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Asymptotics and optimal bandwidth selection for highest density region estimation
Density contour density level set kernel density estimator
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2010/10/14
We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HD...
Quantile calculus and censored regression
Differential equation estimating integral equation quantile equality fraction regression quantile
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2010/10/14
Quantile regression has been advocated in survival analysis to assess evolving covariate effects. However, challenges arise when the censoring time is not always observed and may be covariate-depende...
High-dimensional Ising model selection using ${\ell_1}$-regularized logistic regression
High-dimensional model selection
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2010/10/14
We consider the problem of estimating the graph associated with a binary Ising Markov random field. We describe a method based on $\ell_1$-regularized logistic regression, in which the neighborhood of...
上海财经大学统计与管理学院国家级科研项目（截止2009年底）。
上海财经大学统计与管理学院博士生导师王黎明教授，研究方向：数理统计、金融时间序列分析，保险精算和随机调度。教育经历：1991,9-1994,7 华东师范大学统计系，理学硕士；1998,9-2001,7 华东师范大学统计系，理学博。工作经历：2001,7- 上海财经大学统计学系，副教授，教授，博士生导师；2001,12-2004,10 上海财经大学应用经济学博士后流动站，博士后；2003,11-20...
An anticipating Itô formula for Lévy processes
canonical Levy space chaos decomosition for square-integrable random variables derivatives in the future sense on the Wiener space
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2009/6/12
In this paper,we use the Malliavin calculus techniques to obtain an
anticipative version of the change of variable formula forLevy processes.Here th
coefficients are in the domain of the anihilation...
Hurst exponent estimation of Fractional Lévy Motion
Asymptotic Statistics Multifractional Motion Wavelet Bases
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2009/6/12
In this paper, we build an estimator of the Hurst exponent of a fractional Levy motion. The stochastic process is observed with random noise errors in the following framework: continuous time and disc...
Branching diffusions, superdiffusions and random media
spatial branching processes branching diffusions measure-valued processes superprocesses catalytic branching Law of Large Numbers
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2009/5/18
Spatial branching processes became increasingly popular in the past decades, not only because of their obvious connection to biology, but also because superprocesses are intimately related to nonlinea...
On exchangeable random variables and the statistics of large graphs and hypergraphs
random variables large graphs large hypergraphs
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2009/5/18
In this survey we recall the basic results of the theory of exchangeable laws, and then explain the probabilistic versions of various interesting questions from graph and hypergraph theory that their ...
Simulations and Conjectures for Disconnection Exponents
Brownian Motion Disconnection Exponents
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2009/5/12
Using Monte-Carlo simulations, we estimate numerically disconnection exponents for planar Brownian motions. These simulations tend to confirm conjectures by Duplantier and Mandelbrot.
Estimates for the Derivative of Diffusion Semigroups
Diffusion Semigroups Diffusion Processes Stochastic Differential Equations
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2009/5/8
Let ${P_t}_{tge 0}$ be the transition semigroup of a diffusion process. It is known that $P_t$ sends continuous functions into differentiable functions so we can write $DP_tf$. But what happens with t...
Perfect Simulation from the Quicksort Limit Distribution
Quicksort random variate generation simulation perfect simulation rejection method fixed-point equation
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2009/5/4
The weak limit of the normalized number of comparisons needed by the Quicksort algorithm to sort n randomly permuted items is known to be determined implicitly by a distributional point equation. We g...
Transition Probability Estimates for Reversible Markov Chains
Random walks Markov chains fractals dimensions
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2009/5/4
This paper provides transition probability estimates of transient reversible Markov chains. The key condition of the result is the spatial symmetry and polynomial decay of the Green's function of the ...
On Recurrent and Transient Sets of Inhomogeneous Symmetric Random Walks
Probabilities Wienertest Paley-Zygmund inequality
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2009/5/4
We consider a continuous time random walk on the d-dimensional lattice Zd: the jump rates are time dependent, but symmetric and strongly elliptic with ellipticity constants independent of time. We inv...
Ballistic Deposition on a Planar Strip
Ballistic Deposition Diffusion Limited Aggregation
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2009/5/4
We consider ballistic diffusion limited aggregation on a finite strip [0, L-1] times Z+ in Z2 for some L in Z+. We provide numerical bounds on the growth in the height process.