Nonparametric Statistics: 4th ISNPS, Salerno, Italy, June 2018

Preface
Contents
Portfolio Optimisation via Graphical Least Squares Estimation
	1 Introduction
	2 Graph Theory and Matrices
		2.1 Graph Theory
		2.2 Matrices
	3 The Idea of GLSE
	4 Model Selection
	5 Simulation Study
	6 Data Analysis
	7 Conclusion
	References
Change of Measure Applications in Nonparametric Statistics
	1 Introduction
	2 Smooth Models
		2.1 The Two-Sample Ranking Problem
		2.2 The Use of Penalized Likelihood
	3 Bayesian Models for Ranking Data
		3.1 Maximum Likelihood Estimation (MLE) of Our Model
		3.2 One-Sample Bayesian Method with Conjugate Prior
		3.3 Two-Sample Bayesian Method with Conjugate Prior
	4 Conclusion
	References
Choosing Between Weekly and Monthly Volatility Drivers Within a Double Asymmetric GARCH-MIDAS Model
	1 Introduction
	2 Modelling Volatility with the DAGM Model
		2.1 The DAGM Framework
		2.2 The Role of VIX in the S&P 500 Volatility Dynamics
	3 Wrapping Up
	References
Goodness-of-fit Test for the Baseline Hazard Rate
	1 Introduction
	2 Estimation
	3 Goodness-of-Fit Test
	References
Permutation Tests for Multivariate Stratified Data: Synchronized or Unsynchronized Permutations?
	1 Introduction
	2 An Algorithm for NPC-based Stratified Tests
	3 Synchronized and Unsynchronized Permutations
	4 An Example Application
	References
An Extension of the DgLARS Method to High-Dimensional Relative Risk Regression Models
	1 Introduction
	2 Relative Risk Regression Models
	3 DgLARS Method for Relative Risk Regression Models
		3.1 Differential Geometrical Structure of a Relative Risk Regression Model
		3.2 The Extension of the DgLARS Method
	4 Simulation Studies: Comparison with Other Variable Selection Methods
	5 Finding Genetic Signatures in Cancer Survival
	6 Conclusions
	References
A Kernel Goodness-of-fit Test for Maximum Likelihood Density Estimates of Normal Mixtures
	1 Introduction
	2 Setup and Notation
	3 Distribution of n Under the Null
	4 An Example
	5 Proof of Theorem 1
	References
Robust Estimation of Sparse Signal with Unknown Sparsity Cluster Value
	1 Introduction
	2 Setting and Notation
	3 Empirical Bayes Approach
		3.1 Multivariate Normal Prior
		3.2 Empirical Bayes Posterior
	4 Known Sparsity Cluster Value: Thresholding Procedures
	5 EBMA and EBMS Procedures for the Case of Unknown Sparsity Cluster Value
	6 Comparative Simulation Study
	References
Test for Sign Effect in Intertemporal Choice Experiments: A Nonparametric Solution
	1 Introduction
	2 Intertemporal Choice and Sign Effect
	3 A Sample Survey
	4 Multivariate Multistrata Test for Sign Effect
	5 Nonparametric Solution
	6 Case Study
	7 Conclusions
	References
Nonparametric First-Order Analysis of Spatial and Spatio-Temporal Point Processes
	1 Introduction
	2 First-Order Intensity Estimation
	3 Testing Problems
	4 Real Data Analysis
	References
Bayesian Nonparametric Prediction with Multi-sample Data
	1 Introduction
	2 Hierarchical Processes Based on Completely Random Measures
		2.1 Hierarchical Normalized CRMs
		2.2 Hierarchical Pitman–Yor Processes
	3 Prediction in Species Models
		3.1 Numerical Experiments
	4 Discussion
	References
Algorithm for Automatic Description of Historical Series of Forecast Error in Electrical Power Grid
	1 Introduction
	2 Algorithm
		2.1 Preprocessing
		2.2 Descriptive Statistics
		2.3 Clustering Algorithms
	3 Case Study
	4 Conclusion
	References
Linear Wavelet Estimation in Regression with Additive and Multiplicative Noise
