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The eigenvalue decomposition (EVD) parameters of the second order statistics are ubiquitous in statistical analysis and signal processing. Notably, the EVD of robust scatter $M$-estimators is a popular choice to perform robust probabilistic…
In this paper, we observe a fixed number of unknown $2\pi$-periodic functions differing from each other by both phases and amplitude. This semiparametric model appears in literature under the name "shape invariant model." While the common…
A new method for estimating structural equation models (SEM) is proposed and evaluated. In contrast to most other methods, it is based directly on the data, not on the covariance matrix of the data. The new approach is flexible enough to…
Recently a blind source separation model was suggested for spatial data together with an estimator based on the simultaneous diagonalisation of two scatter matrices. The asymptotic properties of this estimator are derived here and a new…
This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt \tau_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random…
This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its…
The aim of this paper is to present a new estimation procedure that can be applied in many statistical frameworks including density and regression and which leads to both robust and optimal (or nearly optimal) estimators. In density…
Rare properties remain a challenge for statistical model checking (SMC) due to the quadratic scaling of variance with rarity. We address this with a variance reduction framework based on lightweight importance splitting observers. These…
When studying treatment effects in multilevel studies, investigators commonly use (semi-)parametric estimators, which make strong parametric assumptions about the outcome, the treatment, and/or the correlation structure between study units…
We study the problem of computationally efficient robust estimation of the covariance/scatter matrix of elliptical distributions -- that is, affine transformations of spherically symmetric distributions -- under the strong contamination…
Given a random sample of points from some unknown distribution, we propose a new data-driven method for estimating its probability support $S$. Under the mild assumption that $S$ is $r$-convex, the smallest $r$-convex set which contains the…
The estimation of parameters in a linear model is considered under the hypothesis that the noise, with finite second order statistics, can be represented in a given deterministic basis by random coefficients. An extended underdetermined…
In the regression model with errors in variables, we observe $n$ i.i.d. copies of $(Y,Z)$ satisfying $Y=f_{\theta^0}(X)+\xi$ and $Z=X+\epsilon$ involving independent and unobserved random variables $X,\xi,\epsilon$ plus a regression…
This paper proposes a closed-form optimal estimator based on the theory of estimating functions for a class of linear ARCH models. The estimating function (EF) estimator has the advantage over the widely used maximum likelihood (ML) and…
Marginal structural models are a popular method for estimating causal effects in the presence of time-varying exposures. In spite of their popularity, no scalable non-parametric estimator exist for marginal structural models with…
We deal with the equivariant estimation of scatter and location for p-dimensional data, giving emphasis to scatter. It it important that the estimators possess both a high efficiency for normal data and a high resistance to outliers, that…
The oracle property of model selection procedures has attracted a large volume of favorable publications in the literature, but also faced criticisms of being ineffective and misleading in applications. In this paper, we introduce a class…
In this paper, we provide $R$-estimators of the location of a rotationally symmetric distribution on the unit sphere of $\R^k$. In order to do so we first prove the local asymptotic normality property of a sequence of rotationally symmetric…
We consider a regression framework where the design points are deterministic and the errors possibly non-i.i.d. and heavy-tailed (with a moment of order $p$ in $[1,2]$). Given a class of candidate regression functions, we propose a…
The estimation of covariance matrices of multiple classes with limited training data is a difficult problem. The sample covariance matrix (SCM) is known to perform poorly when the number of variables is large compared to the available…