Related papers: On approximate pseudo-maximum likelihood estimatio…
A new property which relies on the linear programming (LP) decoder, the approximate maximum-likelihood certificate (AMLC), is introduced. When using the belief propagation decoder, this property is a measure of how close the decoded…
The pseudo-marginal algorithm is a variant of the Metropolis--Hastings algorithm which samples asymptotically from a probability distribution when it is only possible to estimate unbiasedly an unnormalized version of its density.…
Transfer learning for nonparametric regression is considered. We first study the non-asymptotic minimax risk for this problem and develop a novel estimator called the confidence thresholding estimator, which is shown to achieve the minimax…
This paper establishes the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with periodically time-varying parameters. We first give a necessary and sufficient condition for…
In a vast area of probabilistic limit theorems for dynamical systems with chaotic behaviors always only functional form (exponential, power, etc) of the asymptotic laws and of convergence rates were studied. However, for basically all…
Most identification laws of unknown parameters of linear regression equations (LRE) ensure only boundedness of a parametric error in the presence of additive perturbations, which is almost always unacceptable for practical scenarios. In…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
A joint conditional autoregressive expectile and Expected Shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous dependence between the realized measures and…
It is typically proven in adaptive control that asymptotic stabilization and tracking holds, and that at best a bounded-noise bounded-state property is proven. Recently, it has been shown in both the pole-placement control and the $d$-step…
We prove lower bounds for the randomized approximation of the embedding $\ell_1^m \rightarrow \ell_\infty^m$ based on algorithms that use arbitrary linear (hence non-adaptive) information provided by a (randomized) measurement matrix $N \in…
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions…
We develop a martingale approximation approach to studying the limiting behavior of quadratic forms of Markov chains. We use the technique to examine the asymptotic behavior of lag-window estimators in time series and we apply the results…
We introduce the first probabilistic framework tailored for sequential random projection, an approach rooted in the challenges of sequential decision-making under uncertainty. The analysis is complicated by the sequential dependence and…
In this paper, we conduct a convergence rate analysis of the augmented Lagrangian method with a practical relative error criterion designed in Eckstein and Silva [Math. Program., 141, 319--348 (2013)] for convex nonlinear programming…
A novel data-driven method for formal verification is proposed to study complex systems operating in safety-critical domains. The proposed approach is able to formally verify discrete-time stochastic dynamical systems against temporal logic…
We consider a log-linear model for survival data, where both the location and scale parameters depend on covariates and the baseline hazard function is completely unspecified. This model provides the flexibility needed to capture many…
We propose a two-step pseudo-maximum likelihood procedure for semiparametric single-index regression models where the conditional variance is a known function of the regression and an additional parameter. The Poisson single-index…
Knowing the link between observed predictive variables and outcomes is crucial for making inference in any regression model. When this link is missing, partially or completely, classical estimation methods fail in recovering the true…
The problem of estimating a linear functional based on observational data is canonical in both the causal inference and bandit literatures. We analyze a broad class of two-stage procedures that first estimate the treatment effect function,…
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…