Related papers: Adaptive estimation of the copula correlation matr…
Non-random sample selection is a commonplace amongst many empirical studies and it appears when an output variable of interest is available only for a restricted non-random sub-sample of data. We introduce an extension of the generalized…
This study aims at contributing to lower bounds for empirical compatibility constants or empirical restricted eigenvalues. This is of importance in compressed sensing and theory for $\ell_1$-regularized estimators. Let $X$ be an $n \times…
A new nonparametric estimator for Toeplitz covariance matrices is proposed. This estimator is based on a data transformation that translates the problem of Toeplitz covariance matrix estimation to the problem of mean estimation in an…
A classical approach to accurately estimating the covariance matrix \Sigma of a p-variate normal distribution is to draw a sample of size n > p and form a sample covariance matrix. However, many modern applications operate with much smaller…
In dependently censored survival data, the usual assumption of independent censoring or an incorrect specification of the correlation between the event and censoring times can bias marginal survival inference. Likelihood-based estimation of…
Conformal prediction provides distribution-free predictive intervals with finite-sample marginal coverage. However, achieving conditional validity and interval efficiency (in terms of short interval length) remains challenging, particularly…
In this paper, we propose simple estimation methods dedicated to a semiparametric family of bivariate copulas. These copulas can be simply estimated through the estimation of their univariate generating function. We take profit of this…
Principal component analysis (PCA) is one of the most popular dimension reduction methods. The usual PCA is known to be sensitive to the presence of outliers, and thus many robust PCA methods have been developed. Among them, the Tyler's…
In this paper, to the best of our knowledge, we make the first attempt at studying the parametric semilinear elliptic eigenvalue problems with the parametric coefficient and some power-type nonlinearities. The parametric coefficient is…
The renormalized coupling $\gr$ defined through the connected 4-point function at zero external momentum in the non-linear O(3) sigma-model in two dimensions, is computed in the continuum form factor bootstrap approach with estimated error…
Kappa distributions are widely used in space plasma physics to model velocity distribution functions with heavy tails. Parameter estimation in these distributions is, however, complicated by the fact that the kappa distribution does not…
In high dimensional sparse regression, pivotal estimators are estimators for which the optimal regularization parameter is independent of the noise level. The canonical pivotal estimator is the square-root Lasso, formulated along with its…
I present a new improved estimator for the correlation function of 2D nonlinear sigma models. Numerical tests for the 2D XY model and the 2D O(3)-invariant vector model were performed. For small physical volume, i.e. a lattice size small…
Given finite i.i.d.~samples in a Hilbert space with zero mean and trace-class covariance operator $\Sigma$, the problem of recovering the spectral projectors of $\Sigma$ naturally arises in many applications. In this paper, we consider the…
We propose semiparametric estimators, called elliptical skew-(S)KEPTIC, for efficiently and robustly estimating non-Gaussian graphical models. Our approach extends the semiparametric elliptical framework to the meta skew-elliptical family,…
In many real-world problems, recovering sparse signals from underdetermined linear systems remains a fundamental challenge. Although $\ell_1$ norm minimization is widely used, it suffers from estimation bias that prevents it from reaching…
We study the estimation of high-dimensional covariance matrices under elliptical factor models with 2 + {\epsilon}th moment. For such heavy-tailed data, robust estimators like the Huber-type estimator in Fan, Liu and Wang (2018) can not…
Many risk-sensitive applications require well-calibrated prediction sets over multiple, potentially correlated target variables, for which the prediction algorithm may report correlated errors. In this work, we aim to construct the…
In a recent paper Noh et al. (2013) proposed a new semiparametric estimate of a regression function with a multivariate predictor, which is based on a specification of the dependence structure between the predictor and the response by means…
When approximating elliptic problems by using specialized approximation techniques, we obtain large structured matrices whose analysis provides information on the stability of the method. Here we provide spectral and norm estimates for…