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High-dimensional robust inference for censored linear models

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Science China Mathematics 2024年第4期67卷 891-918页

作者： Jiayu Huang Yuanshan Wu School of Mathematics and statistics Wuhan UniversityWuhan 430072China School of statistics and Mathematics Zhongnan University of Economics and LawWuhan 430073China

Due to the direct statistical interpretation,censored linear regression offers a valuable complement to the Cox proportional hazards regression in survival *** propose a rank-based high-dimensional inference for censored linear regression without imposing any moment condition on the model *** develop a theory of the high-dimensional U-statistic,circumvent challenges stemming from the non-smoothness of the loss function,and establish the convergence rate of the regularized estimator and the asymptotic normality of the resulting de-biased estimator as well as the consistency of the asymptotic variance *** censoring can be viewed as a way of trimming,it strengthens the robustness of the rank-based high-dimensional inference,particularly for the heavy-tailed model error or the outlier in the presence of the *** evaluate the finite-sample performance of the proposed method via extensive simulation studies and demonstrate its utility by applying it to a subcohort study from The Cancer Genome Atlas(TCGA).

关键词： censoring mechanism heavy-tailed distribution non-smooth loss function outlier rank regression

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A Semiparametric Additive-multiplicative Rates Model for the Weighted Composite Endpoint of Recurrent and Terminal Events

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Acta Mathematica Sinica,English Series 2024年第4期40卷 985-999页

作者： Yi DENG Qiang XIONG Shu Wei LI School of economics and statistics Guangzhou UniversityGuangzhou 510006P.R.China

Recurrent event data are commonly encountered in many scientific fields,including biomedical studies,clinical trials and epidemiological surveys,and many statistical methods have been proposed for their *** this paper,we consider to use a weighted composite endpoint of recurrent and terminal events,which is weighted by the severity of each event,to assess the overall effects of covariates on the two types of events.A flexible additive-multiplicative model incorporating both multiplicative and additive effects on the rate function is proposed to analyze such weighted composite event process,and more importantly,the dependence structure among the recurrent and terminal events is left *** the estimation,we construct the unbiased estimating equations by virtue of the inverse probability weighting technique,and the resulting estimators are shown to be consistent and asymptotically normal under some mild regularity *** evaluate the finite-sample performance of the proposed method via simulation studies and apply the proposed method to a set of real data arising from a bladder cancer study.

关键词： Additive-multiplicative rates model estimating equation recurrent events terminal event weighted composite endpoint

On the Pathwise Uniqueness of Solutions of One-dimensional Reflected Stochastic Differential Equations with Jumps

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Acta Mathematicae Applicatae Sinica 2024年第1期40卷 149-163页

作者： Hua Zhang School of statistics and Data Science&Key Laboratory of Data Science in Finance and economics Jiangxi University of Finance and EconomicsNanchang330013China

In this paper, we are concerned with the problem of the pathwise uniqueness of one-dimensional reflected stochastic differential equations with jumps under the assumption of non-Lipschitz continuous coefficients whose... 详细信息

关键词： reflected diffusion processes with jumps pathwise uniqueness local time Meyer It?'s formula

Asymptotic Inference in the Random Coefficient Autoregressive Model with Time-functional Variance Noises

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Acta Mathematicae Applicatae Sinica 2024年第2期40卷 320-346页

作者： En-wen ZHU Zi-wei DENG Han-jun ZHANG Jun CAO Xiao-hui LIU department of Mathematics and statistics Changsha University of Science and TechnologyChangsha 410114China School of Mathematics and Computational Science Xiangtan UniversityXiangtan 411105China School of statistics and Data Science and Key Laboratory of Data Science in Finance and EconomicsJiangxi University of Finance and EconomicsNanchang 330013China

This paper considers the random coefficient autoregressive model with time-functional variance noises,hereafter the RCA-TFV *** first establish the consistency and asymptotic normality of the conditional least squares estimator for the constant *** semiparametric least squares estimator for the variance of the random coefficient and the nonparametric estimator for the variance function are constructed,and their asymptotic results are reported.A simulation study is presented along with an analysis of real data to assess the performance of our method in finite samples.

关键词： random coefficient autoregressive model time-functional variance conditional least squares semiparametric least squares

A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise

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IEEE/CAA Journal of Automatica Sinica 2024年第3期11卷 746-759页

作者： Pengyan Huang Guangchen Wang Shujun Wang Hua Xiao the School of Control Science and Engineering Shandong University the School of statistics and Mathematics Shandong University of Finance and Economics IEEE the School of Management Shandong University the School of Mathematics and statistics Shandong University

This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation ***,to reduce the complexity of solving the meanfield game,a limiting control problem is *** virtue of the decomposition approach,an admissible control set is *** a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also ***,we discuss an approximate Nash equilibrium property of the decentralized control ***,we work out a financial problem with some numerical simulations.