	1 Introduction
	2 Basics on Wavelets and Besov Balls
	3 Assumptions, Estimators, and Main Result
	4 Simulation Study
	5 Conclusion
	6 Proofs
	References
Speeding up Algebraic-Based Sampling via Permutations
	1 Introduction
	2 Markov Chain Monte Carlo Samplings
		2.1 MCMC—Vector-Based
		2.2 MCMC—Orbit-Based
	3 Comparison of Vector-Based and Orbit-Based MCMC
	4 Simulation Study
		4.1 Convergence Comparison
		4.2 Accuracy Comparison
	5 Conclusions
	References
Obstacle Problems for Nonlocal Operators: A Brief Overview
	1 Introduction
		1.1 Representations of Lévy Processes
		1.2 Connections to Integro-Differential Operators
		1.3 Stochastic Integro-Differential Equations
		1.4 Obstacle Problems
		1.5 Review of Literature and Outline of the Survey
	2 Motivating Examples
		2.1 Variance Gamma Process
		2.2 Regular Lévy Processes of Exponential Type
	3 Statements of the Main Results
		3.1 Stationary Obstacle Problem
		3.2 Evolution Obstacle Problem
	4 Concluding Remarks
	References
Low and High Resonance Components Restoration in Multichannel Data
	1 Introduction
	2 Statistical Model
	3 Estimation
	4 Numerical Experiments
	References
Kernel Circular Deconvolution Density Estimation
	1 Introduction
	2 Preliminaries
		2.1 Trigonometric Moments and Fourier Series
		2.2 Circular Density Estimation in the Error-Free Case
	3 Kernel Density Estimator in the Errors-in-Variables Case
	4 Simulations
	5 Real Data Example
	References
Asymptotic for Relative Frequency When Population Is Driven by Arbitrary Unknown Evolution
	1 Introduction
	2 Convergence Elements
	3 A General SLLN via Permutations
	4 Estimating E(Y(t))
	5 Remarks
	References
Semantic Keywords Clustering  to Optimize Text Ads Campaigns
	1 Introduction
	2 Formalization of the Bidding Problem
	3 The Word2Vec Modeling
		3.1 The Behavioral Distance
		3.2 The Model Training and the Semantic Distance
	4 Keyword Clusterization
	5 A/B Testing and Conclusions
	References
A Note on Robust Estimation of the Extremal Index
	1 Introductory Notes
	2 Extremal Index Estimation
	3 Introducing Robustness
		3.1 Parametric Distribution of the Limiting Cluster Size
		3.2 Robust Estimators
	4 A Simulation Study
		4.1 Simulation Study Design
	5 Final Comments
	References
Multivariate Permutation Tests for Ordered Categorical Data
	1 Introduction
	2 A Typical Medical Example
	3 The Two-Sample Basic Problem
		3.1 The 2timesK One-Dimensional Case
		3.2 The 2timesK Multidimensional Case
	4 The C-sample Stochastic Ordering Problem
	5 Solution of Medical Example
	6 Concluding Remarks
	References
Smooth Nonparametric Survival Analysis
	1 Introduction
	2 Local Linear Estimation of the Distribution Function and Its Derivatives
	3 Asymptotic Properties
	4 Proofs and Auxiliary Lemmas
		4.1 Proof of Theorem 1
	References
Density Estimation Using Multiscale Local Polynomial Transforms
	1 Introduction
	2 The Multiscale Local Polynomial Transform (MLPT)
		2.1 Local Polynomial Smoothing as Prediction
		2.2 The Update Lifting Step
		2.3 The MLPT Frame
		2.4 The MLPT on Highly Irregular Grids
	3 A Regression Model for Density Estimation
	4 Sparse Variable Selection and Estimation in the Exponential Regression model
	5 Fine-Tuning the Selection Threshold
	6 Illustration and Concluding Discussion
	References
On Sensitivity of Metalearning: An Illustrative Study for Robust Regression
	1 Metalearning
	2 Description of the Study
		2.1 Primary Learning
		2.2 Metalearning
	3 Results
		3.1 Primary Learning
		3.2 Metalearning
