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Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable
Ornstein-Uhlenbeck processes stable process drift coefficient matrix estimation consistency asymptotic efficiency
2009/9/16
In this paper, we investigate the consistency and asymptotic efficiency of an estimator of the drift matrix, $F$, of Ornstein-Uhlenbeck processes that are not necessarily stable. We consider all the c...
Asymptotic properties of false discovery rate controlling procedures under independence
Multiple hypothesis testing Benjamini-Hochberg procedure FDP FDR
2009/9/16
We investigate the performance of a family of multiple comparison procedures for strong control of the False Discovery Rate (FDR). The FDR is the expected False Discovery Proportion (FDP), that is, th...
On the asymptotic properties of the group lasso estimator for linear models
Least Squares Sparsity Group-Lasso Model Selection Oracle Inequalities Persistence
2009/9/16
We establish estimation and model selection consistency, prediction and estimation bounds and persistence for the group-lasso estimator and model selector proposed by Yuan and Lin (2006) for least squ...