood estimators of the parameters of a multiple change-point model for a general class of models in which the form of the distribution can change from segment to segment and in which, possibly, there are parameters that are common to all segments. Consistency of the maximum likelihood estimators of the change points is established and the rate of convergence is determined; the asymptotic distribution of the maximum likelihood estimators of the parameters of the within-segment distributions is also derived. Since the approach used in single change-point models is not easily extended to multiple change-point models, these results require the introduction of those tools for analyzing the likelihood function in a multiple change-point model.Comment: Published in at http://dx.doi.org/10.3150/09-BEJ232 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors

The main objective of this paper is to derive the efficiency bounds for estimating certain linear functionals of an unknown structural function when the latter is not itself a conditional expectation.

Integrated likelihoods in models with stratum nuisance parameters

Inference about a parameter of interest in presence of a nuisance parameter can be based on an integrated likelihood function. We analyze the behaviour of inferential quantities based on such a pseudo-likelihood in a two-index asymptotics framework, in which both sample size and dimension of the nuisance parameter may diverge to infinity. We show that the integrated likelihood, if chosen wisely, largely outperforms standard likelihood methods, such as the profile likelihood. These results are confirmed by simulation studies, in which comparisons with modified profile likelihood are also considered

Quantile Uncorrelation and Instrumental Regressions

We introduce a notion of median uncorrelation that is a natural extension of mean (linear) uncorrelation. A scalar random variable Y is median uncorrelated with a k-dimensional random vector X if and only if the slope from an LAD regression of Y on X is zero. Using this simple definition, we characterize properties of median uncorrelated random variables, and introduce a notion of multivariate median uncorrelation. We provide measures of median uncorrelation that are similar to the linear correlation coefficient and the coefficient of determination. We also extend this median uncorrelation to other loss functions. As two stage least squares exploits mean uncorrelation between an instrument vector and the error to derive consistent estimators for parameters in linear regressions with endogenous regressors, the main result of this paper shows how a median uncorrelation assumption between an instrument vector and the error can similarly be used to derive consistent estimators in these linear models with endogenous regressors. We also show how median uncorrelation can be used in linear panel models with quantile restrictions and in linear models with measurement errors.Economic

Search for Zgamma events with large missing transverse energy in ppbar collisions at sqrt(s)=1.96 TeV

We present the first search for supersymmetry (SUSY) in Zgamma final states with large missing transverse energy using data corresponding to an integrated luminosity of 6.2 fb-1 collected with the D0 experiment in ppbar collisions at sqrt(s)=1.96 TeV. This signature is predicted in gauge-mediated SUSY-breaking models, where the lightest neutralino is the next-to-lightest supersymmetric particle (NLSP) and is produced in pairs, possibly through decay from heavier supersymmetric particles. The NLSP can decay either to a Z boson or a photon and an associated gravitino that escapes detection. We exclude this model at the 95% C.L. for SUSY breaking scales of Lambda < 87 TeV, corresponding to neutralino masses of < 151 GeV.Comment: submitted to Phys. Rev. Let

Search for B0→π0π0B^{0}\to \pi^{0}\pi^{0} Decay

We have searched for the charmless hadronic decay of B0 mesons into two neutral pions. Using 9.13fb^-1 taken at the Upsilon(4S) with the CLEO detector, we obtain an improved upper limit for the branching fraction BR(B0-->pi0pi0) < 5.7*10^-6 at the 90% confidence level.Comment: pages postscript, also available through http://w4.lns.cornell.edu/public/CLN

Measurement of Leptonic Asymmetries and Top Quark Polarization in ttbar Production

We present measurements of lepton (l) angular distributions in ttbar -> W+ b W- b -> l+ nu b l- nubar bbar decays produced in ppbar collisions at a center-of-mass energy of sqrt(s)=1.96TeV, where l is an electron or muon. Using data corresponding to an integrated luminosity of 5.4fb^-1, collected with the D0 detector at the Fermilab Collider, we find that the angular distributions of l- relative to anti-protons and l+ relative to protons are in agreement with each other. Combining the two distributions and correcting for detector acceptance we obtain the forward-backward asymmetry A^l_FB = (5.8 +- 5.1(stat) +- 1.3(syst))%, compared to the standard model prediction of A^l_FB (predicted) = (4.7 +- 0.1)%. This result is further combined with the measurement based on the analysis of the l+jets final state to obtain A^l_FB = (11.8 +- 3.2)%. Furthermore, we present a first study of the top-quark polarization.Comment: submitted versio

Search for right-handed W bosons in top quark decay

We present a measurement of the fraction f+ of right-handed W bosons produced in top quark decays, based on a candidate sample of $t\bar{t}$ events in the lepton+jets decay mode. These data correspond to an integrated luminosity of 230pb^-1, collected by the DO detector at the Fermilab Tevatron $p\bar{p}$ Collider at sqrt(s)=1.96 TeV. We use a constrained fit to reconstruct the kinematics of the $t\bar{t}$ and decay products, which allows for the measurement of the leptonic decay angle $\theta^*$ for each event. By comparing the $\cos\theta^*$ distribution from the data with those for the expected background and signal for various values of f+, we find f+=0.00+-0.13(stat)+-0.07(syst). This measurement is consistent with the standard model prediction of f+=3.6x10^-4.Comment: Submitted to Physical Review D Rapid Communications 7 pages, 3 figure