	4 Conclusions
	References
Function-Parametric Empirical Processes, Projections  and Unitary Operators
	1 Basic Setup
	2 Discrete Distributions
	3 Uniform Empirical Process on [0,1]d
	4 Parametric Hypotheses in mathbbRd
	5 Distribution Free Testing for Linear Regression
	References
Rank-Based Analysis of Multivariate Data in Factorial Designs and Its Implementation in R
	1 Introduction
	2 Large Sample Sizes nij
	3 Small Sample Sizes nij, Large Number a of Samples
	4 Conclusion
	References
Tests for Independence Involving Spherical Data
	1 Introduction
	2 Testing Independence in the Bivariate Case
	3 Computations and Extensions
		3.1 Test on the Torus
		3.2 Extension to Arbitrary Dimension
		3.3 Consistency
	4 Simulations
	References
Interval-Wise Testing of Functional Data Defined on Two-dimensional Domains
	1 Introduction
	2 Previous Works: The IWT for Functional Data Defined on One-Dimensional Domains
	3 Methods
		3.1 The Extension of the IWT to Functional Data Defined on Two-Dimensional Domains
		3.2 The Problem of Dimensionality in the Choice of the Neighbourhood
	4 Simulation Study
		4.1 Simulation Settings
		4.2 Results of Simulation Study
	5 Discussion
	References
Assessing Data Support for the Simplifying Assumption in Bivariate Conditional Copulas
	1 Introduction
	2 Problem Setup
		2.1 The Cross-Validated Pseudo Marginal Likelihood and Its Conditional Variant
		2.2 Watanabe–Akaike Information Criterion
	3 Detecting Data Support for SA
	4 Simulations
		4.1 Simulation Details
		4.2 Simulation Results
	5 Conclusion
	References
Semiparametric Weighting Estimations of a Zero-Inflated Poisson Regression with Missing in Covariates
	1 Preliminaries
	2 Review of Zero-Inflated Model and Naive Estimation
	3 Proposed Methods
		3.1 Fully Kernel-Assisted Estimation
		3.2 Fully GAMs-Assisted Estimation
		3.3 Mixed Nuisance Functions-Assisted Estimation
	4 Large Sample
	5 Simulation Study
	6 Discussion
	References
The Discrepancy Method for Extremal Index Estimation
	1 Introduction
	2 Related Work
	3 Main Results
		3.1 Theory
		3.2 Discrepancy Equation Based on the Chi-Squared Statistic
		3.3 Estimation of k
	4 Simulation Study
		4.1 Models
		4.2 Estimators and Their Comparison
	5 Conclusions
	References
Correction for Optimisation Bias in Structured Sparse High-Dimensional Variable Selection
	1 Introduction
	2 The Mirror Effect
	3 Qualitative Description of the Mirror
		3.1 Unstructured Signal-Plus-Noise Models
		3.2 Structured Models: Grouped Variables
	4 Simulation
	5 Conclusion
	References
United Statistical Algorithms and Data Science: An Introduction  to the Principles
	1 The Gorilla in the Room
	2 The Design Principle
		2.1 From Principles to Construction
	3 Universality Properties
	4 The Age of Unified Algorithms Is Here
	5 The Three Pillars
	References
The Halfspace Depth Characterization Problem
	1 Introduction: Depth and Characterization of Measures
	2 Negative Results
		2.1 Counter-Example for Probability Measures
		2.2 Counter-Example for Finite Measures
	3 Comments on Some Positive Results
		3.1 Sufficient Conditions for Discrete Distributions
		3.2 Sufficient Conditions for Absolutely Continuous Distributions
	4 Characterization Problem: Summary
	References
A Component Multiplicative Error Model for Realized Volatility Measures
	1 Introduction
	2 Model Specification
	3 Estimation
	4 Empirical Application
	5 Concluding Remarks
	References
Asymptotically Distribution-Free Goodness-of-Fit Tests for Testing Independence in Contingency Tables of Large Dimensions
