Related papers: On the use of the cumulant generating function for…

Fitting parametric models by optimizing frequency domain objective functions is an attractive approach of parameter estimation in time series analysis. Whittle estimators are a prominent example in this context. Under weak conditions and…

The challenges posed by complex stochastic models used in computational ecology, biology and genetics have stimulated the development of approximate approaches to statistical inference. Here we focus on Synthetic Likelihood (SL), a…

We propose a new class of univariate nonstationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly-evolving time series as well as time series observations with missing…

Composite likelihood estimation has an important role in the analysis of multivariate data for which the full likelihood function is intractable. An important issue in composite likelihood inference is the choice of the weights associated…

Modern problems in statistics tend to include estimators of high computational complexity and with complicated distributions. Statistical inference on such estimators usually relies on asymptotic normality assumptions, however, such…

The class of composite likelihood functions provides a flexible and powerful toolkit to carry out approximate inference for complex statistical models when the full likelihood is either impossible to specify or unfeasible to compute.…

We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant…

In this article, we propose a novel logistic quasi-maximum likelihood estimation (LQMLE) for general parametric time series models. Compared to the classical Gaussian QMLE and existing robust estimations, it enjoys many distinctive…

This paper studies simultaneous inference of conditional distributions in nonlinear time series from a sieve M-regression perspective. Existing literature on sieve M-regression has primarily focused on pointwise asymptotics, leaving the…

We propose a robust inferential procedure for assessing uncertainties of parameter estimation in high-dimensional linear models, where the dimension $p$ can grow exponentially fast with the sample size $n$. Our method combines the…

Generative modeling builds on and substantially advances the classical idea of simulating synthetic data from observed samples. This paper shows that this principle is not only natural but also theoretically well-founded for bootstrap…

Many generative models can be expressed as a differentiable function of random inputs drawn from some simple probability density. This framework includes both deep generative architectures such as Variational Autoencoders and a large class…

This paper presents a comprehensive algorithm for fitting generative models whose likelihood, moments, and other quantities typically used for inference are not analytically or numerically tractable. The proposed method aims to provide a…

This paper addresses the estimation of locally stationary long-range dependent processes, a methodology that allows the statistical analysis of time series data exhibiting both nonstationarity and strong dependency. A time-varying…

We propose testing procedures for the hypothesis that a given set of discrete observations may be formulated as a particular time series of counts with a specific conditional law. The new test statistics incorporate the empirical…

Learning a categorical distribution comes with its own set of challenges. A successful approach taken by state-of-the-art works is to cast the problem in a continuous domain to take advantage of the impressive performance of the generative…

A composite likelihood is an inference function derived by multiplying a set of likelihood components. This approach provides a flexible framework for drawing inference when the likelihood function of a statistical model is computationally…

We present a new framework for the robust estimation of latent time series models which is fairly general and, for example, covers models going from ARMA to state-space models. This approach provides estimators which are (i) consistent and…

Stochastic simulation models effectively capture complex system dynamics but are often too slow for real-time decision-making. Traditional metamodeling techniques learn relationships between simulator inputs and a single output summary…

We present a new framework for robust estimation and inference on second-order stationary time series and random fields. This framework is based on the Generalized Method of Wavelet Moments which uses the wavelet variance to achieve…