关键词： Decentralized control strategy ϵ-Nash equilibrium forward-backward stochastic system mean-field game partial observation

Optimal Timing of Business Conversion for Solvency Improvement

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Acta Mathematicae Applicatae Sinica 2024年第3期40卷 744-757页

作者： Peng LI Ming ZHOU School of Finance Nanjing University of Finance and EconomicsNanjing 210023China Center for Applied statistics and School of statistics Renmin University of ChinaBeijing 100872China

In this paper,we study the optimal timing to convert the risk of business for an insurance company in order to improve its *** cash flow of company evolves according to a jump-diffusion *** conversion option offers the company an opportunity to transfer the jump risk business *** exchange for this option,the company needs to pay both fixed and proportional transaction *** proportional cost can also be seen as the profit loading of the jump risk *** formulated this problem as an optimal stopping *** solving this stopping problem,we find that the optimal timing of business conversion mainly depends on the profit loading of the jump risk business.A larger profit loading would make the conversion option *** fixed cost,however,only delays the optimal timing of business *** the end,numerical results are provided to illustrate the impacts of transaction costs and environmental parameters to the optimal strategies.

关键词： optimal stopping jump-diffusion process conversion option

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Generalized trace regression with simultaneously nonconvex nuclear norm and two-dimensional spline lasso

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Acta Mathematica Sinica,English Series 2024年

作者： Chuanquan Li Xiangyong Tan Ling Peng Mei Li Xiaohui Liu School of statistics and Data Science Jiangxi University of Finance and Economics Key Laboratory of Data Science in Finance and economics Jiangxi University of Finance and Economics department of Mathematics and statistics Beijing Jiaotong University

Matrix-valued data have found extensive applications in various fields, such as modern biomedical imaging, chemometrics, and economics. In this paper, we address the problem of generalized trace regression involving matrix-valued covariates. To estimate the unknown parameters, we propose a penalty that combines the MCP nuclear norm and two-dimensional spline lasso. This penalty accounts for the potential low-rank and row/column order structures in the matrix-valued covariates. We establish the general theory and explicit statistical convergence rate of the resulting estimator. Through simulations, we demonstrate the advantages of our proposed method compared to other competing methods. Finally, we apply our approach to analyze brainimage datasets related to Alzheimer’s disease, identifying several efficient regions that illustrate the mechanism of Alzheimer’s.

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Asymptotic normality of error density estimator in stationary and explosive autoregressive models

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Applied Mathematics(A Journal of Chinese Universities) 2024年第1期39卷 140-158页

作者： WU Shi-peng YANG Wen-zhi GAO Min HU Shu-he School of Mathematical Sciences&School of Big Data and statistics Anhui UniversityHefei 230601China School of statistics Shanxi University of Finance and EconomicsTaiyuan030006China

In this paper,we consider the limit distribution of the error density function estima-tor in the rst-order autoregressive models with negatively associated and positively associated random *** mild regularity assumptions,some asymptotic normality results of the residual density estimator are obtained when the autoregressive models are stationary process and explosive *** order to illustrate these results,some simulations such as con dence intervals and mean integrated square errors are provided in this *** shows that the residual density estimator can replace the density\estimator"which contains errors.

关键词： explosive autoregressive models residual density estimator asymptotic distribution association sequence

Bifurcation Analysis of a Nonlinear Vibro-Impact System with an Uncertain Parameter via OPA Method

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工程与科学中的计算机建模(英文) 2024年第1期138卷 509-524页

作者： Dongmei Huang Dang Hong Wei Li Guidong Yang Vesna Rajic School of Mathematics and statistics Xidian UniversityXi’an710071China department of Mathematics Changzhi UniversityChangzhi046011China department for statistics and Mathematics Faculty of EconomicsUniversity of BelgradeBelgrade11000Serbia

In this paper,the bifurcation properties of the vibro-impact systems with an uncertain parameter under the impulse and harmonic excitations are ***,by means of the orthogonal polynomial approximation(OPA)method,the nonlinear damping and stiffness are expanded into the linear combination of the state *** condition for the appearance of the vibro-impact phenomenon is to be transformed based on the calculation of themean ***,the stochastic vibro-impact systemcan be turned into an equivalent high-dimensional deterministic non-smooth *** different Poincarésections are chosen to analyze the bifurcation properties and the impact numbers are identified for the periodic ***,the numerical results verify the effectiveness of the approximation method for analyzing the considered nonlinear ***,the bifurcation properties of the system with an uncertain parameter are explored through the high-dimensional deterministic *** can be found that the excitation frequency can induce period-doubling bifurcation and grazing *** the randomintensitymay result in a diffusion-based trajectory and the impact with the constraint plane,which induces the topological behavior of the non-smooth system to change *** is also found that grazing bifurcation appears in advance with increasing of the random *** stronger impulse force can result in the appearance of the diffusion phenomenon.

关键词： Orthogonal polynomial approximation vibro-impact systems non-smooth systems grazing bifurcation