Related papers: Indirect Inference for L\'evy-driven continuous-ti…
In many applications involving large dataset or online updating, stochastic gradient descent (SGD) provides a scalable way to compute parameter estimates and has gained increasing popularity due to its numerical convenience and memory…
A method for sequential inference of the fixed parameters of a dynamic latent Gaussian models is proposed and evaluated that is based on the iterated Laplace approximation. The method provides a useful trade-off between computational…
We use approximate Bayesian computation (ABC) combined with an "improved" Markov chain Monte Carlo (IMCMC) method to estimate posterior distributions of model parameters in subgrid-scale (SGS) closures for large eddy simulations (LES) of…
Estimation of a precision matrix (i.e., inverse covariance matrix) is widely used to exploit conditional independence among continuous variables. The influence of abnormal observations is exacerbated in a high dimensional setting as the…
By means of two simple convexity arguments we are able to develop a general method for proving consistency and asymptotic normality of estimators that are defined by minimisation of convex criterion functions. This method is then applied to…
We present parameter learning in a Gaussian variational inference setting using only noisy measurements (i.e., no groundtruth). This is demonstrated in the context of vehicle trajectory estimation, although the method we propose is general.…
In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which…
In this paper, we consider possibly misspecified stochastic differential equation models driven by L\'{e}vy processes. Regardless of whether the driving noise is Gaussian or not, Gaussian quasi-likelihood estimator can estimate unknown…
There has been a recent surge of interest in the study of asymptotic reconstruction performance in various cases of generalized linear estimation problems in the teacher-student setting, especially for the case of i.i.d standard normal…
The class of locally stationary processes assumes that there is a time-varying spectral representation, that is, the existence of finite second moment. We propose the $\alpha$-stable locally stationary process by modifying the innovations…
Inference for doubly intractable distributions is challenging because the intractable normalizing functions of these models include parameters of interest. Previous auxiliary variable MCMC algorithms are infeasible for multi-dimensional…
Gaussian processes are widely employed as versatile modelling and predictive tools in spatial statistics, functional data analysis, computer modelling and diverse applications of machine learning. They have been widely studied over…
Inference for high-dimensional logistic regression models using penalized methods has been a challenging research problem. As an illustration, a major difficulty is the significant bias of the Lasso estimator, which limits its direct…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
Inference methods for computing confidence intervals in parametric settings usually rely on consistent estimators of the parameter of interest. However, it may be computationally and/or analytically burdensome to obtain such estimators in…
The purpose of this paper is to adapt the empirical characteristic function (ECF) method to stable, but possibly not inverse stable linear stochastic system driven by the increments of a Levy-process. A remarkable property of the ECF method…
We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…
This paper introduces a straightforward sieve-based approach for estimating and conducting inference on regression parameters in panel data models with interactive fixed effects. The method's key assumption is that factor loadings can be…
Instrumental variable (IV) analysis is widely used in fields such as economics and epidemiology to address unobserved confounding and measurement error when estimating the causal effects of intermediate covariates on outcomes. However,…
We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state process of such process can be described by a random…