	1 Introduction
	2 Preliminaries
	3 Method
	4 Simulation
	References
Incorporating Model Uncertainty in the Construction of Bootstrap Prediction Intervals for Functional Time Series
	1 Introduction
	2 Bootstrapping Prediction Intervals
		2.1 The Bootstrap Method
	3 Numerical Studies
	References
Measuring and Estimating Overlap of Distributions: A Comparison of Approaches from Various Disciplines
	1 Introduction
	2 Methodology
		2.1 Estimator of the OVL
		2.2 Overlap of Private Datasets Using Cryptosets
		2.3 Overlap Volume in a Probabilistic Interpretation
	3 Data Examples and Comparison
	References
Bootstrap Confidence Intervals for Sequences of Missing Values in Multivariate Time Series
	1 Introduction
	2 The Model and the Iterative Imputation Procedure
	3 Bootstrap Confidence Intervals for Missing Values
	4 A Monte Carlo Simulation Study
	5 Concluding Remarks
	References
On Parametric Estimation of Distribution Tails
	1 Introduction
	2 Main Results
	3 Simulation Study
	References
An Empirical Comparison of Global and Local Functional Depths
	1 Introduction
	2 Comparing Global and Local Depths: Real Data Examples
		2.1 Phonemes Data
		2.2 Nitrogen Oxides (NOx) Data
	3 Comparing Global and Local Depths: FSD Versus KFSD
	4 Simulation Study
	5 Conclusions
	References
AutoSpec: Detecting Exiguous Frequency Changes in Time Series
	1 Introduction
	2 Model and Existing Methods
		2.1 AdaptSpec
		2.2 AutoParm
		2.3 The Problem Is Resolution
	3 AutoSpec—Parametric
	4 AutoSpecNP—Nonparametric
	5 Spectral Resolution and a Simulation
	References
Bayesian Quantile Regression in Differential Equation Models
	1 Introduction
	2 Methodology and Computation
	3 Simulation Study
	4 Realdata Analysis
	References
Predicting Plant Threat Based on Herbarium Data: Application to French Data
	1 Data Description
		1.1 Herbarium
		1.2 TPL and International Databases
		1.3 IUCN Redlist
	2 Methods
		2.1 Text Mining
		2.2 Dealing with Synonyms
		2.3 Construction of the Predictors
		2.4 Random Uniform Forests
	3 Main Results
	4 Perspectives
	References
Monte Carlo Permutation Tests for Assessing Spatial Dependence at Different Scales
	1 Introduction
	2 Assessing Spatial Dependence at Different Scales
		2.1 Permutation Test for Overall Spatial Dependence
		2.2 Modified Permutation Test for Overall Spatial Dependence
		2.3 Permutation Test for Spatial Dependence at Small Scales
	3 Simulation Study
		3.1 Simulation Setup
		3.2 Simulation Results
	4 Discussion and Outlook
	References
Introduction to Independent Counterfactuals
	1 Introduction
	2 Framework
		2.1 Estimation
	3 Interpretation
		3.1 Exogenous Linear Model
		3.2 Endogenous Linear Model
	4 Illustration
	5 Conclusions
	References
The Potential for Nonparametric Joint Latent Class Modeling of Longitudinal and Time-to-Event Data
	1 Introduction
	2 The JLCM Setup
	3 Latent Class Membership of JLCM
	4 Running Time of JLCM
	5 Limitation to Time-Invariant Covariates
	6 Nonparametric Approach for Joint Modeling
	References
To Rank or to Permute When Comparing an Ordinal Outcome Between Two Groups While Adjusting for a Covariate?
	1 Introduction
	2 The Nonparametric Combination Method and a Pseudo-rank-based Approach
		2.1 The Nonparametric Combination Method, Applied to an Anderson–Darling type Permutation Test
		2.2 A Nonparametric (Pseudo-)Rank-based Method for Factorial Designs
	3 Simulations
	4 Real-Life Data Example
	5 Discussion
	References