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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging
2016/1/25
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Nonlinearity Nonparametric regression Semiparametric regression Local mono- tonicity Bagging
2016/1/20
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang(2001). Asymptotic properties of ...
Nonlinear lattices generated from harmonic lattices with geometric constraints
Harmonic the nonlinear dynamic grid model sine multiple linear matrix equation the nonlinear model
2014/12/29
Geometrical constraints imposed on higher-dimensional harmonic lattices generally lead to nonlinear dynamical lattice models. Helical lattices obtained by such a procedure are shown to be described by...
Adaptive confidence intervals for regression functions under shape constraints
Adaptation confidence interval convex function coverage probability expected length minimax estimation modulus of continuity monotone func-tion nonparametric regression shape constraint white noise model
2013/6/14
Adaptive confidence intervals for regression functions are constructed under shape constraints of monotonicity and convexity. A natural benchmark is established for the minimum expected length of conf...
Graphical methods for inequality constraints in marginalized DAGs
Graphical methods inequality constraints marginalized DAGs
2012/11/22
We present a graphical approach to deriving inequality constraints for directed acyclic graph (DAG) models, where some variables are unobserved. In particular we show that the observed distribution of...
Nonparametric instrumental regression with non-convex constraints
Nonparametric instrumental regression non-convex constraints
2012/11/21
This paper considers the nonparametric regression model with an additive error that is dependent on the explanatory variables. As is common in empirical studies in epidemiology and economics, it also ...
Testing equality of functions under monotonicity constraints
Testing equality of functions monotonicity constraints
2012/9/19
We consider the problem of testing equality of functionsf j: [0,1] →Rfor j =1,2,...,J the basis ofJindependent samples from possibly different distributions under the assumption that the functions are...
Multiscale Methods for Shape Constraints in Deconvolution
Brownian motion convexity di erential inequalities ill-posed problems
2011/7/19
We derive multiscale statistics for deconvolution in order to detect qualitative features of the unknown density. An important example covered within this framework is to test for local monotonicity o...
Neyman-Pearson classification, convexity and stochastic constraints
binary classifi cation Neyman-Pearson paradigm anomaly detection stochastic constraint convexity empirical risk minimization chance constrained optimization
2011/3/25
Motivated by problems of anomaly detection, this paper implements the Neyman-Pearson paradigm to deal with asymmetric errors in binary classification with a convex loss. Given a finite collection of c...
Reassessing The Fundamentals: New Constraints on the Evolution, Ages and Masses of Neutron Stars
neutron —pulsars general —X-rays binaries —stars statistics
2011/3/25
The ages and masses of neutron stars (NSs) are two fundamental threads that make pulsars accessible to other sub-disciplines of astronomy and physics. A realistic and accurate determination of these t...
Asymptotically optimal parameter estimation under quantization constraints
Asymptotically quantization constraints parameter estimation
2011/3/18
The problem of decentralized parameter estimation is considered for diffusion-type processes whose drift coefficients are linear with respect to the unknown parameter. This problem is motivated by app...
Online Multi-task Learning with Hard Constraints
Online Multi-task Learning Hard Constraints
2010/3/18
We discuss multi-task online learning when a decision
maker has to deal simultaneously with M
tasks. The tasks are related, which is modeled
by imposing that the M–tuple of actions taken by
the de...