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Asymptotic normality of a Sobol index estimator in Gaussian process regression framework
Sensitivity analysis Gaussian process regression asymptotic normality stochas-tic simulators Sobol index
2013/6/14
Stochastic simulators such as Monte-Carlo estimators are widely used in science and engineering to study physical systems through their probabilistic representation. Global sensitivity analysis aims t...
Asymptotic normality and efficiency of two Sobol index estimators
sensitivity analysis Sobol indices asymptotic efficiency asymptotic normality confidence intervals metamodelling surface response methodology
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Independent screening for single-index hazard rate models with ultra-high dimensional features
screening univariate regression models generalized linear models single-index
2011/6/17
In data sets with many more features than observations, independent screening based on all
univariate regression models leads to a computationally convenient variable selection method.
Recent effort...
The linearity condition and adaptive estimation in single-index regressions
linearity condition adaptive estimation single-index regressions
2010/3/9
We show that under a linearity condition on the distribution of the predictors,
the coefficient vector in a single-index regression can be estimated with
the same efficiency as in the case when the ...
Ordering and comparing estimators by means of Gini separation index
Ordering and comparing estimators means of Gini separation index
2009/9/23
The suggested ordering of estimators uses the separation
measure between the population with true and estimated values of
parameter. It allows us ta choose one estimator as better in the cases
wher...
The Center of Mass of the ISE and the Wiener Index of Trees
ISE, Brownian snake Brownian excursion center of mass Wiener index
2009/4/28
We derive the distribution of the center of mass S of the integrated superBrownian excursion (ISE) from the asymptotic distribution of the Wiener index for simple trees. Equivalently, this is the dist...
Measure Concentration for Stable Laws with Index Close to 2
Concentration of measure stable distribution
2009/4/24
We give upper bounds for the probability $P(|f(X)-Ef(X)|>x)$, where $X$ is a stable random variable with index close to 2 and $f$ is a Lipschitz function. While the optimal upper bound is known to be ...
Measure Concentration for Stable Laws with Index Close to 2
Measure Concentration Stable Laws Index
2009/4/7
We give upper bounds for the probability $P(|f(X)-Ef(X)|>x)$, where $X$ is a stable random variable with index close to 2 and $f$ is a Lipschitz function. While the optimal upper bound is known to be ...
Optimal rates and adaptation in the single-index model using aggregation
Nonparametric regression single-index aggregation adaptation minimax random design oracle inequality
2010/4/27
We want to recover the regression function in the single-index
model. Using an aggregation algorithm with local polynomial estimators,
we answer in particular to the second part of Question 2 from S...
Spline Single-Index Prediction Model
B-spline geometric mixing knots nonparametric regression root-n rate strong consistency
2010/4/27
For the past two decades, single-index model, a special case of projection pursuit regression,
has proven to be an efficient way of coping with the high dimensional problem in nonparametric
regressi...
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
High-frequency data S&P 500 index long range dependence heavy tailed marginals fractional Brownian motion
2010/4/27
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January
1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of
stationarity (the time p...
Some results on the Gittins index for a normal reward process
Chernoff’s continuity correction dynamic allocation index multiarmed bandit optimal stopping Brownian motion
2010/4/27
We consider the Gittins index for a normal distribution with unknown
mean and known variance where has a normal prior. In addition
to presenting some monotonicity properties of the Gittins index...