Related papers: On the tradeoff between almost sure error toleranc…

This paper discusses two goodness-of-fit testing problems. The first problem pertains to fitting an error distribution to an assumed nonlinear parametric regression model, while the second pertains to fitting a parametric regression model…

We establish distributional estimates for noncommutative martingales, in the sense of decreasing rearrangements of the spectra of unbounded operators, which generalises the study of distributions of random variables. Our results include…

We establish a practical and easy-to-implement sequential stopping rule for the martingale central limit theorem, focusing on Monte Carlo methods for estimating the mean of a non-iid sequence of martingale difference type. Starting with an…

We study the almost sure convergence of randomly truncated stochastic algorithms. We present a new convergence theorem which extends the already known results by making vanish the classical condition on the noise terms. The aim of this work…

Iterative numerical algorithms are typically equipped with a stopping criterion, where the iteration process is terminated when some error or misfit measure is deemed to be below a given tolerance. This is a useful setting for comparing…

Lower bounds for the average probability of error of estimating a hidden variable X given an observation of a correlated random variable Y, and Fano's inequality in particular, play a central role in information theory. In this paper, we…

This article proposes a novel test for the martingale difference hypothesis based on the martingale difference divergence function, a recently developed dependence measure suitable for measuring the degree of conditional mean dependence of…

A proof of the continuous martingale convergence theorem is provided. It relies on a classical martingale inequality and the almost sure convergence of a uniformly bounded non-negative super-martingale, after a truncation argument.

We investigate a collection of orthonormal functions that encodes information about the continued fraction expansion of real numbers. When suitably ordered these functions form a complete system of martingale differences and are a special…

Algorithmic stability is a central concept in statistics and learning theory that measures how sensitive an algorithm's output is to small changes in the training data. Stability plays a crucial role in understanding generalization,…

Maximum likelihood estimators are often of limited practical use due to the intensive computation they require. We propose a family of alternative estimators that maximize a stochastic variation of the composite likelihood function. Each of…

Typical random codes (TRC) in a communication scenario of source coding with side information at the decoder is the main subject of this work. We study the semi-deterministic code ensemble, which is a certain variant of the ordinary random…

In exponential semi-martingale setting for risky asset we estimate the difference of prices of options when initial physical measure $P$ and corresponding martingale measure $Q$ change to $\tilde{P}$ and $\tilde{Q}$ respectively. Then, we…

A classical condition for fast learning rates is the margin condition, first introduced by Mammen and Tsybakov. We tackle in this paper the problem of adaptivity to this condition in the context of model selection, in a general learning…

This paper gives upper and lower bounds on the minimum error probability of Bayesian $M$-ary hypothesis testing in terms of the Arimoto-R\'enyi conditional entropy of an arbitrary order $\alpha$. The improved tightness of these bounds over…

An important question for a probabilistic program is whether the probability mass of all its diverging runs is zero, that is that it terminates "almost surely". Proving that can be hard, and this paper presents a new method for doing so; it…

We study the joint laws of a continuous, uniformly integrable martingale, its maximum, and its minimum. In particular, we give explicit martingale inequalities which provide upper and lower bounds on the joint exit probabilities of a…

We discuss the problem of defining an estimate for the error in quasi-Monte Carlo integration. The key issue is the definition of an ensemble of quasi-random point sets that, on the one hand, includes a sufficiency of equivalent point sets,…

A recent article on generalised linear mixed model asymptotics, Jiang et al. (2022), derived the rates of convergence for the asymptotic variances of maximum likelihood estimators. If $m$ denotes the number of groups and $n$ is the average…

We discuss numerical approximation methods for Random Time Change equations which possess a deterministic drift part and jump with state-dependent rates. It is first established that solutions to such equations are versions of certain…