Related papers: Maximum Likelihood Estimation for Brownian Motion …
We consider parameter estimation in finite hidden state space Markov models with time-dependent inhomogeneous noise, where the inhomogeneity vanishes sufficiently fast. Based on the concept of asymptotic mean stationary processes we prove…
We prove the asymptotic properties of the maximum likelihood estimator (MLE) in time-varying transition probability (TVTP) regime-switching models. This class of models extends the constant regime transition probability in Markov-switching…
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…
We consider a one dimensional ballistic random walk evolving in an i.i.d. parametric random environment. We provide a maximum likelihood estimation procedure of the environment parameters based on a single observation of the path till the…
We study maximal clades in random phylogenetic trees with the Yule-Harding model or, equivalently, in binary search trees. We use probabilistic methods to reprove and extend earlier results on moment asymptotics and asymptotic normality. In…
This study focuses on the estimation of the Emax dose-response model, a widely utilized framework in clinical trials, agriculture, and environmental experiments. Existing challenges in obtaining maximum likelihood estimates (MLE) for model…
Mixture distributions with dynamic weights are an efficient way of modeling loss data characterized by heavy tails. However, maximum likelihood estimation of this family of models is difficult, mostly because of the need to evaluate…
The maximum likelihood threshold (MLT) of a graph $G$ is the minimum number of samples to almost surely guarantee existence of the maximum likelihood estimate in the corresponding Gaussian graphical model. We give a new characterization of…
Inference for locally stationary processes is often based on some local Whittle-type approximation of the likelihood function defined in the frequency domain. The main reasons for using such a likelihood approximation is that i) it has…
We present new results for consistency of maximum likelihood estimators with a focus on multivariate mixed models. Our theory builds on the idea of using subsets of the full data to establish consistency of estimators based on the full…
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…
We consider critical multitype Bienaym\'e trees that are either irreducible or possess a critical irreducible component with attached subcritical components. These trees are studied under two distinct conditioning frameworks: first,…
A fundamental question in the field of molecular computation is what computational tasks a biochemical system can carry out. In this work, we focus on the problem of finding the maximum likelihood estimate (MLE) for log-affine models. We…
Gradient Boosting Machines (GBM) are hugely popular for solving tabular data problems. However, practitioners are not only interested in point predictions, but also in probabilistic predictions in order to quantify the uncertainty of the…
For the univariate current status and, more generally, the interval censoring model, distribution theory has been developed for the maximum likelihood estimator (MLE) and smoothed maximum likelihood estimator (SMLE) of the unknown…
This work proposes ensemble Kalman randomized maximum likelihood estimation, a new derivative-free method for performing randomized maximum likelihood estimation, which is a method that can be used to generate approximate samples from…
Maximum regularized likelihood estimators (MRLEs) are arguably the most established class of estimators in high-dimensional statistics. In this paper, we derive guarantees for MRLEs in Kullback-Leibler divergence, a general measure of…
Membrane proteins move in heterogeneous environments with spatially (sometimes temporally) varying friction and with biochemical interactions with various partners. It is important to reliably distinguish different modes of motion to…
We find limiting distributions of the nonparametric maximum likelihood estimator (MLE) of a log-concave density, that is, a density of the form $f_0=\exp\varphi_0$ where $\varphi_0$ is a concave function on $\mathbb{R}$. The pointwise…
Time-homogeneous Markov chains are often used as disease progression models in studies of cost-effectiveness and optimal decision-making. Maximum likelihood estimation of these models can be challenging when data are collected at a time…