Related papers: Maximum Likelihood Estimation for a Markov-Modulat…
We study maximum likelihood estimation for the statistical model for undirected random graphs, known as the $\beta$-model, in which the degree sequences are minimal sufficient statistics. We derive necessary and sufficient conditions, based…
We suggest an iterative approach to computing K-step maximum likelihood estimates (MLE) of the parametric components in semiparametric models based on their profile likelihoods. The higher order convergence rate of K-step MLE mainly depends…
This paper considers the maximum likelihood estimation of factor models of high dimension, where the number of variables (N) is comparable with or even greater than the number of observations (T). An inferential theory is developed. We…
Mixed linear regression (MLR) model is among the most exemplary statistical tools for modeling non-linear distributions using a mixture of linear models. When the additive noise in MLR model is Gaussian, Expectation-Maximization (EM)…
Joint maximum likelihood (JML) estimation is one of the earliest approaches to fitting item response theory (IRT) models. This procedure treats both the item and person parameters as unknown but fixed model parameters and estimates them…
We present a data-driven framework to model the stochastic evolution of volume-price distribution from the New York Stock Exchange (NYSE) equities. The empirical distributions are sampled every 10 minutes over 976 trading days, and fitted…
Estimating model parameters is a crucial step in mathematical modelling and typically involves minimizing the disagreement between model predictions and experimental data. This calibration data can change throughout a study, particularly if…
Stochastic differential equations such as the Ornstein-Uhlenbeck process have long been used to model realworld probablistic events such as stock prices and temperature fluctuations. While statistical methods such as Maximum Likelihood…
Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in state space models. We first prove, under some regularity…
The Laplace approximation (LA) has been proposed as a method for approximating the marginal likelihood of statistical models with latent variables. However, the approximate maximum likelihood estimators (MLEs) based on the LA are often…
With the growth of interest in network data across fields, the Exponential Random Graph Model (ERGM) has emerged as the leading approach to the statistical analysis of network data. ERGM parameter estimation requires the approximation of an…
Suppose that we are given a time series where consecutive samples are believed to come from a probabilistic source, that the source changes from time to time and that the total number of sources is fixed. Our objective is to estimate the…
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…
Robust inferential methods based on divergences measures have shown an appealing trade-off between efficiency and robustness in many different statistical models. In this paper, minimum density power divergence estimators (MDPDEs) for the…
We introduce the Multilevel Euler-Maruyama (ML-EM) method compute solutions of SDEs and ODEs using a range of approximators $f^1,\dots,f^k$ to the drift $f$ with increasing accuracy and computational cost, only requiring a few evaluations…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure…
Masked diffusion models (MDMs) generate text by iteratively selecting positions to unmask and then predicting tokens at those positions. Yet MDMs lack proper likelihood evaluation: the evidence lower bound (ELBO) is not only a loose bound…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of…
In Positron Emission Tomography, movement leads to blurry reconstructions when not accounted for. Whether known a priori or estimated jointly to reconstruction, motion models are increasingly defined in continuum rather that in discrete,…