Asymptotic Normality Research Articles

Optimal estimation of pure states with displaced-null measurements

Abstract We revisit the problem of estimating an unknown parameter of a pure quantum state, and investigate ‘null-measurement’ strategies in which the experimenter aims to measure in a basis that contains a vector close to the true system state. Such strategies are known to approach the quantum Fisher information for models where the quantum Cramér-Rao bound is achievable but a detailed adaptive strategy for achieving the bound in the multi-copy setting has been lacking. We first show that the following naive null-measurement implementation fails to attain even the standard estimation scaling: estimate the parameter on a small sub-sample, and apply the null-measurement corresponding to the estimated value on the rest of the systems. This is due to non-identifiability issues specific to null-measurements, which arise when the true and reference parameters are close to each other. To avoid this, we propose the alternative displaced-null measurement strategy in which the reference parameter is altered by a small amount which is sufficient to ensure parameter identifiability. We use this strategy to devise asymptotically optimal measurements for models where the quantum Cramér-Rao bound is achievable. More generally, we extend the method to arbitrary multi-parameter models and prove the asymptotic achievability of the the Holevo bound. An important tool in our analysis is the theory of quantum local asymptotic normality which provides a clear intuition about the design of the proposed estimators, and shows that they have asymptotically normal distributions.

Extreme Value Statistics in Semi-Supervised Models

We consider extreme value analysis in a semi-supervised setting, where we observe, next to the n data on the target variable, n + m data on one or more covariates. This is called the semi-supervised model with n labeled and m unlabeled data. By exploiting the tail dependence between the target variable and the covariates, we derive estimators for the extreme value index and extreme quantiles of the target variable in this setting and establish their asymptotic behavior. Our estimators substantially improve the univariate estimators, based on only the n target variable data, in terms of asymptotic variances whereas the asymptotic biases remain unchanged. A simulation study confirms the substantially improved behavior of both estimators. Finally the estimation method is applied to rainfall data in France. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.

Non-adaptive estimation for degenerate diffusion processes

We consider a degenerate system of stochastic differential equations. The first component of the system has a parameter θ 1 \theta _1 in a non-degenerate diffusion coefficient and a parameter θ 2 \theta _2 in the drift term. The second component has a drift term with a parameter θ 3 \theta _3 and no diffusion term. Parametric estimation of the degenerate diffusion system is discussed under a sampling scheme. We investigate the asymptotic behavior of the joint quasi-maximum likelihood estimator for ( θ 1 , θ 2 , θ 3 ) (\theta _1,\theta _2,\theta _3) . The estimation scheme is non-adaptive. The estimator incorporates information of the increments of both components, and under this construction, we show that the asymptotic variance of the estimator for θ 1 \theta _1 is smaller than the one for standard estimator based on the first component only, and that the convergence of the estimator for θ 3 \theta _3 is much faster than for the other parameters. By simulation studies, we compare the performance of the joint quasi-maximum likelihood estimator with the adaptive and one-step estimators investigated in Gloter and Yoshida [Electron. J. Statist 15 (2021), no. 1, 1424–1472].

Efficient inference of parent-of-origin effect using case-control mother–child genotype data

Parent-of-origin effect plays an important role in mammal development and disorder. Case-control mother–child pair genotype data can be used to detect parent-of-origin effect and is often convenient to collect in practice. Most existing methods for assessing parent-of-origin effect do not incorporate any covariates, which may be required to control for confounding factors. We propose to model the parent-of-origin effect through a logistic regression model, with predictors including maternal and child genotypes, parental origins, and covariates. The parental origins may not be fully inferred from genotypes of a target genetic marker, so we propose to use genotypes of markers tightly linked to the target marker to increase inference efficiency. A robust statistical inference procedure is developed based on a modified profile log-likelihood in a retrospective way. A computationally feasible expectation–maximization algorithm is devised to estimate all unknown parameters involved in the modified profile log-likelihood. This algorithm differs from the conventional expectation–maximization algorithm in the sense that it is based on a modified instead of the original profile log-likelihood function. The convergence of the algorithm is established under some mild regularity conditions. This expectation–maximization algorithm also allows convenient handling of missing child genotypes. Large sample properties, including weak consistency, asymptotic normality, and asymptotic efficiency, are established for the proposed estimator under some mild regularity conditions. Finite sample properties are evaluated through extensive simulation studies and the application to a real dataset.

Estimation of Random Coefficient Autoregressive Model with Error in Covariates

Measurement error is common in many statistical problems and has received considerable attention in various regression contexts. In this study, we consider the random coefficient autoregressive model with measurement error possibly present in covariates. The least squares and weighted least squares methods are used to estimate the model parameters, and the consistency and asymptotic normality of the two kinds of estimators are proved. Furthermore, we propose an empirical likelihood method based on weighted score equations to construct confidence regions for the parameters. The simulation results show that the weighted least squares estimators are superior to the least squares estimators and that the confidence regions have good finite-sample behavior. At last, the model is applied to a real data example.

Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions

Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions

Consistent two-stage estimation in heterogeneous network autoregressive model

Obtaining consistent estimates of network effects in heterogeneous network autoregressive model presents significant challenges. These arise from the large number of target parameters, potential endogeneity, and non-identifiability issues. To overcome these challenges, we reformulate the model into a higher-order version. Our proposed two-stage estimation procedure first reduces parameter complexity by screening out nodes with negligible network effects. Then, we employ the ordinary least squares method and the instrumental variables technique for effective post-screening estimation. We further investigate the consistency and asymptotic normality of the estimators under appropriate assumptions and explore the case of heteroscedasticity. The finite sample performance of the two-stage method is evaluated by simulation studies and an empirical analysis.

Nonparametric kernel estimation of conditional copula density

This paper introduces a new mathematical formula for the bivariate conditional copula density and proposes kernel-type estimators for it. We demonstrate the consistency and asymptotic normality of these estimators, which also exibit the best quadratic mean convergence rate when the optimal theoretical bandwidth is selected.

A parametric bootstrap approach for computing confidence intervals for genetic correlations with application to genetically-determined protein-protein networks.

Genetic correlation refers to the correlation between genetic determinants of a pair of traits. When using individual-level data, it is typically estimated based on a bivariate model specification where the correlation between the two variables is identifiable and can be estimated from a covariance model that incorporates the genetic relationship between individuals, e.g., using a pre-specified kinship matrix. Inference relying on asymptotic normality of the genetic correlation parameter estimates may be inaccurate when the sample size is low, when the genetic correlation is close to the boundary of the parameter space, and when the heritability of at least one of the traits is low. We address this problem by developing a parametric bootstrap procedure to construct confidence intervals for genetic correlation estimates. The procedure simulates paired traits under a range of heritability and genetic correlation parameters, and it uses the population structure encapsulated by the kinship matrix. Heritabilities and genetic correlations are estimated using the close-form, method of moment, Haseman-Elston regression estimators. The proposed parametric bootstrap procedure is especially useful when genetic correlations are computed on pairs of thousands of traits measured on the same exact set of individuals. We demonstrate the parametric bootstrap approach on a proteomics dataset from the Jackson Heart Study.

Asymptotic normality for a modified quadratic variation of the Hermite process

Asymptotic normality for a modified quadratic variation of the Hermite process

Asymptotic normality of divisors of random holomorphic sections on non-compact complex manifolds

We prove a central limit theorem for divisors of Gaussian i.i.d. centered holomorphic sections of tensor powers of a Hermitian holomorphic line bundle over a non-compact Hermitian manifold.

Modified least squares estimators for Ornstein–Uhlenbeck processes from low-frequency observations

We propose a modified least squares estimator for the drift parameter of the Ornstein–Uhlenbeck process when the observations are available at a discrete instant in a low-frequency level. Unlike in the past literature, this modified least squares estimator is asymptotically unbiased. This estimator is combined with the ergodic theorem to obtain joint estimators (θˆn,σˆn2) for both drift and diffusion parameters (θ,σ2). For any fixed observation time step h>0, the strong consistency and joint asymptotic normality of our estimators (θˆn,σˆn2) are obtained by using the linear model technology and the Delta method. Surprisingly, this linear model technology is not new but it is used for the first time to our model. It very significantly simplifies the arguments that researchers used in the literature. Numerical results illustrate the asymptotic behavior of the estimators.

Testing distribution for multiplicative distortion measurement errors

. In this article, we study a goodness of fit test for a multiplicative distortion model under a uniformly distributed but unobserved random variable. The unobservable variable is distorted in a multiplicative fashion by an observed confounding variable. The proposed k-th power test statistic is based on logarithmic transformed observations and a correlation coefficient-based estimator without distortion measurement errors. The proper choice of k is discussed through the empirical coverage probabilities. The asymptotic null distribution of the test statistics are obtained with known asymptotic variances. Next, we proposed the conditional mean calibrated test statistic when a variable is distorted in a multiplicative fashion. We conduct Monte Carlo simulation experiments to examine the performance of the proposed test statistics.

Recursive generalized gamma kernel density estimation for nonnegative dependent data

In this article, we consider the recursive generalized gamma (GG) kernel density estimator (KDE) for nonnegative dependent data from stationary α-mixing process. Asymptotic bias, variance and mean integrated squared error are provided. Simulation experiments from an autoregressive conditional duration model and a stochastic volatility model are conducted to compare the recursive GG KDE with non-recursive GG KDE. Two applications are provided for nonnegative time series data.

