Related papers: Large sample properties of GMM estimators under se…
In this paper the asymptotic distribution of estimators is derived in a general regression setting where rank restrictions on a submatrix of the coefficient matrix are imposed and the regressors can include stationary or I(1) processes.…
A fundamental problem in statistics is estimating the shape matrix of an Elliptical distribution. This generalizes the familiar problem of Gaussian covariance estimation, for which the sample covariance achieves optimal estimation error.…
This paper studies nonparametric local (over-)identification and the semiparametric efficiency in modern causal frameworks. We develop a unified approach that begins by translating structural models with latent variables into their induced…
We present new alternative complete asymptotic expansions for the time harmonic low--frequency magnetic field perturbation caused by the presence of a conducting permeable object as its size tends to zero for the eddy current approximation…
We study the fundamental problem of estimating an unknown discrete distribution $p$ over $d$ symbols, given $n$ i.i.d. samples from the distribution. We are interested in minimizing the KL divergence between the true distribution and the…
In a recent article (Proc. Natl. Acad. Sci., 110(36), 14557-14562), El Karoui et al. study the distribution of robust regression estimators in the regime in which the number of parameters p is of the same order as the number of samples n.…
Le Cam's two-point testing method yields perhaps the simplest lower bound for estimating the mean of a distribution: roughly, if it is impossible to well-distinguish a distribution centered at $\mu$ from the same distribution centered at…
We consider higher order frequentist inference for the parametric component of a semiparametric model based on sampling from the posterior profile distribution. The first order validity of this procedure established by Lee, Kosorok and Fine…
Generalized empirical likelihood and generalized method of moments are well spread methods of resolution of inverse problems in econometrics. Each method defines a specific semiparametric model for which it is possible to calculate…
Standard large deviation estimates or the use of the Hubbard-Stratonovich transformation reduce the analysis of the distribution of the overlap parameters essentially to that of an explicitly known random function $\Phi_{N,\b}$ on $\R^M$.…
General first-order methods (GFOM) are a flexible class of iterative algorithms which update a state vector by matrix-vector multiplications and entrywise nonlinearities. A long line of work has sought to understand the large-n dynamics of…
In this paper, the forgetting of the initial distribution for a non-ergodic Hidden Markov Models (HMM) is studied. A new set of conditions is proposed to establish the forgetting property of the filter, which significantly extends all the…
Double Machine Learning is often justified by nuisance-rate conditions, yet finite-sample reliability also depends on the conditioning of the orthogonal-score Jacobian. This conditioning is typically assumed rather than tracked. When…
Two-sample inference for the difference of population means typically relies upon a Central Limit Theorem approximation. When data are drawn from a Negative Binomial distribution, previous work of Shilane et al. (2010) showed that a Normal…
This chapter reviews the microeconometrics literature on partial identification, focusing on the developments of the last thirty years. The topics presented illustrate that the available data combined with credible maintained assumptions…
This work introduces a family of univariate constrained mixtures of generalized normal distributions (CMGND) where the location, scale, and shape parameters can be constrained to be equal across any subset of mixture components. An…
Riemannian Gaussian distributions were initially introduced as basic building blocks for learning models which aim to capture the intrinsic structure of statistical populations of positive-definite matrices (here called covariance…
In this work, we give efficient algorithms for privately estimating a Gaussian distribution in both pure and approximate differential privacy (DP) models with optimal dependence on the dimension in the sample complexity. In the pure DP…
The paper proposes new second-order accuracy metrics for scoring or rating models, which show the target preference of the model, it is better to diagnose good objects or better to diagnose bad ones for a constant generally accepted…
Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters…