Related papers: Asymptotic normality of the mixture density estima…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
We establish the asymptotic theory of least absolute deviation estimators for AR(1) processes with autoregressive parameter satisfying $n(\rho_n-1)\to\gamma$ for some fixed $\gamma$ as $n\to\infty$, which is parallel to the results of…
Datasets from the fields of bioinformatics, chemometrics, and face recognition are typically characterized by small samples of high-dimensional data. Among the many variants of linear discriminant analysis that have been proposed in order…
We construct a density estimator and an estimator of the distribution function in the uniform deconvolution model. The estimators are based on inversion formulas and kernel estimators of the density of the observations and its derivative.…
We propose a general framework for regularization in M-estimation problems under time dependent (absolutely regular-mixing) data which encompasses many of the existing estimators. We derive non-asymptotic concentration bounds for the…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
Non-linear aggregation strategies have recently been proposed in response to the problem of how to combine, in a non-linear way, estimators of the regression function (see for instance \cite{biau:16}), classification rules (see…
We consider the Halfin-Whitt diffusion process $X_d(t)$, which is used, for example, as an approximation to the $m$-server $M/M/m$ queue. We use recently obtained integral representations for the transient density $p(x,t)$ of this diffusion…
In Bayesian nonparametric inference, random discrete probability measures are commonly used as priors within hierarchical mixture models for density estimation and for inference on the clustering of the data. Recently, it has been shown…
We provide asymptotic formulae for the numbers of bipartite graphs with given degree sequence, and of loopless digraphs with given in- and out-degree sequences, for a wide range of parameters. Our results cover medium range densities and…
We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…
This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models…
It is demonstrated how to represent asymptotically mean stationary (AMS) random sources with values in standard spaces as mixtures of ergodic AMS sources. This an extension of the well known decomposition of stationary sources which has…
If multiway cluster-robust standard errors are used routinely in applied economics, surprisingly few theoretical results justify this practice. This paper aims to fill this gap. We first prove, under nearly the same conditions as with…
We establish the asymptotic normality of the regression estimator in a fixed-design setting when the errors are given by a field of dependent random variables. The result applies to martingale-difference or strongly mixing random fields. On…
This paper studies the asymptotic distribution of a constrained lasso-type estimator for denoising signals defined on the nodes of a graph, where the underlying structure encodes relationships between variables. We show that, under suitable…
It is well known that if the power spectral density of a continuous time stationary stochastic process does not have a compact support, data sampled from that process at any uniform sampling rate leads to biased and inconsistent spectrum…
We study the isotonic regression estimator over a general countable pre-ordered set. We obtain the limiting distribution of the estimator and study its properties. It is proved that, under some general assumptions, the limiting distribution…
We provide new asymptotic theory for kernel density estimators, when these are applied to autoregressive processes exhibiting moderate deviations from a unit root. This fills a gap in the existing literature, which has to date considered…
Let $X_1,...,X_n$ be i.i.d. observations, where $X_i=Y_i+\sigma_n Z_i$ and the $Y$'s and $Z$'s are independent. Assume that the $Y$'s are unobservable and that they have the density $f$ and also that the $Z$'s have a known density $k.$…