Related papers: Estimators of Long-Memory: Fourier versus Wavelets
A theory of superefficiency and adaptation is developed under flexible performance measures which give a multiresolution view of risk and bridge the gap between pointwise and global estimation. This theory provides a useful benchmark for…
A nonparametric method is proposed for estimating the quantile spectra and cross-spectra introduced in Li (2012; 2014) as bivariate functions of frequency and quantile level. The method is based on the quantile discrete Fourier transform…
In this paper, we study the problem of estimation and learning under temporal distribution shift. Consider an observation sequence of length $n$, which is a noisy realization of a time-varying groundtruth sequence. Our focus is to develop…
We propose FNETS, a methodology for network estimation and forecasting of high-dimensional time series exhibiting strong serial- and cross-sectional correlations. We operate under a factor-adjusted vector autoregressive (VAR) model which,…
We consider a three-level meta-analysis of standardized mean differences. The standard method of estimation uses inverse-variance weights and REML/PL estimation of variance components for the random effects. We introduce new moment-based…
Large Language Models (LLMs) demonstrate remarkable capabilities in question answering (QA), but metrics for assessing their reliance on memorization versus retrieval remain underdeveloped. Moreover, while finetuned models are…
Image representations (artificial or biological) are often compared in terms of their global geometric structure; however, representations with similar global structure can have strikingly different local geometries. Here, we propose a…
In studies involving lifetimes, observed survival times are frequently censored and possibly subject to biased sampling. In this paper, we model survival times under biased sampling (a.k.a., biased survival data) by a semi-parametric model,…
In the realm of large-scale language models, a significant challenge arises when extrapolating sequences beyond the maximum allowable length. This is because the model's position embedding mechanisms are limited to positions encountered…
In this paper, a hard thresholding wavelet estimator is constructed for a deconvolution model in a periodic setting that has long-range dependent noise. The estimation paradigm is based on a maxiset method that attains a near optimal rate…
Suppose that we wish to estimate a finite-dimensional summary of one or more function-valued features of an underlying data-generating mechanism under a nonparametric model. One approach to estimation is by plugging in flexible estimates of…
We revisit the use of spectral techniques to replaces the attention mechanism in Transformers through Fourier Transform based token mixing, and present a comprehensive and novel reformulation of this technique in next generation transformer…
We consider initial value problems where we are interested in a quantity of interest (QoI) that is the integral in time of a functional of the solution of the IVP. For these, we look into local error based time adaptivity. We derive a goal…
This paper proposes Fourier-based and wavelet-based techniques for analyzing periodic financial time series. Conventional models such as the periodic autoregressive conditional heteroscedastic (PGARCH) and periodic autoregressive…
This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve approach, whereby the dynamics in the process used…
We study parameter inference in large-scale latent variable models. We first propose an unified treatment of online inference for latent variable models from a non-canonical exponential family, and draw explicit links between several…
This paper develops a nonparametric density estimator with parametric overtones. Suppose $f(x,\theta)$ is some family of densities, indexed by a vector of parameters $\theta$. We define a local kernel smoothed likelihood function which for…
The paper deals with generalized functional regression. The aim is to estimate the influence of covariates on observations, drawn from an exponential distribution. The link considered has a semiparametric expression: if we are interested in…
We consider the problem of estimating multiple phases using a multi-mode interferometer. In this setting we show that while global strategies with multi-mode entanglement can lead to high precision gains, the same precision enhancements can…
We propose Deep Longitudinal Targeted Minimum Loss-based Estimation (Deep LTMLE), a novel approach to estimate the counterfactual mean of outcome under dynamic treatment policies in longitudinal problem settings. Our approach utilizes a…