Related papers: Accelerated Nonparametric Maximum Likelihood Densi…
We study the strong approximation of a rough volatility model, in which the log-volatility is given by a fractional Ornstein-Uhlenbeck process with Hurst parameter $H<1/2$. Our methods are based on an equidistant discretization of the…
This paper proposes a new method of bandwidth selection in kernel estimation of density and distribution functions motivated by the connection between maximisation of the entropy of probability integral transforms and maximum likelihood in…
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for transition density is proposed and…
We study the estimation of the invariant density of additive fractional stochastic differential equations with Hurst parameter $H \in (0,1)$. We first focus on continuous observations and develop a kernel-based estimator achieving faster…
We propose a supervised anomaly detection method based on neural density estimators, where the negative log likelihood is used for the anomaly score. Density estimators have been widely used for unsupervised anomaly detection. By the recent…
In a previous article, a least square regression estimation procedure was proposed: first, we condiser a family of functions and study the properties of an estimator in every unidimensionnal model defined by one of these functions; we then…
Non-linear latent variable models have become increasingly popular in a variety of applications. However, there has been little study on theoretical properties of these models. In this article, we study rates of posterior contraction in…
To consider model uncertainty in global Fr\'{e}chet regression and improve density response prediction, we propose a frequentist model averaging method. The weights are chosen by minimizing a cross-validation criterion based on Wasserstein…
In this paper we study the computation of the nonparametric maximum likelihood estimator (NPMLE) in multivariate mixture models. Our first approach discretizes this infinite dimensional convex optimization problem by fixing the support…
The most ubiquitous form of computational aberration correction for microscopy is deconvolution. However, deconvolution relies on the assumption that the point spread function is the same across the entire field-of-view. This assumption is…
We consider the problem of approximating the unknown density $u\in L^2(\Omega,\lambda)$ of a measure $\mu$ on $\Omega\subset\R^n$, absolutely continuous with respect to some given reference measure $\lambda$, from the only knowledge of…
Given $n$ samples from a population of individuals belonging to different types with unknown proportions, how do we estimate the probability of discovering a new type at the $(n+1)$-th draw? This is a classical problem in statistics,…
In a first part, we prove Bernstein-type deviation inequalities for bifurcating Markov chains (BMC) under a geometric ergodicity assumption, completing former results of Guyon and Bitseki Penda, Djellout and Guillin. These preliminary…
The Expectation-Maximization (EM) algorithm is a widely used method for maximum likelihood estimation in models with latent variables. For estimating mixtures of Gaussians, its iteration can be viewed as a soft version of the k-means…
This paper studies identifiability and convergence behaviors for parameters of multiple types in finite mixtures, and the effects of model fitting with extra mixing components. First, we present a general theory for strong identifiability,…
This paper develops the process of using Richardson Extrapolation to improve the Kernel Density Estimation method, resulting in a more accurate (lower Mean Squared Error) estimate of a probability density function for a distribution of data…
Data observed at high sampling frequency are typically assumed to be an additive composite of a relatively slow-varying continuous-time component, a latent stochastic process or a smooth random function, and measurement error. Supposing…
Blind deconvolution problems are severely ill-posed because neither the underlying signal nor the forward operator are not known exactly. Conventionally, these problems are solved by alternating between estimation of the image and kernel…
We consider estimation of the common probability density $f$ of i.i.d. random variables $X_i$ that are observed with an additive i.i.d. noise. We assume that the unknown density $f$ belongs to a class $\mathcal{A}$ of densities whose…
We study Bayesian estimation of finite mixture models in a general setup where the number of components is unknown and allowed to grow with the sample size. An assumption on growing number of components is a natural one as the degree of…