Related papers: Testing for the Minimum Mean-Variance Spanning Set
This paper considers inference for a function of a parameter vector in a partially identified model with many moment inequalities. This framework allows the number of moment conditions to grow with the sample size, possibly at exponential…
In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estimator are obtained. Several properties of the minimum mean…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
Estimating failure probabilities of engineering systems is an important problem in many engineering fields. In this work we consider such problems where the failure probability is extremely small (e.g $\leq10^{-10}$). In this case, standard…
The minimal spanning tree (MST) algorithm is a graph-theoretical cluster-finding method. We previously applied it to gamma-ray bidimensional images, showing that it is quite sensitive in finding faint sources. Possible sources are…
This paper proposes and analyzes fully data driven methods for inference about the mean function of a stochastic process from a sample of independent trajectories of the process, observed at discrete time points and corrupted by additive…
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of…
The stochastic proximal point (SPP) methods have gained recent attention for stochastic optimization, with strong convergence guarantees and superior robustness to the classic stochastic gradient descent (SGD) methods showcased at little to…
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator within a parametric family, we…
The construction of minimum spanning trees (MSTs) from correlation matrices is an often used method to study relationships in the financial markets. However most of the work on this topic tends to use the Pearson correlation coefficient,…
We propose an adversarial evaluation framework for sensitive feature inference based on minimum mean-squared error (MMSE) estimation with a finite sample size and linear predictive models. Our approach establishes theoretical lower bounds…
This paper proposes a family of weighted batch means variance estimators, which are computationally efficient and can be conveniently applied in practice. The focus is on Markov chain Monte Carlo simulations and estimation of the asymptotic…
Minimum spanning trees (MSTs) are used in a variety of fields, from computer science to geography. Infectious disease researchers have used them to infer the transmission pathway of certain pathogens. However, these are often the MSTs of…
We consider Bayesian variable selection for binary outcomes under a probit link with a spike-and-slab prior on the regression coefficients. Motivated by the computational challenges encountered by Markov chain Monte Carlo (MCMC) samplers in…
Diffusion processes with small noise conditioned to reach a target set are considered. The AMS algorithm is a Monte Carlo method that is used to sample such rare events by iteratively simulating clones of the process and selecting…
Subsampling is a widely used and effective approach for addressing the computational challenges posed by massive datasets. Substantial progress has been made in developing non-uniform, probability-based subsampling schemes that prioritize…
Sensitivity analysis is important to assess the impact of unmeasured confounding in causal inference from observational studies. The marginal sensitivity model (MSM) provides a useful approach in quantifying the influence of unmeasured…
This paper investigates the minimum mean square error (MMSE) estimation of x, given the observation y = Hx+n, when x and n are independent and Gaussian Mixture (GM) distributed. The introduction of GM distributions, represents a…
Markov state models (MSMs) are a widely used method for approximating the eigenspectrum of the molecular dynamics propagator, yielding insight into the long-timescale statistical kinetics and slow dynamical modes of biomolecular systems.…
Stochastic gradient Markov Chain Monte Carlo (SG-MCMC) has been developed as a flexible family of scalable Bayesian sampling algorithms. However, there has been little theoretical analysis of the impact of minibatch size to the algorithm's…