Related papers: Concentration Inequalities from Likelihood Ratio M…
We show how to use the Malliavin calculus to obtain density estimates of the law of general centered random variables. In particular, under a non-degeneracy condition, we prove and use a new formula for the density of a random variable…
The paper deals with studying a connection of the Littlewood--Offord problem with estimating the concentration functions of some symmetric infinitely divisible distributions.
We show that moment inequalities in a wide variety of economic applications have a particular linear conditional structure. We use this structure to construct uniformly valid confidence sets that remain computationally tractable even in…
The log-normal distribution is used to describe the positive data, that it has skewed distribution with small mean and large variance. This distribution has application in many sciences for example medicine, economics, biology and…
We consider uniform moment convergence of lag-window spectral density estimates for univariate and multivariate stationary processes. Optimal rates of convergence are obtained under mild and easily verifiable conditions. Our theory…
This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend…
Three-way data can be conveniently modelled by using matrix variate distributions. Although there has been a lot of work for the matrix variate normal distribution, there is little work in the area of matrix skew distributions. Three matrix…
In this paper, we propose a new distribution with unitary support which can be characterized as a ratio of the type $W=X_1/(X_1+X_2)$, where $(X_1, X_2)^\top$ follows a bivariate extreme distribution with Fr\'echet margins, that is, $X_1$…
In our paper published earlier we discussed forecasts of earthquake focal mechanism and ways to test the forecast efficiency. Several verification methods were proposed, but they were based on ad-hoc, empirical assumptions, thus their…
In statistics, there are a variety of methods for performing model selection that all stem from slightly different paradigms of statistical inference. The reasons for choosing one particular method over another seem to be based entirely on…
Mixed linear models are commonly used in repeated measures studies. They account for the dependence amongst observations obtained from the same experimental unit. Oftentimes, the number of observations is small, and it is thus important to…
In many empirical studies of a large two-sided matching market (such as in a college admissions problem), the researcher performs statistical inference under the assumption that they observe a random sample from a large matching market. In…
In this paper, we propose to obtain the skewed version of a unimodal symmetric density using a skewing mechanism that is not based on a cumulative distribution function. Then we disturb the unimodality of the resulting skewed density. In…
In the absence of randomized controlled and natural experiments, it is necessary to balance the distributions of (observable) covariates of the treated and control groups in order to obtain an unbiased estimate of a causal effect of…
In this paper we develop a likelihood-free approach for population calibration, which involves finding distributions of model parameters when fed through the model produces a set of outputs that matches available population data. Unlike…
Various problems in Engineering and Statistics require the computation of the likelihood ratio function of two probability densities. In classical approaches the two densities are assumed known or to belong to some known parametric family.…
This paper derives exponential tail bounds and polynomial moment inequalities for the spectral norm deviation of a random matrix from its mean value. The argument depends on a matrix extension of Stein's method of exchangeable pairs for…
We present a concentration inequality for linear functionals of noncommutative polynomials in random matrices. Our hypotheses cover most standard ensembles, including Gaussian matrices, matrices with independent uniformly bounded entries…
Mixture models whose components have skewed hypercube contours are developed via a generalization of the multivariate shifted asymmetric Laplace density. Specifically, we develop mixtures of multiple scaled shifted asymmetric Laplace…
Recently Liu and Wang derived the likelihood ratio test (LRT) statistic and its asymptotic distribution for testing equality of two multinomial distributions vs. the alternative that the second distribution is larger in terms of increasing…