Related papers: Maximum Regularized Likelihood Estimators: A Gener…
We consider the problem of estimating the distribution function, the density and the hazard rate of the (unobservable) event time in the current status model. A well studied and natural nonparametric estimator for the distribution function…
Many nonlinear time series models have been proposed in the last decades. Among them, the models with regime switchings provide a class of versatile and interpretable models which have received a particular attention in the literature. In…
We consider a finite mixture of regressions (FMR) model for high-dimensional inhomogeneous data where the number of covariates may be much larger than sample size. We propose an l1-penalized maximum likelihood estimator in an appropriate…
The asymptotic normality of the Maximum Likelihood Estimator (MLE) is a long established result. Explicit bounds for the distributional distance between the distribution of the MLE and the normal distribution have recently been obtained for…
Regularized system identification has become a significant complement to more classical system identification. It has been numerically shown that kernel-based regularized estimators often perform better than the maximum likelihood estimator…
In this paper the Gaussian quasi maximum likelihood estimator (GQMLE) is generalized by applying a transform to the probability distribution of the data. The proposed estimator, called measure-transformed GQMLE (MT-GQMLE), minimizes the…
In finite mixtures of location-scale distributions, if there is no constraint on the parameters then the maximum likelihood estimate does not exist. But when the ratios of the scale parameters are restricted appropriately, the maximum…
Through the lense of multilevel model (MLM) specification and regularization, this is a connect-the-dots introductory summary of Small Area Estimation, e.g. small group prediction informed by a complex sampling design. While a comprehensive…
Due to its heavy-tailed and fully parametric form, the multivariate generalized Gaussian distribution (MGGD) has been receiving much attention for modeling extreme events in signal and image processing applications. Considering the…
Shape constraints yield flexible middle grounds between fully nonparametric and fully parametric approaches to modeling distributions of data. The specific assumption of log-concavity is motivated by applications across economics, survival…
Estimating the unconstrained mean and covariance matrix is a popular topic in statistics. However, estimation of the parameters of $N_p(\mu,\Sigma)$ under joint constraints such as $\Sigma\mu = \mu$ has not received much attention. It can…
Maximum likelihood estimation (MLE) methods are widely used for evolutionary tree. As evolutionary tree is not a smooth parameter, the consistency of its MLE has been a topic of debate. It has been noted without proof that the classical…
We consider a one-dimensional recurrent random walk in random environment (RWRE) when the environment is i.i.d. with a parametric, finitely supported distribution. Based on a single observation of the path, we provide a maximum likelihood…
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…
Matrix regression plays an important role in modern data analysis due to its ability to handle complex relationships involving both matrix and vector variables. We propose a class of regularized regression models capable of predicting both…
We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parameter. Our approach is based on the approximation by random…
We study maximum likelihood estimation (MLE) in the generalized group orbit recovery model, where each observation is generated by applying a random group action and a known, fixed linear operator to an unknown signal, followed by additive…
The advent of data science has spurred interest in estimating properties of distributions over large alphabets. Fundamental symmetric properties such as support size, support coverage, entropy, and proximity to uniformity, received most…
Distributed statistical inference has recently attracted immense attention. The asymptotic efficiency of the maximum likelihood estimator (MLE), the one-step MLE, and the aggregated estimating equation estimator are established for…
Boltzmann machines (BMs) are a class of binary neural networks for which there have been numerous proposed methods of estimation. Recently, it has been shown that in the fully visible case of the BM, the method of maximum pseudolikelihood…