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Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical…
We study parametric inference for diffusion processes when observations occur nonsynchronously and are contaminated by market microstructure noise. We construct a quasi-likelihood function and study asymptotic mixed normality of…
This paper takes a different approach for the distributed linear parameter estimation over a multi-agent network. The parameter vector is considered to be stochastic with a Gaussian distribution. The sensor measurements at each agent are…
Parameter estimation in a class of heteroscedastic time series models is investigated. The existence of conditional least-squares and conditional likelihood estimators is proved. Their consistency and their asymptotic normality are…
The moment method is a well known mode identification technique in asteroseismology (where `mode' is to be understood in an astronomical rather than in a statistical sense), which uses a time series of the first 3 moments of a spectral line…
Given noisy data, function estimation is considered when the unknown function is known a priori to consist of a small number of regions where the function is either convex or concave. When the number of regions is unknown, the model…
We consider problem of signal detection in Gaussian white noise. Test statistics are linear combinations of squares of estimators of Fourier coefficients or $\mathbb{L}_2$-norms of kernel estimators. We point out necessary and sufficient…
A statistical model is said to be un-normalised when its likelihood function involves an intractable normalising constant. Two popular methods for parameter inference for these models are MC-MLE (Monte Carlo maximum likelihood estimation),…
This paper presents two schemes to jointly estimate parameters and states of discrete-time nonlinear systems in the presence of bounded disturbances and noise and where the parameters belong to a known compact set. The schemes are based on…
The paper studies distributed static parameter (vector) estimation in sensor networks with nonlinear observation models and noisy inter-sensor communication. It introduces \emph{separably estimable} observation models that generalize the…
A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…
One of the most important problems in system identification and statistics is how to estimate the unknown parameters of a given model. Optimization methods and specialized procedures, such as Empirical Minimization (EM) can be used in case…
This paper develops an asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensional unknown parameter. We give sufficient conditions for the associated sequence of statistical models…
The recently proposed statistical finite element (statFEM) approach synthesises measurement data with finite element models and allows for making predictions about the unknown true system response. We provide a probabilistic error analysis…
We consider the problem of parameter estimation by observations of inhomogeneous Poisson process. It is well-known that if the regularity conditions are fulfilled then the maximum likelihood and Bayesian estimators are consistent,…
Spectral estimation is a fundamental problem for time series analysis, which is widely applied in economics, speech analysis, seismology, and control systems. The asymptotic convergence theory for classical, non-parametric estimators, is…
This work establishes regularity conditions for consistency and asymptotic normality of the multiple parameter maximum likelihood estimator(MLE) from censored data, where the censoring mechanism is in the form of $1$-bit measurements. The…
We consider the sparse estimation for stochastic processes with possibly infinite-dimensional nuisance parameters, by using the Dantzig selector which is a sparse estimation method similar to $Z$-estimation. When a consistent estimator for…
We develop an asymptotic statistical theory for parameter estimation from a class of non-i.i.d. periodic binary event-detection processes subject to nonparalyzable dead time and gating, which we call "dead-time event detection" (DED)…