Related papers: Singularity and Error Analysis of a Simple Quatern…
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach…
We further develop a simple and compact technique for calculating the three flavor neutrino oscillation probabilities in uniform matter density. By performing additional rotations instead of implementing a perturbative expansion we…
We propose a monitoring indicator of the normality of the output of a gravitational wave detector. This indicator is based on the estimation of the kurtosis (i.e., the 4th order statistical moment normalized by the variance squared) of the…
We present a closed-form solution to Wahba's problem in the quaternion domain for the special case of two vector observations. Existing approaches, including Davenport's $q$-method, QUEST, Horn's method, and ESOQ algorithms, recover the…
Classical Fisher-information asymptotics describe the covariance of regular efficient estimators through the local quadratic approximation of the log-likelihood, and thus capture first-order geometry only. In curved models, including…
Given the Hamiltonian, the evaluation of unitary operators has been at the heart of many quantum algorithms. Motivated by existing deterministic and random methods, we present a hybrid approach, where Hamiltonians with large amplitude are…
We propose a cheaper version of \textit{a posteriori} error estimator from arXiv:1707.00057 for the linear second-order wave equation discretized by the Newmark scheme in time and by the finite element method in space. The new estimator…
Estimates of the approximate factor model are increasingly used in empirical work. Their theoretical properties, studied some twenty years ago, also laid the ground work for analysis on large dimensional panel data models with cross-section…
An effective two-stage method for an estimation of parameters of the linear regression is considered. For this purpose we introduce a certain quasi-estimator that, in contrast to usual estimator, produces two alternative estimates. It is…
This paper tackles the problem of jointly estimating the noise covariance matrix alongside states (parameters such as poses and points) from measurements corrupted by Gaussian noise and, if available, prior information. In such settings,…
The statistical properties of estimator using covariance matrix for the account of point-to-point correlations due to systematic errors are analyzed. It is shown that the covariance matrix estimator (CME) is consistent for the realistic…
This paper provides some extended results on estimating parameter matrix of several regression models when the covariate or response possesses weaker moment condition. We study the $M$-estimator of Fan et al. (Ann Stat 49(3):1239--1266,…
This paper studies the problem of estimating the covariance of a collection of vectors using only highly compressed measurements of each vector. An estimator based on back-projections of these compressive samples is proposed and analyzed. A…
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence…
In the reduced basis method, the evaluation of the a posteriori estimator can become very sensitive to round-off errors. In this note, the origin of the loss of accuracy is revealed, and a solution to this problem is proposed and…
Standard noise radars, as well as noise-type radars such as quantum two-mode squeezing radar, are characterized by a covariance matrix with a very specific structure. This matrix has four independent parameters: the amplitude of the…
We study the accuracy of estimating the covariance and the precision matrix of a $D$-variate sub-Gaussian distribution along a prescribed subspace or direction using the finite sample covariance. Our results show that the estimation…
The spinor representation of spin-1/2 states can equally well be mapped to a single unit quaternion, yielding a new perspective despite the equivalent mathematics. This paper first demonstrates a useable map that allows Bloch-sphere…
It has long been established that, if a panel dataset suffers from attrition, auxiliary (refreshment) sampling restores full identification under additional assumptions that still allow for nontrivial attrition mechanisms. Such…
This article proposes numerically robust algorithms for Gaussian state estimation with singular observation noise. Our approach combines a series of basis changes with Bayes' rule, transforming the singular estimation problem into a…