Related papers: Improved multivariate normal mean estimation with …
This paper deals with the asymptotic statistical properties of a class of redescending M-estimators in linear models with increasing dimension. This class is wide enough to include popular high breakdown point estimators such as…
Instrumental variable models allow us to identify a causal function between covariates $X$ and a response $Y$, even in the presence of unobserved confounding. Most of the existing estimators assume that the error term in the response $Y$…
We consider the problem of estimating the mean and covariance of a distribution from iid samples in $\mathbb{R}^n$, in the presence of an $\eta$ fraction of malicious noise; this is in contrast to much recent work where the noise itself is…
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,…
We re-investigate the asymptotic properties of the traditional OLS (pooled) estimator, $\hat{\beta} _P$, in the context of cluster dependence. The present study considers various scenarios under various restrictions on the cluster sizes and…
In this work we consider the problem of estimating a high-dimensional $p \times p$ covariance matrix $\Sigma$, given $n$ observations of confounded data with covariance $\Sigma + \Gamma \Gamma^T$, where $\Gamma$ is an unknown $p \times q$…
We discuss a class of difference-based estimators for the autocovariance in nonparametric regression when the signal is discontinuous (change-point regression), possibly highly fluctuating, and the errors form a stationary $m$-dependent…
We introduce a new method for estimating the mean of an outcome variable within groups when researchers only observe the average of the outcome and group indicators across a set of aggregation units, such as geographical areas. Existing…
U-statistics constitute a large class of estimators, generalizing the empirical mean of a random variable $X$ to sums over every $k$-tuple of distinct observations of $X$. They may be used to estimate a regular functional $\theta(P_{X})$ of…
We study regression discontinuity designs with the use of additional covariates for estimation of the average treatment effect. We provide a detailed proof of asymptotic normality of the covariate-adjusted estimator under minimal…
To measure the degree of agreement between two observers that independently classify $n$ subjects within $K$ categories, it is common to use different kappa type coefficients, the most common of which is the $\kappa_C$ coefficient (Cohen's…
The distribution functions of the matricvariate beta type I and II distributions are studied under real normed division algebras. The unified approach for real, complex, quaternions and octonions, also considers general properties and…
In this paper we study covariance estimation with missing data. We consider missing data mechanisms that can be independent of the data, or have a time varying dependency. Additionally, observed variables may have arbitrary (non uniform)…
This paper deals with testing for nondegenerate normality of a $d$-variate random vector $X$ based on a random sample $X_1,\ldots,X_n$ of $X$. The rationale of the test is that the characteristic function $\psi(t) = \exp(-\|t\|^2/2)$ of the…
The main theorem in Judge and Mittelhammer [Judge, G. G., and Mittelhammer, R. (2004), A Semiparametric Basis for Combining Estimation Problems under Quadratic Loss; JASA, 99, 466, 479--487] stipulates that, in the context of nonzero…
We study the problem of estimation of the value N_gamma(\theta) = sum(i=1)^d |\theta_i|^gamma for 0 < gamma <= 1 based on the observations y_i = \theta_i + \epsilon\xi_i, i = 1,...,d, where \theta = (\theta_1,...,\theta_d) are unknown…
We present new M-estimators of the mean and variance of real valued random variables, based on PAC-Bayes bounds. We analyze the non-asymptotic minimax properties of the deviations of those estimators for sample distributions having either a…
Using log canonical thresholds and basis divisors Fujita--Odaka introduced purely algebro-geometric invariants $\delta_m$ whose limit in $m$ is now known to characterize uniform K-stability on a Fano variety. As shown by Blum-Jonsson this…
In this article, we propose a new class of consistent tests for $p$-variate normality. These tests are based on the characterization of the standard multivariate normal distribution, that the Hessian of the corresponding cumulant generating…
We study the tail bound of the emperical covariance of multivariate normal distribution. Following the work of (Gittens & Tropp, 2011), we provide a tail bound with a small constant.