Related papers: Fast calibration of weak FARIMA models
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional…
Latent variable models have been playing a central role in psychometrics and related fields. In many modern applications, the inference based on latent variable models involves one or several of the following features: (1) the presence of…
This paper proposes feasible asymptotically efficient estimators for a certain class of Gaussian noises with self-similar and stationary properties, which includes the fractional Gaussian noise, under high frequency observations. In this…
We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters…
The local regularity of functional time series is studied under $L^p-m-$appro\-ximability assumptions. The sample paths are observed with error at possibly random design points. Non-asymptotic concentration bounds of the regularity…
High-dimensional time series are a core ingredient of the statistical modeling toolkit, for which numerous estimation methods are known.But when observations are scarce or corrupted, the learning task becomes much harder.The question is:…
This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data studied by Morikawa and Kim (2016). Their semiparametrically efficient estimator requires explicit nonparametric estimation and so…
In this note a new high performance least squares parameter estimator is proposed. The main features of the estimator are: (i) global exponential convergence is guaranteed for all identifiable linear regression equations; (ii) it…
We obtain estimation error rates for estimators obtained by aggregation of regularized median-of-means tests, following a construction of Le Cam. The results hold with exponentially large probability -- as in the gaussian framework with…
We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, there…
This work proposes a new minimum distance estimator (MDE) for the parameters of short and long memory models. This bias corrected minimum distance estimator (BCMDE) considers a correction in the usual MDE to account for the bias of the…
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…
Weak consistency and asymptotic normality of the ordinary least-squares estimator in a linear regression with adaptive learning is derived when the crucial, so-called, `gain' parameter is estimated in a first step by nonlinear least squares…
The Fisher information matrix (FIM) is a key quantity in statistics as it is required for example for evaluating asymptotic precisions of parameter estimates, for computing test statistics or asymptotic distributions in statistical testing,…
We consider the issue of performing accurate small sample inference in beta autoregressive moving average model, which is useful for modeling and forecasting continuous variables that assumes values in the interval $(0,1)$. The inferences…
This paper studies the principal components (PC) estimator for high dimensional approximate factor models with weak factors in that the factor loading ($\boldsymbol{\Lambda}^0$) scales sublinearly in the number $N$ of cross-section units,…
Consider a linear model $y = X \beta + z$, $z \sim N(0, \sigma^2 I_n)$. The Gram matrix $\Theta = \frac{1}{n} X'X$ is non-sparse, but it is approximately the sum of two components, a low-rank matrix and a sparse matrix, where neither…
The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-time observations) for the unknown drift parameters. This…
We consider a finite impulse response system with centered independent sub-Gaussian design covariates and noise components that are not necessarily identically distributed. We derive non-asymptotic near-optimal estimation and prediction…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…