WebJul 1, 2024 · In this article, we use the martingale difference divergence (Shao and Zhang, 2014) to propose novel tests for the goodness-of-fit of linear quantile models. In the aspect of methodology, our proposals are applicable under heteroscedastic models, easy to implement, and free of user-defined regularization. Web2 days ago · We achieve this by adopting the recently developed martingale difference divergence matrix (MDDM, Lee & Shao 2024) and penalized eigen-decomposition algorithms. To establish the consistency of our method with a high-dimensional predictor and a multivariate response, we develop a new concentration inequality for sample …
High-dimensional Variable Screening via Conditional Martingale ...
WebJun 4, 2024 · In this article, we propose a new method for estimating the central mean subspace via the martingale difference divergence. This method enjoys a model free property and does not need any nonparametric estimation. These advantages enable our method to work effectively when many discrete or categorical predictors exist. WebSep 1, 2024 · In this article, we propose the so-called volatility martingale difference divergence matrix (VMDDM) to quantify the conditional variance dependence of a random vector (Formula presented.) given ... how did we learn to talk
R: Martingale Difference Divergence
WebSep 11, 2024 · Our approach is nonparametric as the null hypothesis only assumes the time series concerned is martingale difference without specifying any parametric forms of its conditional moments. As an advantage of Gaussian approximation, our test is robust to the cross-series dependence of unknown magnitude. WebJul 29, 2024 · Lee C E, Shao X F. Martingale difference divergence matrix and its application to dimension reduction for stationary multivariate time series. J Amer Statist … WebOur test is built on a new metric, the so-called functional martingale difference divergence, which fully characterizes the conditional mean dependence of $Y$ given $X$ and extends the martingale difference divergence proposed by Shao & Zhang (2014). how did we know baby smoove lyrics