arXiv subjects

Yining Chen

Publications and source records attributed to Yining Chen.

43 records · Page 3Linked to original sources

arXiv2018

Narrowest-Over-Threshold Detection of Multiple Change-points and Change-point-like Features

We propose a new, generic and flexible methodology for nonparametric function estimation, in which we first estimate the number and locations of any features that may be present in the function, and then estimate the function parametrically between each pair of neighbouring detected features. Examples of features handled by our methodology include change-points in the piecewise-constant signal model, kinks in the piecewise-linear signal model, and other similar irregularities, which we also refer to as generalised change-points. Our methodology works with only minor modifications across a range of generalised change-point scenarios, and we achieve such a high degree of generality by proposing and using a new multiple generalised change-point detection device, termed Narrowest-Over-Threshold (NOT). The key ingredient of NOT is its focus on the smallest local sections of the data on which the existence of a feature is suspected. Crucially, this adaptive localisation technique prevents NOT from considering subsamples containing two or more features, a key factor that ensures the general applicability of NOT. For selected scenarios, we show the consistency and near-optimality of NOT in detecting the number and locations of generalised change-points. Furthermore, we propose to select NOT's threshold (automatically) via the strengthened Schwarz Information Criterion (sSIC) and give theoretical justifications. The NOT estimators are easy to implement and rapid to compute: the entire threshold-indexed solution path can be computed in close-to-linear time. Importantly, the NOT approach is easy to extend by the user to tailor to their own needs. There is no single competitor, but we show that the performance of NOT matches or surpasses the state of the art in the scenarios tested. Our methodology is implemented in the R package \textbf{not}.

stat.ME↗

arXiv2018

Time-Space Tradeoffs for the Memory Game

A single-player game of Memory is played with $n$ distinct pairs of cards, with the cards in each pair bearing identical pictures. The cards are laid face-down. A move consists of revealing two cards, chosen adaptively. If these cards match, i.e., they bear the same picture, they are removed from play; otherwise, they are turned back to face down. The object of the game is to clear all cards while minimizing the number of moves. Past works have thoroughly studied the expected number of moves required, assuming optimal play by a player has that has perfect memory. In this work, we study the Memory game in a space-bounded setting. We prove two time-space tradeoff lower bounds on algorithms (strategies for the player) that clear all cards in $T$ moves while using at most $S$ bits of memory. First, in a simple model where the pictures on the cards may only be compared for equality, we prove that $ST = Ω(n^2 \log n)$. This is tight: it is easy to achieve $ST = O(n^2 \log n)$ essentially everywhere on this tradeoff curve. Second, in a more general model that allows arbitrary computations, we prove that $ST^2 = Ω(n^3)$. We prove this latter tradeoff by modeling strategies as branching programs and extending a classic counting argument of Borodin and Cook with a novel probabilistic argument. We conjecture that the stronger tradeoff $ST = \widetildeΩ(n^2)$ in fact holds even in this general model.

cs.CC↗

arXiv2018

Shape constrained kernel-weighted least squares: Application to production function estimation for Chilean manufacturing industries

In this paper we examine a novel way of imposing shape constraints on a local polynomial kernel estimator. The proposed approach is referred to as Shape Constrained Kernel-weighted Least Squares (SCKLS). We prove uniform consistency of the SCKLS estimator with monotonicity and convexity/concavity constraints and establish its convergence rate. The competitiveness of SCKLS is shown in a comprehensive simulation study. Finally, we analyze Chilean manufacturing data using the SCKLS estimator and quantify production in the plastics and wood industries. The results show that exporting firms have significantly higher productivity.

stat.AP↗

arXiv2015

On Convex Least Squares Estimation when the Truth is Linear

We prove that the convex least squares estimator (LSE) attains a $n^{-1/2}$ pointwise rate of convergence in any region where the truth is linear. In addition, the asymptotic distribution can be characterized by a modified invelope process. Analogous results hold when one uses the derivative of the convex LSE to perform derivative estimation. These asymptotic results facilitate a new consistent testing procedure on the linearity against a convex alternative. Moreover, we show that the convex LSE adapts to the optimal rate at the boundary points of the region where the truth is linear, up to a log-log factor. These conclusions are valid in the context of both density estimation and regression function estimation.

math.ST↗

arXiv2014

Generalised additive and index models with shape constraints

We study generalised additive models, with shape restrictions (e.g. monotonicity, convexity, concavity) imposed on each component of the additive prediction function. We show that this framework facilitates a nonparametric estimator of each additive component, obtained by maximising the likelihood. The procedure is free of tuning parameters and under mild conditions is proved to be uniformly consistent on compact intervals. More generally, our methodology can be applied to generalised additive index models. Here again, the procedure can be justified on theoretical grounds and, like the original algorithm, possesses highly competitive finite-sample performance. Practical utility is illustrated through the use of these methods in the analysis of two real datasets. Our algorithms are publicly available in the \texttt{R} package \textbf{scar}, short for \textbf{s}hape-\textbf{c}onstrained \textbf{a}dditive \textbf{r}egression.

math.ST↗

arXiv2013

Semiparametric Time Series Models with Log-concave Innovations: Maximum Likelihood Estimation and its Consistency

We study semiparametric time series models with innovations following a log-concave distribution. We propose a general maximum likelihood framework which allows us to estimate simultaneously the parameters of the model and the density of the innovations. This framework can be easily adapted to many well-known models, including ARMA, GARCH and ARMA-GARCH. Furthermore, we show that the estimator under our new framework is consistent in both ARMA and ARMA-GARCH settings. We demonstrate its finite sample performance via a thorough simulation study and apply it to model the daily log-return of FTSE 100 index and the rabbit population.

stat.ME↗

arXiv2012

Smoothed log-concave maximum likelihood estimation with applications

We study the smoothed log-concave maximum likelihood estimator of a probability distribution on $\mathbb{R}^d$. This is a fully automatic nonparametric density estimator, obtained as a canonical smoothing of the log-concave maximum likelihood estimator. We demonstrate its attractive features both through an analysis of its theoretical properties and a simulation study. Moreover, we use our methodology to develop a new test of log-concavity, and show how the estimator can be used as an intermediate stage of more involved procedures, such as constructing a classifier or estimating a functional of the density. Here again, the use of these procedures can be justified both on theoretical grounds and through its finite sample performance, and we illustrate its use in a breast cancer diagnosis (classification) problem.

math.ST↗