Related papers: Estimation of Integrated Volatility Functionals wi…
In finite mixture models, apart from underlying mixing measure, true kernel density function of each subpopulation in the data is, in many scenarios, unknown. Perhaps the most popular approach is to choose some kernel functions that we…
For the kernel estimator of the quantile density function (the derivative of the quantile function), I show how to perform the boundary bias correction, establish the rate of strong uniform consistency of the bias-corrected estimator, and…
This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence…
Suppose that we wish to estimate a finite-dimensional summary of one or more function-valued features of an underlying data-generating mechanism under a nonparametric model. One approach to estimation is by plugging in flexible estimates of…
Learning kernels in operators from data lies at the intersection of inverse problems and statistical learning, providing a powerful framework for capturing non-local dependencies in function spaces and high-dimensional settings. In contrast…
Unitary errors, such as those arising from fault-tolerant compilation of quantum algorithms, systematically bias observable estimates. Correcting this bias typically requires additional resources, such as an increased number of non-Clifford…
We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity.…
We develop TwinKernel methods for nonparametric estimation of intensity functions of point processes. Building on the general TwinKernel framework and combining it with martingale techniques for counting processes, we construct estimators…
We propose a novel solution framework for inverse mixed-integer optimization based on analytic center concepts from interior point methods. We characterize the optimality gap of a given solution, provide structural results, and propose…
We consider a continuous-time stochastic volatility model. The model contains a stationary volatility process, the multivariate density of the finite dimensional distributions of which we aim to estimate. We assume that we observe the…
We propose a new estimator for nonparametric binary choice models that does not impose a parametric structure on either the systematic function of covariates or the distribution of the error term. A key advantage of our approach is its…
Estimators of doubly robust functionals typically rely on estimating two complex nuisance functions, such as the propensity score and conditional outcome mean for the average treatment effect functional. We consider the problem of how to…
We introduce an intrinsic estimator for the scalar curvature of a data set presented as a finite metric space. Our estimator depends only on the metric structure of the data and not on an embedding in $\mathbb{R}^n$. We show that the…
In this paper, we propose a variable selection method for general nonparametric kernel-based estimation. The proposed method consists of two-stage estimation: (1) construct a consistent estimator of the target function, (2) approximate the…
Predicting the minimum operating voltage ($V_{min}$) of chips is one of the important techniques for improving the manufacturing testing flow, as well as ensuring the long-term reliability and safety of in-field systems. Current $V_{min}$…
In this paper we propose a variable bandwidth kernel regression estimator for $i.i.d.$ observations in $\mathbb{R}^2$ to improve the classical Nadaraya-Watson estimator. The bias is improved to the order of $O(h_n^4)$ under the condition…
A local median decomposition is used to prove that a weighted local mean of a function is controlled by a weighted local mean of its local sharp maximal function. Together with (a local version of) the estimate $M^{\sharp}_{0,s}(Tf)(x) \le…
In this paper, we propose to estimate the invariant subspace across heterogeneous multiple networks using a novel bias-corrected joint spectral embedding algorithm. The proposed algorithm recursively calibrates the diagonal bias of the sum…
We consider nonparametric regression with functional covariates, that is, they are elements of an infinite-dimensional Hilbert space. A locally polynomial estimator is constructed, where an orthonormal basis and various tuning parameters…
In this paper we study the Fourier estimator of Malliavin and Mancino for the spot volatility. We establish the convergence of the trigonometric polynomial to the volatility's path in a setting that includes the following aspects. First,…