Related papers: Fixed-b Asymptotics for Panel Models with Two-Way …
For a multidimensional It\^o semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated…
We present a weighted estimator of the covariance and correlation in bipartite complex systems with a double layer of heterogeneity. The advantage provided by the weighted estimators lies in the fact that the unweighted sample covariance…
We propose a change-point detection method for large scale multiple testing problems with data having clustered signals. Unlike the classic change-point setup, the signals can vary in size within a cluster. The clustering structure on the…
Inference for fixed effects estimators is often unreliable due to Nickell- and incidental parameter biases. While these issues are well understood for classical two-dimensional panels, little is known about three-dimensional panel…
To take sample biases and skewness in the observations into account, practitioners frequently weight their observations according to some marginal distribution. The present paper demonstrates that such weighting can indeed improve the…
Generalized causal effect estimands, including the Mann-Whitney parameter and causal net benefit, provide flexible summaries of treatment effects in randomized experiments with non-Gaussian or multivariate outcomes. We develop a unified…
The Wallace--Freeman estimator is a classical invariant point estimator whose large-sample properties have not been fully developed in a modern asymptotic framework. We show that the estimator can be formulated as a penalised M-estimator…
We present a new version of the truncated harmonic mean estimator (THAMES) for univariate or multivariate mixture models. The estimator computes the marginal likelihood from Markov chain Monte Carlo (MCMC) samples, is consistent,…
This paper studies the estimation of linear panel data models with interactive fixed effects, where one dimension of the panel, typically time, may be fixed. To this end, a novel transformation is introduced that reduces the model to a…
We consider the efficient use of an approximation within Markov chain Monte Carlo (MCMC), with subsequent importance sampling (IS) correction of the Markov chain inexact output, leading to asymptotically exact inference. We detail…
When the study variable is functional and storage capacities are limited or transmission costs are high, selecting with survey sampling techniques a small fraction of the observations is an interesting alternative to signal compression…
In a clustered observational study, a treatment is assigned to groups and all units within the group are exposed to the treatment. We develop a new method for statistical adjustment in clustered observational studies using approximate…
A/B testing is an important decision-making tool in product development for evaluating user engagement or satisfaction from a new service, feature or product. The goal of A/B testing is to estimate the average treatment effects (ATE) of a…
The objective of this paper is to propose an unbiased ratio-type estimator for finite population mean when the variables are negatively correlated. Hartley and Ross[2] and Singh and Singh [6] estimators are identified as particular cases of…
This paper investigates change-point of variance in panel data models with time series of $\alpha$-mixing. Based on the cumulative sum (CUSUM) method and the individual differences, we construct a CUSUM test for panel data models to detect…
Many community detection algorithms are inherently stochastic, leading to variations in their output depending on input parameters and random seeds. This variability makes the results of a single run of these algorithms less reliable.…
In the present paper we show how non--classical, quite accurate, critical exponents can be extracted in a very simple way from the Pad\'e analysis of the results obtained by mean field like approximation schemes, and in particular by the…
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula additionally corrects for the over-identification bias in…
For differences between means of continuous data from independent groups, the customary scale-free measure of effect is the standardized mean difference (SMD). To justify use of SMD, one should be reasonably confident that the group-level…
We obtain an asymptotic normality result that reveals the precise asymptotic behavior of the maximum likelihood estimators of parameters for a very general class of linear mixed models containing cross random effects. In achieving the…