Related papers: Penalized Maximum Tangent Likelihood Estimation an…

Marginal maximum likelihood estimation (MMLE) in item response theory (IRT) is highly sensitive to aberrant responses, such as careless answering and random guessing, which can reduce estimation accuracy. To address this issue, this study…

In this article, we present the maximum weighted likelihood estimator (MWLE) for robust estimations of heavy-tail finite mixture models (FMM). This is motivated by the complex distributional phenomena of insurance claim severity data, where…

This paper studies macroeconomic forecasting and variable selection using a folded-concave penalized regression with a very large number of predictors. The penalized regression approach leads to sparse estimates of the regression…

The $\ell_1$-penalized method, or the Lasso, has emerged as an important tool for the analysis of large data sets. Many important results have been obtained for the Lasso in linear regression which have led to a deeper understanding of…

Maximum likelihood estimation in nonlinear models can exhibit substantial instability in finite samples when the data provide limited information about certain parameters. Such instability is driven by rare but extreme realizations of the…

This paper proposes a new class of M-estimators that double weight for the twin problems of nonrandom treatment assignment and missing outcomes, both of which are common issues in the treatment effects literature. The proposed class is…

Parameters defined via general estimating equations (GEE) can be estimated by maximizing the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219--255] have recently shown that this EL estimator exhibits desirable…

This paper presents a general theoretical framework of penalized quasi-maximum likelihood (PQML) estimation in stationary multiple time series models when the number of parameters possibly diverges. We show the oracle property of the PQML…

We present an efficient algorithm for maximum likelihood estimation (MLE) of exponential family models, with a general parametrization of the energy function that includes neural networks. We exploit the primal-dual view of the MLE with a…

The tensor Ising model is a discrete exponential family used for modeling binary data on networks with not just pairwise, but higher-order dependencies. A particularly important class of tensor Ising models are the tensor Curie-Weiss…

To perform regression analysis in high dimensions, lasso or ridge estimation are a common choice. However, it has been shown that these methods are not robust to outliers. Therefore, alternatives as penalized M-estimation or the sparse…

A procedure for asymptotic bias reduction of maximum likelihood estimates of generic estimands is developed. The estimator is realized as a plug-in estimator, where the parameter maximizes the penalized likelihood with a penalty function…

Penalized least squares estimation is a popular technique in high-dimensional statistics. It includes such methods as the LASSO, the group LASSO, and the nuclear norm penalized least squares. The existing theory of these methods is not…

This paper explores Maximum Likelihood in parametric models in the context of Sanov type Large Deviation Probabilities. MLE in parametric models under weighted sampling is shown to be associated with the minimization of a specific…

This article introduces the R package concrete, which implements a recently developed targeted maximum likelihood estimator (TMLE) for the cause-specific absolute risks of time-to-event outcomes measured in continuous time. Cross-validated…

Structural equation modeling (SEM) and path analysis have long been central tools for studying complex causal relationships in the social and behavioral sciences, yet their reliance on parametric assumptions can lead to biased inference…

Distributional regression aims to find the best candidate in a given parametric family of conditional distributions to model a given dataset. As each candidate in the distribution family can be identified by the corresponding distribution…

We introduce an optimization model for maximum likelihood-type estimation (M-estimation) that generalizes a large class of existing statistical models, including Huber's concomitant M-estimator, Owen's Huber/Berhu concomitant estimator, the…

Maximum Likelihood Estimators (MLE) has many good properties. For example, the asymptotic variance of MLE solution attains equality of the asymptotic Cram{\'e}r-Rao lower bound (efficiency bound), which is the minimum possible variance for…

We consider first order expansions of convex penalized estimators in high-dimensional regression problems with random designs. Our setting includes linear regression and logistic regression as special cases. For a given penalty function $h$…