Single-index quantile regression

This is the post-print version of the final paper published in Journal of Multivariate Analysis. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2010 Elsevier B.V.Nonparametric quantile regression with multivariate covariates is a difficult estimation problem due to the “curse of dimensionality”. To reduce the dimensionality while still retaining the flexibility of a nonparametric model, we propose modeling the conditional quantile by a single-index function View the MathML sourceg0(xTγ0), where a univariate link function g0(⋅)g0(⋅) is applied to a linear combination of covariates View the MathML sourcexTγ0, often called the single-index. We introduce a practical algorithm where the unknown link function g0(⋅)g0(⋅) is estimated by local linear quantile regression and the parametric index is estimated through linear quantile regression. Large sample properties of estimators are studied, which facilitate further inference. Both the modeling and estimation approaches are demonstrated by simulation studies and real data applications

Semiparametric estimation for a class of time-inhomogenous diffusion processes

Copyright @ 2009 Institute of Statistical Science, Academia SinicaWe develop two likelihood-based approaches to semiparametrically estimate a class of time-inhomogeneous diffusion processes: log penalized splines (P-splines) and the local log-linear method. Positive volatility is naturally embedded and this positivity is not guaranteed in most existing diffusion models. We investigate different smoothing parameter selections. Separate bandwidths are used for drift and volatility estimation. In the log P-splines approach, different smoothness for different time varying coefficients is feasible by assigning different penalty parameters. We also provide theorems for both approaches and report statistical inference results. Finally, we present a case study using the weekly three-month Treasury bill data from 1954 to 2004. We find that the log P-splines approach seems to capture the volatility dip in mid-1960s the best. We also present an application to calculate a financial market risk measure called Value at Risk (VaR) using statistical estimates from log P-splines

IR fixed points in SU(3)SU(3) gauge Theories

We propose a novel RG method to specify the location of the IR fixed point in lattice gauge theories and apply it to the $SU(3)$ gauge theories with $N_f$ fundamental fermions. It is based on the scaling behavior of the propagator through the RG analysis with a finite IR cut-off, which we cannot remove in the conformal field theories in sharp contrast with the confining theories. The method also enables us to estimate the anomalous mass dimension in the continuum limit at the IR fixed point. We perform the program for $N_f=16, 12, 8$ and $N_f=7$ and indeed identify the location of the IR fixed points in all cases.Comment: 7 pages, 7 figures, 1 table: the scale of the y axis in Figs..1-4 change; minor modifications as appear in PL

Study of Λb→Λ(ϕ,η(′))\Lambda_b\to \Lambda (\phi,\eta^{(\prime)}) and Λb→ΛK+K−\Lambda_b\to \Lambda K^+K^- decays

We study the charmless two-body $\Lambda_b\to \Lambda (\phi,\eta^{(\prime)})$ and three-body $\Lambda_b\to \Lambda K^+K^-$ decays. We obtain ${\cal B}(\Lambda_b\to \Lambda\phi)=(3.53\pm 0.24)\times 10^{-6}$ to agree with the recent LHCb measurement. However, we find that ${\cal B}(\Lambda_b\to \Lambda(\phi\to)K^+ K^-)=(1.71\pm 0.12)\times 10^{-6}$ is unable to explain the LHCb observation of ${\cal B}(\Lambda_b\to\Lambda K^+ K^-)=(15.9\pm 1.2\pm 1.2\pm 2.0)\times 10^{-6}$, which implies the possibility for other contributions, such as that from the resonant $\Lambda_b\to K^- N^*,\,N^*\to\Lambda K^+$ decay with $N^*$ as a higher-wave baryon state. For $\Lambda_b\to \Lambda \eta^{(\prime)}$, we show that ${\cal B}(\Lambda_b\to \Lambda\eta,\,\Lambda\eta^\prime)= (1.47\pm 0.35,1.83\pm 0.58)\times 10^{-6}$, which are consistent with the current data of $(9.3^{+7.3}_{-5.3},<3.1)\times 10^{-6}$, respectively. Our results also support the relation of ${\cal B}(\Lambda_b\to \Lambda\eta) \simeq {\cal B}(\Lambda_b\to\Lambda\eta^\prime)$, given by the previous study.Comment: 8 pages, 1 figure, revised version accepted by EPJ

Information filtering via Iterative Refinement

With the explosive growth of accessible information, expecially on the Internet, evaluation-based filtering has become a crucial task. Various systems have been devised aiming to sort through large volumes of information and select what is likely to be more relevant. In this letter we analyse a new ranking method, where the reputation of information providers is determined self-consistently.Comment: 10 pages, 3 figures. Accepted for publication on Europhysics Letter

Performance of Cross-layer Design with Multiple Outdated Estimates in Multiuser MIMO System

By combining adaptive modulation (AM) and automatic repeat request (ARQ) protocol as well as user scheduling, the cross-layer design scheme of multiuser MIMO system with imperfect feedback is presented, and multiple outdated estimates method is proposed to improve the system performance. Based on this method and imperfect feedback information, the closed-form expressions of spectral efficiency (SE) and packet error rate (PER) of the system subject to the target PER constraint are respectively derived. With these expressions, the system performance can be effectively evaluated. To mitigate the effect of delayed feedback, the variable thresholds (VTs) are also derived by means of the maximum a posteriori method, and these VTs include the conventional fixed thresholds (FTs) as special cases. Simulation results show that the theoretical SE and PER are in good agreement with the corresponding simulation. The proposed CLD scheme with multiple estimates can obtain higher SE than the existing CLD scheme with single estimate, especially for large delay. Moreover, the CLD scheme with VTs outperforms that with conventional FTs

Theory of the Stark Effect for P donors in Si

We develop a multi-valley effective mass theory for substitutional donors in silicon in an inhomogeneous environment. Valley-orbit coupling is treated perturbatively. We apply the theory to the Stark effect in Si:P. The method becomes more accurate at high fields, and it is designed to give correct experimental binding energies at zero field. Unexpectedly, the ground state energy for the donor electron is found to increase with electric field as a consequence of spectrum narrowing of the 1s manifold. Our results are of particular importance for the Kane quantum computer.Comment: published versio