Instructor: Eric Slud, Statistics Program, Math. Dept.
Office: Mth 2314, x5-5469, email evs@math.umd.edu
Office hours: initially M3, Th2
Course Text: A. van der Vaart,
Asymptotic Statistics (2000),
Cambridge University Press (paperback).
Assigned work and Grading: the course grade
will be based on 7
Prerequisite: Stat 700 and Stat 600. Class on Friday Feb.
11 will be an in-class presentation of problem Most of this web-page was designed for Stat 710 as
I gave it in the Fall of 2007. This course consists of five topical modules on advanced
probability and statistical theory, with the common theme of
statistical inference from large-sample data. Three of the modules
are mostly about Probability Theory tools: (I) Empirical processes --- material
generalizing the Law of Large Numbers to provide results about uniform
almost-sure convergence of empirical averages of random variables like
f(Xj) (for iid r.v.'s X
j) where "uniformity" is
over classes of functions f. (II) Contiguity Theory and Local Asymptotic
Normality. References here are
Chapters 6 and 7 of Van der Vaart's book, possibly supplemented with
the books Le Cam, and L. Yang, G.L. (1990), "Asymptotics in Statistics:
Some Basic Concepts" or Greenwood, P. E., and Shiryaev, A. N. (1985),
"Contiguity and the statistical invariance principle". Our main application of this material will be to Relative
Efficiency of Estimators and Sample Size Formulas and least-favorable
alternatives, with a little exposure to `asymptotically linear
estimators' and influence functions, Regular estimators and H\'ajek
convolution theorem. (Reference for this latter material is Chapter
8 of van der Vaart.) (III) Estimating Equations.
Maximum likelihood and generalizations. Minimum contrast, misspecified
likelihood, and M estimators. References are
Chapters 5 of van der Vaart, plus other materials to be
filled in later, in conjunction with module (IV) on efficient
estimating equations. (IV) U statistics and Projections. Reference is
Chapters 11 and 12 of van der Vaart. (V) Counting processes, compensators,
martingales, and statistics defined in terms of stochastic
integrals with respect to compensated counting process martingales.
References from several books on martingales
(e.g. Bremaud 1981, "Point Processes and Queues, Martingale Dynamics")
and Survival Analysis, such as Fleming, T. and Harrington, D. (1991),
"Counting Processes and Survival Analysis", plus my own notes. The first lecture will be an overview lecture on the interplay
between probabilistic limit theorems and statistical large-sample
theory, sketching the kinds of results we will cover in the
course. The second lecture, going on for the next couple of weeks, will
motivate the study of uniform limit theorems by considering the
large-sample consistency and asympototic normality of ML and
estimating equation estimators. The reading is Chapter 5 of the van
der Vaart text, pp. 41-59. From there, we will branch to Chapter 19
and introduce just enough empirical process theory to complete Theorem
5.23 via Lemma 19.31. Homework problems for Spring 2011 are posted below. You
can see older homework problem sets and some problem solutions on the
Old-homework web-page for Fall 2007
(from the van der Vaart text) and, for Fall 2002 from a different
book, in the OldHW directory. Homework 1, due Wednesday, Feb. 9, 2011: in Van der Vaart,
Chapter 5, Homework 2, due Friday, March 4, 2011: in Van der Vaart,
Chapter 19 Homework Set #3, due Monday March 28: Chap. 6, p.91: # 1, 2, 3,
4, 6. Additional Problem: Give a general sufficient condition (on
f, a density Homework Set #4, due Friday April 15: Ch.11 # 2, 7;
and Homework Set #5, due Friday April 29. Ch.8 #3,
Ch.12 #3, 5, 8, Homework Set #6, due Wednesday May 11. (I). In the Exponential Frailty Example 5.26, find the
asymptotic (II.) Problems #1, p.4; #2, p.8; and #3, p.11, in
Martingale & Counting NOTES (1). A very useful general lemma on uniform convergence of
random functions Mn(&theta)
(2). A really nice article by Peter Bickel along the lines of our
semiparametric (3). A set of Chapters I wrote on Martingale Methods in Statistics
can be found (4). To see statistical applications and developments of the ideas
we studied The UMCP
Math Department home page. The University of
Maryland home page. My home
page. Last updated: May 4, 2011.
homework problem sets assigned throughout the course.
