Related papers: Drift Estimation for Discretely Sampled SPDEs
A statistical model is said to be un-normalised when its likelihood function involves an intractable normalising constant. Two popular methods for parameter inference for these models are MC-MLE (Monte Carlo maximum likelihood estimation),…
The paper proposes a systematic framework for building data-driven stochastic differential equation (SDE) models from sparse, noisy observations. Unlike traditional parametric approaches, which assume a known functional form for the drift,…
We study a non-parametric approach to multivariate density estimation. The estimators are piecewise constant density functions supported by binary partitions. The partition of the sample space is learned by maximizing the likelihood of the…
We consider a simple mean reverting diffusion process, with piecewise constant drift and diffusion coefficients, discontinuous at a fixed threshold. We discuss estimation of drift and diffusion parameters from discrete observations of the…
In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the estimation of its parameters. Here, we study the Maximum…
FRAME (Filters, Random fields, And Maximum Entropy) is an energy-based descriptive model that synthesizes visual realism by capturing mutual patterns from structural input signals. The maximum likelihood estimation (MLE) is applied by…
Lately, a New Transmuted Logistic-exponential (NTLE) distribution was introduced and studied as an extension of the Logistic-Exponential Distribution (LED) with wider applicability in lifetime modelling. However, the maximum likelihood…
We study the asymptotic behaviour of needlets-based approximate maximum likelihood estimators for the spectral parameters of Gaussian and isotropic spherical random fields. We prove consistency and asymptotic Gaussianity, in the…
We undertake a detailed study of the performance of maximum likelihood (ML) estimators of the density matrix of finite-dimensional quantum systems, in order to interrogate generic properties of frequentist quantum state estimation. Existing…
We study and compare three estimators of a discrete monotone distribution: (a) the (raw) empirical estimator; (b) the "method of rearrangements" estimator; and (c) the maximum likelihood estimator. We show that the maximum likelihood…
If the log likelihood is approximately quadratic with constant Hessian, then the maximum likelihood estimator (MLE) is approximately normally distributed. No other assumptions are required. We do not need independent and identically…
We consider a fully discrete scheme for nonlinear stochastic partial differential equations with non-globally Lipschitz coefficients driven by multiplicative noise in a multi-dimensional setting. Our method uses a polynomial based spectral…
We study nonparametric estimation of the sub-distribution functions for current status data with competing risks. Our main interest is in the nonparametric maximum likelihood estimator (MLE), and for comparison we also consider a simpler…
In this paper, we consider distributed maximum likelihood estimation (MLE) with dependent quantized data under the assumption that the structure of the joint probability density function (pdf) is known, but it contains unknown deterministic…
In this article we investigate consistency and asymptotic normality of the maximum likelihood and the posterior distribution of the parameters in the context of state space stochastic differential equations (SDEs). We then extend our…
This paper concerns the nonparametric estimation problem of the distribution-state dependent drift vector field in an interacting $N$-particle system. Observing single-trajectory data for each particle, we derive the mean-field rate of…
Over the last decades, the family of $\alpha$-stale distributions has proven to be useful for modelling in telecommunication systems. Particularly, in the case of radar applications, finding a fast and accurate estimation for the amplitude…
Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel,…
We use Stein characterisations to derive new moment-type estimators for the parameters of several truncated multivariate distributions in the i.i.d. case; we also derive the asymptotic properties of these estimators. Our examples include…
We consider a general multivariate model where univariate marginal distributions are known up to a parameter vector and we are interested in estimating that parameter vector without specifying the joint distribution, except for the…