Related papers: The SIML method without microstructure noise

Synthetic likelihood (SL) is a strategy for parameter inference when the likelihood function is analytically or computationally intractable. In SL, the likelihood function of the data is replaced by a multivariate Gaussian density over…

We prove the strong consistency and the asymptotic normality of the maximum likelihood estimator of the parameters of a general conditionally heteroscedastic model with $\alpha$-stable innovations. Then, we relax the assumptions and only…

This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with…

In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian…

We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators…

Regularization is essential in deep learning to enhance generalization and mitigate overfitting. However, conventional techniques often rely on heuristics, making them less reliable or effective across diverse settings. We propose Self…

Estimation of signal-to-noise ratios and residual variances in high-dimensional linear models has various important applications including, e.g. heritability estimation in bioinformatics. One commonly used estimator, usually referred to as…

This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate It\^o semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and…

In this paper the choice of the Bernoulli distribution as biased distribution for importance sampling (IS) Monte-Carlo (MC) simulation of linear block codes over binary symmetric channels (BSCs) is studied. Based on the analytical…

Maximum Likelihood Estimators (MLE) has many good properties. For example, the asymptotic variance of MLE solution attains equality of the asymptotic Cram{\'e}r-Rao lower bound (efficiency bound), which is the minimum possible variance for…

A primary challenge in semi-supervised learning (SSL) for segmentation is the confirmation bias from noisy pseudo-labels, which destabilizes training and degrades performance. We propose Inconsistency Masks (IM), a framework that reframes…

Modeling irregularly-sampled time series (ISTS) is challenging because of missing values. Most existing methods focus on handling ISTS by converting irregularly sampled data into regularly sampled data via imputation. These models assume an…

This paper describes several new algorithms for estimating the parameters of a periodic bandlimited signal from samples corrupted by jitter (timing noise) and additive noise. Both classical (non-random) and Bayesian formulations are…

Consider a process satisfying a stochastic differential equation with unknown drift parameter, and suppose that discrete observations are given. It is known that a simple least squares estimator (LSE) can be consistent, but numerically…

In order to approximate solutions of stochastic partial differential equations (SPDEs) that do not possess commutative noise, one has to simulate the involved iterated stochastic integrals. Recently, two approximation methods for iterated…

Using the maximum-likelihood detector (MLD) of a soliton with timing jitter and noise, other than walk-out of the bit interval, timing jitter does not degrade the performance of MLD. When the MLD is simulated with important sampling method,…

While subspace identification methods (SIMs) are appealing due to their simple parameterization for MIMO systems and robust numerical realizations, a comprehensive statistical analysis of SIMs remains an open problem, especially in the…

In this paper, we address the classical problem of maximum-likelihood (ML) detection of data in the presence of random phase noise. We consider a system, where the random phase noise affecting the received signal is first compensated by a…

Single Index Models (SIMs) are simple yet flexible semi-parametric models for machine learning, where the response variable is modeled as a monotonic function of a linear combination of features. Estimation in this context requires learning…

Restricting statistical experiments via nuisance-ancillary $\sigma$-fields yields nuisance-free experiments. However, a moot point with ancillarity is that maximal ancillary $\sigma$-fields are typically not unique. There are exceptions,…