Semiparametric spatial autoregressive models with nonlinear endogeneity

. This article constructs nonparametric two-step least squares (2SLS) and generalized method of moments (GMM) sieve estimators to estimate a functional-coefficient spatial autoregressive model with an endogenous environment variable. We derive the consistency and asymptotic normality results for our proposed sieve estimators. A small Monte Carlo study shows that our proposed estimators exhibit good finite-sample performance. An empirical application is used to illustrate the usefulness of our methods.

Asymptotic normality of spectral means of Hilbert space valued random processes

A variety of statistics for functional time series allows for a representation as weighted average of corresponding periodogram operators over the frequency domain. We study consistency and asymptotic normality of such spectral mean estimators under mild assumptions. We show that weak convergence of these estimators can be deduced from the (joint) weak convergence of the sample autocovariance operators. The latter is established for a large class of weakly dependent functional time series, which admit expansions as Bernoulli shifts and the weak dependence is quantified by the condition of L4-m-approximability.

Small Sample Inference for Two‐Way Capture‐Recapture Experiments

SummaryThe properties of the generalised Waring distribution defined on the non‐negative integers are reviewed. Formulas for its moments and its mode are given. A construction as a mixture of negative binomial distributions is also presented. Then we turn to the Petersen model for estimating the population size in a two‐way capture‐recapture experiment. We construct a Bayesian model for by combining a Waring prior with the hypergeometric distribution for the number of units caught twice in the experiment. Credible intervals for are obtained using quantiles of the posterior, a generalised Waring distribution. The standard confidence interval for the population size constructed using the asymptotic variance of Petersen estimator and 0.5 logit transformed interval are shown to be special cases of the generalised Waring credible interval. The true coverage of this interval is shown to be bigger than or equal to its nominal converage in small populations, regardless of the capture probabilities. In addition, its length is substantially smaller than that of the 0.5 logit transformed interval. Thus, the proposed generalised Waring credible interval appears to be the best way to quantify the uncertainty of the Petersen estimator for populations size.

Automatic Regenerative Simulation via Non-Reversible Simulated Tempering

Simulated Tempering (ST) is an MCMC algorithm for complex target distributions that operates on a path between the target and a more amenable reference distribution. Crucially, if the reference enables iid sampling, ST is regenerative and can be parallelized across independent tours. However, the difficulty of tuning ST has hindered its widespread adoption. In this work, we develop a simple nonreversible ST (NRST) algorithm, a general theoretical analysis of ST, and an automated tuning procedure for ST. A core contribution that arises from the analysis is a novel performance metric—Tour Effectiveness (TE)—that controls the asymptotic variance of estimates from ST for bounded test functions. We use the TE to show that NRST dominates its reversible counterpart. We then develop an automated tuning procedure for NRST algorithms that targets the TE while minimizing computational cost. This procedure enables straightforward integration of NRST into existing probabilistic programming languages. We provide extensive experimental evidence that our tuning scheme improves the performance and robustness of NRST algorithms on a diverse set of probabilistic models. Supplementary materials for this article are available online, including a standardized description of the materials available for reproducing the work.

Local linear-$k$NN smoothing for semi-functional partial linear regression

The aim of this paper is to study a semi-functional partial linear regression model. The estimators are constructed by $k$-nearest neighbors local linear method. Some asymptotic results are established for an i.i.d sample under certain conditions, including asymptotic normality of the parametric component and the almost certain convergence (with rate) of the non-parametric component. Lastly, using cross-validation, the performances of our estimation method are presented on simulated data and on real data by comparing them with other known approaches for semi-functional partial linear regression models.

Collider bias correction for multiple covariates in GWAS using robust multivariable Mendelian randomization.

Genome-wide association studies (GWAS) have identified many genetic loci associated with complex traits and diseases in the past 20 years. Multiple heritable covariates may be added into GWAS regression models to estimate direct effects of genetic variants on a focal trait, or to improve the power by accounting for environmental effects and other sources of trait variations. When one or more covariates are causally affected by both genetic variants and hidden confounders, adjusting for them in GWAS will produce biased estimation of SNP effects, known as collider bias. Several approaches have been developed to correct collider bias through estimating the bias by Mendelian randomization (MR). However, these methods work for only one covariate, some of which utilize MR methods with relatively strong assumptions, both of which may not hold in practice. In this paper, we extend the bias-correction approaches in two aspects: first we derive an analytical expression for the collider bias in the presence of multiple covariates, then we propose estimating the bias using a robust multivariable MR (MVMR) method based on constrained maximum likelihood (called MVMR-cML), allowing the presence of invalid instrumental variables (IVs) and correlated pleiotropy. We also established the estimation consistency and asymptotic normality of the new bias-corrected estimator. We conducted simulations to show that all methods mitigated collider bias under various scenarios. In real data analyses, we applied the methods to two GWAS examples, the first a GWAS of waist-hip ratio with adjustment for only one covariate, body-mass index (BMI), and the second a GWAS of BMI adjusting metabolomic principle components as multiple covariates, illustrating the effectiveness of bias correction.