Related papers: The SIML method without microstructure noise
Theoretical guarantees are established for a standard estimator in a semi-parametric finite mixture model, where each component density is modeled as a product of univariate densities under a conditional independence assumption. The focus…
Orthogonal group synchronization aims to recover orthogonal group elements from their noisy pairwise measurements. It has found numerous applications including computer vision, imaging science, and community detection. Due to the orthogonal…
Structured illumination microscopy (SIM) has become an important technique for optical super-resolution imaging because it allows a doubling of image resolution at speeds compatible for live-cell imaging. However, the reconstruction of SIM…
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
This article introduces a new instrumental variable approach for estimating unknown population parameters with data having nonrandom missing values. With coarse and discrete instruments, Shao and Wang (2016) proposed a semiparametric method…
Network estimation from multi-variate point process or time series data is a problem of fundamental importance. Prior work has focused on parametric approaches that require a known parametric model, which makes estimation procedures less…
MISO, also known as Finito, was one of the first stochastic variance reduced methods discovered, yet its popularity is fairly low. Its initial analysis was significantly limited by the so-called Big Data assumption. Although the assumption…
Extracting a common robust signal from data divided into heterogeneous groups can be difficult when each group -- in addition to the signal -- can contain large, unique variation components. Previously, maximin estimation has been proposed…
In this paper, we consider a multiuser massive single-input multiple-output (SIMO) enabled Industrial Internet of Things (IIoT) communication system. To reduce the latency and overhead caused by channel estimation, we assume that only the…
A maximum likelihood type estimation of the drift and volatility coefficient parameters in the CIR type model driven by $\alpha$-stable noises is studied when the dispersion parameter $\varepsilon\to0$ and the discrete observations…
Higher order schemes for stochastic partial differential equations that do not possess commutative noise require the simulation of iterated stochastic integrals. In this work, we propose a derivative-free Milstein type scheme to approximate…
Many applications in mechanical, acoustic, and electronic engineering require estimating complex dynamical models, often represented as additive multi-input multi-output (MIMO) transfer functions with structural constraints. This paper…
We study statistical inference for small-noise-perturbed multiscale dynamical systems. We prove consistency, asymptotic normality, and convergence of all scaled moments of an appropriately-constructed maximum likelihood estimator (MLE) for…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
Unmeasured covariates constitute one of the important problems in causal inference. Even if there are some unmeasured covariates, some instrumental variable methods such as a two-stage residual inclusion (2SRI) estimator, or a…
Maximum pseudolikelihood (MPL) estimators are useful alternatives to maximum likelihood (ML) estimators when likelihood functions are more difficult to manipulate than their marginal and conditional components. Furthermore, MPL estimators…
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous and endogenous. In the process, we show that…
In this paper we provide a new efficient algorithm for approximately computing the profile maximum likelihood (PML) distribution, a prominent quantity in symmetric property estimation. We provide an algorithm which matches the previous best…
The Highly-Adaptive-Lasso(HAL)-TMLE is an efficient estimator of a pathwise differentiable parameter in a statistical model that at minimal (and possibly only) assumes that the sectional variation norm of the true nuisance parameters are…
Estimating the frequencies of multiple sinusoids in the presence of AWGN and when the data record is short is commonly accomplished by subspace-based methods such as ESPRIT, MUSIC, Min-Norm, etc. These methods do not assume that the data…