Related papers: A New Model Variance Estimator for an Area Level S…
Model estimates obtained from traditional subspace identification methods may be subject to significant variance. This elevated variance is aggravated in the cases of large models or of a limited sample size. Common solutions to reduce the…
There exist several methods developed for the canonical change point problem of detecting multiple mean shifts, which search for changes over sections of the data at multiple scales. In such methods, estimation of the noise level is often…
We address covariance estimation in the sense of minimum mean-squared error (MMSE) for Gaussian samples. Specifically, we consider shrinkage methods which are suitable for high dimensional problems with a small number of samples (large p…
Subsampling is a computationally efficient and scalable method to draw inference in large data settings based on a subset of the data rather than needing to consider the whole dataset. When employing subsampling techniques, a crucial…
Despite the simplicity and intuitive interpretation of Minimum Mean Squared Error (MMSE) estimators, their effectiveness in certain scenarios is questionable. Indeed, minimizing squared errors on average does not provide any form of…
We tackle covariance estimation in low-sample scenarios, employing a structured covariance matrix with shrinkage methods. These involve convexly combining a low-bias/high-variance empirical estimate with a biased regularization estimator,…
In small area estimation, it is a smart strategy to rely on data measured over time. However, linear mixed models struggle to properly capture time dependencies when the number of lags is large. Given the lack of published studies…
Shrinkage estimation usually reduces variance at the cost of bias. But when we care only about some parameters of a model, I show that we can reduce variance without incurring bias if we have additional information about the distribution of…
Empirical Bayes estimators are based on minimizing the average risk with the hyper-parameters in the weighting function being estimated from observed data. The performance of an empirical Bayes estimator is typically evaluated by its mean…
The stochastic minimum-variance pseudo-unbiased reduced-rank estimator (stochastic MV-PURE estimator) has been developed to provide linear estimation with robustness against high noise levels, imperfections in model knowledge, and…
In nonlinear deterministic parameter estimation, the maximum likelihood estimator (MLE) is unable to attain the Cramer-Rao lower bound at low and medium signal-to-noise ratios (SNR) due the threshold and ambiguity phenomena. In order to…
We conduct non-asymptotic analysis on the mean-field variational inference for approximating posterior distributions in complex Bayesian models that may involve latent variables. We show that the mean-field approximation to the posterior…
In this paper, we treat estimation and prediction problems where negative multinomial variables are observed and in particular consider unbalanced settings. First, the problem of estimating multiple negative multinomial parameter vectors…
We consider the problem of sequentially learning to estimate, in the mean squared error (MSE) sense, a Gaussian $K$-vector of unknown covariance by observing only $m < K$ of its entries in each round. We propose two MSE estimators, and…
Variance estimation in the linear model when $p > n$ is a difficult problem. Standard least squares estimation techniques do not apply. Several variance estimators have been proposed in the literature, all with accompanying asymptotic…
Consider the problem of estimating a multivariate normal mean with a known variance matrix, which is not necessarily proportional to the identity matrix. The coordinates are shrunk directly in proportion to their variances in Efron and…
We advance the theory of parametric bootstrap in constructing highly efficient empirical best (EB) prediction intervals of small area means. The coverage error of such a prediction interval is of the order $O(m^{-3/2})$, where $m$ is the…
This paper devises a fully Bayesian sample size determination method for hierarchical model-based small area estimation with a decision risk approach. A new loss function specified around a desired maximum posterior variance target…
In many estimation theory and statistical analysis problems, the true data model is unknown, or partially unknown. To describe the model generating the data, parameterized models of some degree are used. A question that arises is which…
This paper is speculated to propose a class of shrinkage estimators for shape parameter beta in failure censored samples from two-parameter Weibull distribution when some 'apriori' or guessed interval containing the parameter beta is…