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We consider the problem of randomly choosing the sensors of a linear time-invariant dynamical system subject to process and measurement noise. We sample the sensors independently and from the same distribution. We measure the performance of…
This paper introduces a data-adaptive non-parametric approach for the estimation of time-varying spectral densities from nonstationary time series. Time-varying spectral densities are commonly estimated by local kernel smoothing. The…
We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured in $L_1$. No additional assumptions are imposed to the…
This work introduces the Gaussian integration to address a smoothing problem of a nonlinear stochastic state space model. The probability densities of states at each time instant are assumed to be Gaussian, and their means and covariances…
Nonparametric density estimation is of great importance when econometricians want to model the probabilistic or stochastic structure of a data set. This comprehensive review summarizes the most important theoretical aspects of kernel…
We present a new adaptive kernel density estimator based on linear diffusion processes. The proposed estimator builds on existing ideas for adaptive smoothing by incorporating information from a pilot density estimate. In addition, we…
We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noises. We consider the intermediate regime, where observations occur at…
This paper proposes nonparametric kernel-smoothing estimation for panel data to examine the degree of heterogeneity across cross-sectional units. We first estimate the sample mean, autocovariances, and autocorrelations for each unit and…
We consider bandwidth matrix selection for kernel density estimators (KDEs) of density level sets in $\mathbb{R}^d$, $d \ge 2$. We also consider estimation of highest density regions, which differs from estimating level sets in that one…
A spectral mixture (SM) kernel is a flexible kernel used to model any stationary covariance function. Although it is useful in modeling data, the learning of the SM kernel is generally difficult because optimizing a large number of…
Kalman filtering can provide an optimal estimation of the system state from noisy observation data. This algorithm's performance depends on the accuracy of system modeling and noise statistical characteristics, which are usually challenging…
We derive an optimal linear filter to suppress the noise from the COBE DMR sky maps for a given power spectrum. We then apply the filter to the first-year DMR data, after removing pixels within $20^\circ$ of the Galactic plane from the…
State estimation in heavy-tailed process and measurement noise is an important challenge that must be addressed in, e.g., tracking scenarios with agile targets and outlier-corrupted measurements. The performance of the Kalman filter (KF)…
The present paper proposes generalized Gaussian kernel adaptive filtering, where the kernel parameters are adaptive and data-driven. The Gaussian kernel is parametrized by a center vector and a symmetric positive definite (SPD) precision…
Nonparametric estimation of copula density functions using kernel estimators presents significant challenges. One issue is the potential unboundedness of certain copula density functions at the corners of the unit square. Another is the…
In this paper we consider the kernel estimators of a distribution function defined by the stochastic approximation algorithm when the observation are contamined by measurement errors. It is well known that this estimators depends heavily on…
Gaussian mixtures are a common density representation in nonlinear, non-Gaussian Bayesian state estimation. Selecting an appropriate number of Gaussian components, however, is difficult as one has to trade of computational complexity…
We consider estimating the density of a response conditioning on an error-prone covariate. Motivated by two existing kernel density estimators in the absence of covariate measurement error, we propose a method to correct the existing…
In this paper is proposed a novel incremental iterative Gauss-Newton-Markov-Kalman filter method for state estimation of dynamic models given noisy measurements. The mathematical formulation of the proposed filter is based on the…
This paper develops a nonparametric density estimator with parametric overtones. Suppose $f(x,\theta)$ is some family of densities, indexed by a vector of parameters $\theta$. We define a local kernel smoothed likelihood function which for…