Related papers: Prewhitened Long-Run Variance Estimation Robust to…
While it is widely recognised that linear (structural) VARs may fail to capture important aspects of economic time series, the use of nonlinear SVARs has to date been almost entirely confined to the modelling of stationary time series,…
We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the…
The Allan Variance (AV) is a widely used quantity in areas focusing on error measurement as well as in the general analysis of variance for autocorrelated processes in domains such as engineering and, more specifically, metrology. The form…
In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the $L^2$-distance between the square of the regression function…
In this paper, we propose a suboptimal moving horizon estimator for nonlinear systems. For the stability analysis we transfer the "feasibility-implies-stability/robustness" paradigm from model predictive control to the context of moving…
During the last two decades, locally stationary processes have been widely studied in the time series literature. In this paper we consider the locally-stationary vector-auto-regression model of order one, or LS-VAR(1), and estimate its…
We introduce computational methods that allow for effective estimation of a flexible, parametric non-stationary spatial model when the field size is too large to compute the multivariate normal likelihood directly. In this method, the field…
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…
As large language models (LLMs) are increasingly deployed in high-stakes applications, robust uncertainty estimation is essential for ensuring the safe and trustworthy deployment of LLMs. We present the most comprehensive study to date of…
Nonparametric methods are widely applicable to statistical inference problems, since they rely on a few modeling assumptions. In this context, the fresh look advocated here permeates benefits from variable selection and compressive…
While deep neural networks are highly performant and successful in a wide range of real-world problems, estimating their predictive uncertainty remains a challenging task. To address this challenge, we propose and implement a loss function…
In this paper, the robust stability and convergence to the true state of moving horizon estimator based on an adaptive arrival cost are established for nonlinear detectable systems. Robust global asymptotic stability is shown for the case…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
This paper considers the problem of nonlinear attitude estimation for a rigid body system using intermittent and multi-rate inertial vector measurements as well as continuous (high-rate) angular velocity measurements. Two types of hybrid…
The efficient estimation of an approximate model order is very important for real applications with multi-dimensional data if the observed low-rank data is corrupted by additive noise. In this paper, we present a novel robust method for…
Variable selection plays a fundamental role in high-dimensional data analysis. Various methods have been developed for variable selection in recent years. Well-known examples are forward stepwise regression (FSR) and least angle regression…
This paper presents a robust fixed lag smoother for a class of nonlinear uncertain systems. A unified scheme, which combines a nonlinear robust estimator with a stable fixed lag smoother, is presented to improve the error covariance of the…
There has been a surge of interest in developing robust estimators for models with heavy-tailed and bounded variance data in statistics and machine learning, while few works impose unbounded variance. This paper proposes two type of robust…
It is well-known that kernel regression estimators do not produce a constant estimator variance over a domain. To correct this problem, Nishida and Kanazawa (2015) proposed a variance-stabilizing (VS) local variable bandwidth for Local…
The problem of testing for the parametric form of the conditional variance is considered in a fully nonparametric regression model. A test statistic based on a weighted $L_2$-distance between the empirical characteristic functions of…