Related papers: Moments Calculation For the Doubly Truncated Multi…
To overcome the drawbacks of Shannon's entropy, the concept of cumulative residual and past entropy has been proposed in the information theoretic literature. Furthermore, the Shannon entropy has been generalized in a number of different…
We derive a novel variational expectation maximization approach based on truncated posterior distributions. Truncated distributions are proportional to exact posteriors within subsets of a discrete state space and equal zero otherwise. The…
We use bias-reduced estimators of high quantiles, of heavy-tailed distributions, to introduce a new estimator of the mean in the case of infinite second moment. The asymptotic normality of the proposed estimator is established and checked,…
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a certain time interval, determined by a Uniform distribution.…
This article deals with the hypothesis test for the extremely heavy-tailed distributions with infinite mean or variance by using a truncated sample mean. We obtain three necessary and sufficient conditions under which the asymptotic…
In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. This enhancement is based on a truncation of the control variate and allows for a significant reduction of…
Multiple imputation is a popular imputation method for general purpose estimation. Rubin(1987) provided an easily applicable formula for the variance estimation of multiple imputation. However, the validity of the multiple imputation…
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the…
Several formulations have long existed in the literature in the form of continuous mixtures of normal variables where a mixing variable operates on the mean or on the variance or on both the mean and the variance of a multivariate normal…
This paper is concerned with complex eigenvalues of truncated unitary quaternion matrices equipped with the Haar measure. The joint eigenvalue probability density function is obtained for truncations of any size. We also obtain the spectral…
Motivated by a recent result of Daskalakis et al. 2018, we analyze the population version of Expectation-Maximization (EM) algorithm for the case of \textit{truncated} mixtures of two Gaussians. Truncated samples from a $d$-dimensional…
This paper studies generalized truncated moment problems with unbounded sets. First, we study geometric properties of the truncated moment cone and its dual cone of nonnegative polynomials. By the technique of homogenization, we give a…
This paper focuses on the numerical scheme for multiple-delay stochastic differential equations with partially H\"older continuous drifts and locally H\"older continuous diffusion coefficients. To handle with the superlinear terms in…
Let $U$ be a matrix chosen randomly, with respect to Haar measure, from the unitary group $U(d).$ We express the moments of the trace of any submatrix of $U$ as a sum over partitions whose terms count certain standard and semistandard Young…
In this article we study the bivariate truncated moment problem (TMP) of degree $2k$ on reducible cubic curves. First we show that every such TMP is equivalent after applying an affine linear transformation to one of 8 canonical forms of…
We show a statistical version of Taylor's theorem and apply this result to non-parametric density estimation from truncated samples, which is a classical challenge in Statistics \cite{woodroofe1985estimating, stute1993almost}. The…
Multifractal systems usually have singularity spectra defined on bounded sets of H\"older exponents. As a consequence, their associated multifractal scaling exponents are expected to depend linearly upon statistical moment orders at high…
Multirate digital signal processing and model reduction applications require computation of the frequency truncated norm of a discrete-time system. This paper explains how to compute the frequency truncated norm of a discrete-time system.…
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a…
There are several ways to establish the asymptotic normality of $L$-statistics, which depend on the choice of the weights-generating function and the cumulative distribution selection of the underlying model. In this study, we focus on…