For current HW set, click here.
solutions
for HW1 by you, the students.
Class on Friday, Feb. 18 will be
CANCELLED.
For the Spring of 2011, the
emphasis will be more on the early parts of the
van der Vaart
book, especially the material on U-statistics, Estimating Equations
(including ML), and Contiguity, and less on Empirical Processes
(material from Ch.19).
The latter will be introduced and a few
key results from that Chapter will be used
throughout to help prove
important rigorous results related to the asymptotic
behavior of
solutions of estimating equations.
For this material, the references are: Chapter
19 of the Van der Vaart book; a 1980 book, "Convergence of Stochastic
Processes" by David Pollard; and some results from a 1996 book of Van
der Vaart and Wellner, "Weak Convergence and Empirical
Processes".
Spring 2011 Lectures and Reading Assignments
do problems numbered 7, 8, 13, 19, 24, 25.
(Solutions not given.)
of van der Vaart text, do: #19.3, 19.4, 19.5, 19.6, 19.7,
and 19.10.
Notes. Problem 19.3 involves only checking
equality of covariances and
invoking an appropriate Theorem to imply
that a unique set of finite-
dimensional distributions determines a
unique stochastic process law.
In problem 19.4, the meaning of the
notations Fm,
Gn are different
from
the empirical-process usage of the chapter: here they are
"empirical
distribution functions". That is, Fm(t) is the proportion of
observations X1, ...,
Xm less than or equal to t,
and Gn(t) is the
proportion of
observations Y1, ...,
Yn less than or equal to
t.
Problem 19.4(c) and 19.10 are exercises
in formulating limiting
probabilities using empirical process
convergence plus continuous
mapping Theorem. Problem 19.5 is about
bracketing and is fairly
straightforward. 19.6 and 19.7 give some
practice in estimating the
VC numbers used to measure the size of
function classes used in
proving GC and Donsker properties.
Solutions.
with mean 0) using Lecam's 3rd Lemma for the
probability laws
Qn
corresponding to n-tuples X1,...,
Xn of iid scalar random variables
with density f(x - c/n1/2) to be contiguous
(for each fixed c)
with respect to the probability laws
Pn for the same random n-tuples
with density f(x). Use this
to derive and justify the power function
for a large-sample
one-sided test which has significance level 1-α
based on these data, of the null hypothesis EX1
<= 0 . Solutions.
Ch.12
#1, 2, 6, 9, 10.
and
Ch. 14 #5.
NOTE: There will be one more HW due May 11, on the martingale
and
counting-process material.
relative efficiency of the estimating equation estimator
given by
the author, versus the MLE and versus the
martingale estimating equation
estimator for θ , under the
(restrictive) hypothesis that all frailties
zi are
equal to (an unknown) constant μ.
Process handout chapter.
defined in terms of data (and which which will be maximized to
estimate &theta ) is
given in Appendix II (p.1116) of
P. K. Andersen; R. D. Gill (1982), Cox's Regression Model for
Counting Processes:
A Large Sample Study, Annals of
Statistics 10, No. 4. (Dec., 1982), pp. 1100-1120
which can be found in JSTOR. The Lemma and proof are restricted to a
single page,
and can be found here.
efficiency discussion is "On Adaptive Estimation",
the 1980 Wald Memorial Lectures
published in Annals of
Statistics (1982) 10, 647-671. The Stable URL is
http://links.jstor.org/sici?sici=0090-5364%28198209%2910%3A3%3C647%3AOAE%3E2.0.CO%3B2-1
.
here as reading material for
the last segment of the course.
under the heading of asymptotic relative efficiencies and
contiguous alternatives,
you may be interested in a paper I wrote with
Sudip Bose of GWU, on combining tests
to be simultaneously powerful
against several designated alternative directions.
Important Dates