Related papers: One-step Local M-estimator for Integrated Jump-Dif…
Recently, we have proposed a maximum likelihood iterative algorithm for estimation of the parameters of the Nakagami-m distribution. This technique performs better than state of art estimation techniques for this distribution. This could be…
In this paper we study application of Le Cam's one-step method to parameter estimation in ordinary differential equations models. This computationally simple technique can serve as an alternative to numerical evaluation of the popular…
We improve a known result on the strong consistency of M-estimates of the regression parameters in a linear model for independent and identically distributed random errors under some mild conditions.
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
We present a new finite-sample analysis of M-estimators of locations in $\mathbb{R}^d$ using the tool of the influence function. In particular, we show that the deviations of an M-estimator can be controlled thanks to its influence function…
Consider the problem of joint parameter estimation and prediction in a Markov random field: i.e., the model parameters are estimated on the basis of an initial set of data, and then the fitted model is used to perform prediction (e.g.,…
We investigate robust parameter estimation and testing procedure for multivariate diffusion processes observed at high frequency via the minimum density power divergence estimator (MDPDE). Within a general diffusion framework and under…
In this paper, we consider a weighted local linear estimator based on the inverse selection probability for nonparametric regression with missing covariates at random. The asymptotic distribution of the maximal deviation between the…
This paper presents a distributed estimator for a deterministic parametric physical field sensed by a homogeneous sensor network and develops a new transformed expression for the Cramer-Rao lower bound (CRLB) on the variance of distributed…
We consider a linear model where the coefficients - intercept and slopes - are random with a law in a nonparametric class and independent from the regressors. Identification often requires the regressors to have a support which is the whole…
The single-scatter approximation is fundamental in many tomographic imaging problems including x-ray scatter imaging and optical scatter imaging for certain media. In all cases, noisy measurements are affected by both local scatter events…
We propose a communication-efficient distributed estimation method for sparse linear discriminant analysis (LDA) in the high dimensional regime. Our method distributes the data of size $N$ into $m$ machines, and estimates a local sparse LDA…
This is Part II of a two-part work on the estimation for a multi-layer generalized linear model (ML-GLM) in large system limits. In Part I, we had analyzed the asymptotic performance of an exact MMSE estimator, and obtained a set of coupled…
This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or…
This work proposes diffusion normalized least mean M-estimate algorithm based on the modified Huber function, which can equip distributed networks with robust learning capability in the presence of impulsive interference. In order to…
We propose a modified version of the three-step estimation method for the latent class model with covariates, which may be used to estimate latent Markov models for longitudinal data. The three-step estimation approach we propose is based…
The proliferation of science and technology has led to the prevalence of voluminous data sets that are distributed across multiple machines. It is an established fact that conventional statistical methodologies may be unfeasible in the…
We derive a nonparametric estimator of the jump-activity index $\beta$ of a "locally-stable" pure-jump It\^{o} semimartingale from discrete observations of the process on a fixed time interval with mesh of the observation grid shrinking to…
We introduce the bivariate jump-diffusion process, comprising two-dimensional diffusion and two-dimensional jumps, that can be coupled to one another. We present a data-driven, non-parametric estimation procedure of higher-order (up to 8)…
The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems. In an other article, in a so-called idealized setting, the…