Related papers: Quasi-Maximum Likelihood Estimation of long-memory…
We introduce an estimation method for the scaled skewness coefficient of the sample mean of short and long memory linear processes. This method can be extended to estimate higher moments such as curtosis coefficient of the sample mean. Also…
We study behavior of the restricted maximum likelihood (REML) estimator under a misspecified linear mixed model (LMM) that has received much attention in recent gnome-wide association studies. The asymptotic analysis establishes consistency…
This paper is devoted to the estimation of a vector parametrizing an energy function associated to some "Nearest-Neighbours" Gibbs point process, via the pseudo-likelihood method. We present some convergence results concerning this…
We consider the problem of estimating the $L_1$ distance between two discrete probability measures $P$ and $Q$ from empirical data in a nonasymptotic and large alphabet setting. When $Q$ is known and one obtains $n$ samples from $P$, we…
We study computational and statistical aspects of learning Latent Markov Decision Processes (LMDPs). In this model, the learner interacts with an MDP drawn at the beginning of each epoch from an unknown mixture of MDPs. To sidestep known…
Accelerated algorithms for maximum likelihood image reconstruction are essential for emerging applications such as 3D tomography, dynamic tomographic imaging, and other high dimensional inverse problems. In this paper, we introduce and…
In this paper, a modification of the conventional approximations to the quasi-maximum likelihood method is introduced for the parameter estimation of diffusion processes from discrete observations. This is based on a convergent…
We review Quasi Maximum Likelihood estimation of factor models for high-dimensional panels of time series. We consider two cases: (1) estimation when no dynamic model for the factors is specified (Bai and Li, 2012, 2016); (2) estimation…
Monte Carlo and Quasi-Monte Carlo methods present a convenient approach for approximating the expected value of a random variable. Algorithms exist to adaptively sample the random variable until a user defined absolute error tolerance is…
This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain likelihood over a class of functions. The asymptotic behavior…
We consider the estimation of the affine parameter (and power-law exponent) in the preferential attachment model with random initial degrees. We derive the likelihood, and show that the maximum likelihood estimator (MLE) is asymptotically…
We present a novel implementation for the quadratic maximum likelihood (QML) power spectrum estimator for multiple correlated scalar fields on the sphere. Our estimator supports arbitrary binning in redshift and multipoles $\ell$ and…
Maximum likelihood estimation is applied to the determination of an unknown quantum measurement. The measuring apparatus performs measurements on many different quantum states and the positive operator-valued measures governing the…
In this paper, for POMDPs, we provide the convergence of a Q learning algorithm for control policies using a finite history of past observations and control actions, and, consequentially, we establish near optimality of such limit Q…
Partial Multi-label Learning (PML) is a type of weakly supervised learning where each training instance corresponds to a set of candidate labels, among which only some are true. In this paper, we introduce \our{}, a novel probabilistic…
In this paper, a nonparametric maximum likelihood (ML) estimator for band-limited (BL) probability density functions (pdfs) is proposed. The BLML estimator is consistent and computationally efficient. To compute the BLML estimator, three…
We develop a pseudo-metric analogue of bisimulation for generalized semi-Markov processes. The kernel of this pseudo-metric corresponds to bisimulation; thus we have extended bisimulation for continuous-time probabilistic processes to a…
We show the existence of a deep neural network capable of approximating a wide class of high-dimensional approximations. The construction of the proposed neural network is based on a quasi-optimal polynomial approximation. We show that this…
This paper is about vector autoregressive-moving average (VARMA) models with time-dependent coefficients to represent non-stationary time series. Contrarily to other papers in the univariate case, the coefficients depend on time but not on…
This paper develops a quasi-maximum likelihood estimator for genuinely unbalanced dynamic network panel data models with individual fixed effects. We propose a model that accommodates contemporaneous and lagged network spillovers, temporal…