Related papers: Approximated maximum likelihood estimation in mult…
Maximization of the entropy rate is an important issue to design diffusion processes aiming at a well-mixed state. We demonstrate that it is possible to construct maximal-entropy random walks with only local information on the graph…
The restricted maximum likelihood method enhances popularity of maximum likelihood methods for variance component analysis on large scale unbalanced data. As the high throughput biological data sets and the emerged science on uncertainty…
We present a method for computing the likelihood of a mixed hitting-time model that specifies durations as the first time a latent L\'evy process crosses a heterogeneous threshold. This likelihood is not generally known in closed form, but…
Let $N$ and $M$ be positive integers satisfying $1\le M\le N$, and let $0<p_0<p_1<1$. Define a process $\{X_n\}_{n=0}^\infty$ on $\mathbb{Z}$ as follows. At each step, the process jumps either one step to the right or one step to the left,…
We consider trawl processes, which are stationary and infinitely divisible stochastic processes and can describe a wide range of statistical properties, such as heavy tails and long memory. In this paper, we develop the first…
Consider an $(L,1)$ random walk in an i.i.d. random environment, whose environment involves certain parameter. We get the maximum likelihood estimator(MLE) of the environment parameter which can be written as functionals of a multitype…
We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parameter. Our approach is based on the approximation by random…
This paper is devoted to parameter estimation of the mixed fractional Ornstein-Uhlenbeck process with a drift. Large sample asymptotical properties of the Maximum Likelihood Estimator is deduced using the Laplace transform computations or…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
An estimation method is proposed for a wide variety of discrete time stochastic processes that have an intractable likelihood function but are otherwise conveniently specified by an integral transform such as the characteristic function,…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
In this work, we perform safety analysis of linear dynamical systems with uncertainties. Instead of computing a conservative overapproximation of the reachable set, our approach involves computing a statistical approximate reachable set. As…
We propose a method of estimating the uncertainty of a result obtained through extrapolation to the complete basis set limit. The method is based on an ensemble of random walks which simulate all possible extrapolation outcomes that could…
Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated…
Complex models used to describe biological processes in epidemiology and ecology often have computationally intractable or expensive likelihoods. This poses significant challenges in terms of Bayesian inference but more significantly in the…
Most statistical software packages implement numerical strategies for computation of maximum likelihood estimates in random effects models. Little is known, however, about the algebraic complexity of this problem. For the one-way layout…
In exploratory factor analysis, model parameters are usually estimated by maximum likelihood method. The maximum likelihood estimate is obtained by solving a complicated multivariate algebraic equation. Since the solution to the equation is…
Learning the parameters of graphical models using the maximum likelihood estimation is generally hard which requires an approximation. Maximum composite likelihood estimations are statistical approximations of the maximum likelihood…
In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model,…