Related papers: Elemental unbiased estimators for the Generalized …
This paper addresses the problem of estimating the tail index of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A…
Flexible spatial models that allow transitions between tail dependence classes have recently appeared in the literature. However, inference for these models is computationally prohibitive, even in moderate dimensions, due to the necessity…
This paper proposes a unified class of generalized location-scale mixture of multivariate elliptical distributions and studies integral stochastic orderings of random vectors following such distributions. Given a random vector…
Numerous approaches are proposed in the literature for non-stationarity marginal extreme value inference, including different model parameterisations with respect to covariate, and different inference schemes. The objective of this article…
Here we suppose that the observed random variable has cumulative distribution function $F$ with regularly varying tail, i.e. $1-F \in RV_{-\alpha}$, $\alpha > 0$. Using the results about exponential order statistics we investigate…
Ridge estimators regularize the squared Euclidean lengths of parameters. Such estimators are mathematically and computationally attractive but involve tuning parameters that can be difficult to calibrate. In this paper, we show that ridge…
We propose a two-step estimating procedure for generalized additive partially linear models with clustered data using estimating equations. Our proposed method applies to the case that the number of observations per cluster is allowed to…
Estimating the score, i.e., the gradient of log density function, from a set of samples generated by an unknown distribution is a fundamental task in inference and learning of probabilistic models that involve flexible yet intractable…
In linear regression we wish to estimate the optimum linear least squares predictor for a distribution over $d$-dimensional input points and real-valued responses, based on a small sample. Under standard random design analysis, where the…
Heavy-tailed distributions are infamously difficult to estimate because their moments tend to infinity as the shape of the tail decay increases. Nevertheless, this study shows the utilization of a modified group of moments for estimating a…
In this paper we consider the semi-parametric estimation of extreme quantiles of a right heavy-tail model. We propose a new Log Probability Weighted Moment estimator for extreme quantiles, which is obtained from the estimators of the shape…
Linear structural equation models, which relate random variables via linear interdependencies and Gaussian noise, are a popular tool for modeling multivariate joint distributions. These models correspond to mixed graphs that include both…
In this paper, we consider the situation in which the observations follow an isotonic generalized partly linear model. Under this model, the mean of the responses is modelled, through a link function, linearly on some covariates and…
We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, there…
We present a novel \textit{a posteriori} error estimator for N\'ed\'elec elements for magnetostatic problems that is constant-free, i.e. it provides an upper bound on the error that does not involve a generic constant. The estimator is…
A generalized matrix-pencil approach is proposed for the estimation of complex exponential components with segmented signal samples, which is very efficient and provides super-resolution estimations. It is applicable to the signals sampled…
In this paper, we observe a fixed number of unknown $2\pi$-periodic functions differing from each other by both phases and amplitude. This semiparametric model appears in literature under the name "shape invariant model." While the common…
We study high-dimensional regression in principal components space when the predictors are observed with additive measurement error and the response errors may be heavy-tailed. The starting point is the $\ell_1$-penalized…
The classical approach to analyzing extreme value data is the generalized Pareto distribution (GPD). When the GPD is used to explain a target variable with the large dimension of covariates, the shape and scale function of covariates…
A means to take advantage of molecular similarity to lower the computational cost of electronic structure theory is explored, in which parameters are embedded into a low-cost, low-level (LL) ab initio model and adjusted to obtain agreement…