This article deals with statistical inferences based on the varying-coefficient models proposed by Hastie and Tibshirani. Local polynomial regression techniques are used to estimate coefficient functions, and the asymptotic normality of the resulting estimators is established. The standard error formulas for estimated coefficients are derived and are empirically tested. A goodness-of-fit test technique, based on a nonparametric maximum likelihood ratio type of test, is also proposed to detect whether certain coefficient functions in a varying-coefficient model are constant or whether any covariates are statistically significant in the model. The null distribution of the test is estimated by a conditional bootstrap method. Our estimation techniques involve solving hundreds of local likelihood equations. To reduce the computational burden, a one-step Newton-Raphson estimator is proposed and implemented. The resulting one

We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the spike magnitude of leading eigenvalues, sample size, and dimensionality. This new regime allows high dimensionality and diverging eigenvalue spikes and provides new insights into the roles the leading eigenvalues, sample size, and dimensionality play in principal component analysis. The results are proven by a technical device, which swaps the role of rows and columns and converts the high-dimensional problems into low-dimensional ones. Our results are a natural extension of those in Paul (2007) to more general setting with new insights and solve the rates of convergence problems in Shen et al.(2013). They also reveal the biases of the estimation of leading eigenvalues and eigenvectors by using principal component analysis, and lead to a new covariance estimator for the approximate factor model, called shrinkage principal orthogonal complement thresholding (S-POET), that corrects the biases. Our results are successfully applied to outstanding problems in estimation of risks of large portfolios and false discovery proportions for dependent test statistics and are illustrated by simulation studies.

Penalized likelihood methods are fundamental to ultrahigh dimensional variable selection. How high dimensionality such methods can handle remains largely unknown. In this paper, we show that in the context of generalized linear models, such methods possess model selection consistency with oracle properties even for dimensionality of nonpolynomial (NP) order of sample size, for a class of penalized likelihood approaches using folded-concave penalty functions, which were introduced to ameliorate the bias problems of convex penalty functions. This fills a long-standing gap in the literature where the dimensionality is allowed to grow slowly with the sample size. Our results are also applicable to penalized likelihood with the <i>L</i> ₁ -penalty, which is a convex function at the boundary of the class of folded-concave penalty functions under consideration. The coordinate optimization is implemented for finding the

In this paper, we study robust covariance estimation under the approximate factor model with observed factors. We propose a novel framework to first estimate the initial joint covariance matrix of the observed data and the factors, and then use it to recover the covariance matrix of the observed data. We prove that once the initial matrix estimator is good enough to maintain the element-wise optimal rate, the whole procedure will generate an estimated covariance with desired properties. For data with bounded fourth moments, we propose to use adaptive Huber loss minimization to give the initial joint covariance estimation. This approach is applicable to a much wider class of distributions, beyond sub-Gaussian and elliptical distributions. We also present an asymptotic result for adaptive Hubers M-estimator with a diverging parameter. The conclusions are demonstrated by extensive simulations and real data analysis.

Motivated by recent work on studying massive imaging data in various neuroimaging studies, we propose a novel spatially varying coefficient model (SVCM) to capture the varying association between imaging measures in a three-dimensional volume (or two-dimensional surface) with a set of covariates. Two stylized features of neuorimaging data are the presence of multiple piecewise smooth regions with unknown edges and jumps and substantial spatial correlations. To specifically account for these two features, SVCM includes a measurement model with multiple varying coefficient functions, a jumping surface model for each varying coefficient function, and a functional principal component model. We develop a three-stage estimation procedure to simultaneously estimate the varying coefficient functions and the spatial correlations. The estimation procedure includes a fast multiscale adaptive estimation and