Related papers: Pseudo-Poisson Distributions with Nonlinear Condit…

We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian…

This paper considers estimation for linear regression analysis with covariate measurement error arising from Poisson surrogates. We consider cases where covariates follow a conditional Poisson distribution, capturing non-Gaussian and…

This paper proposes the asymmetric linear double autoregression, which jointly models the conditional mean and conditional heteroscedasticity characterized by asymmetric effects. A sufficient condition is established for the existence of a…

Generalized linear models are a popular tool in applied statistics, with their maximum likelihood estimators enjoying asymptotic Gaussianity and efficiency. As all models are wrong, it is desirable to understand these estimators' behaviours…

Many statistical estimands of interest (e.g., in regression or causality) are functions of the joint distribution of multiple random variables. But in some applications, data is not available that measures all random variables on each…

The Conway-Maxwell-Poisson distribution is a two-parameter generalisation of the Poisson distribution that can be used to model data that is under- or over-dispersed relative to the Poisson distribution. The normalizing constant…

We propose a two-step pseudo-maximum likelihood procedure for semiparametric single-index regression models where the conditional variance is a known function of the regression and an additional parameter. The Poisson single-index…

Motivated by real-world machine learning applications, we analyze approximations to the non-asymptotic fundamental limits of statistical classification. In the binary version of this problem, given two training sequences generated according…

One of the most widely used properties of the multivariate Gaussian distribution, besides its tail behavior, is the fact that conditional means are linear and that conditional variances are constant. We here show that this property is also…

This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are…

In this paper we discuss improved estimators for the regression and the dispersion parameters in an extended class of dispersion models (J{\o}rgensen, 1996). This class extends the regular dispersion models by letting the dispersion…

Real count data time series often show the phenomenon of the underdispersion and overdispersion. In this paper, we develop two extensions of the first-order integer-valued autoregressive process with Poisson innovations, based on binomial…

Additive regression provides an extension of linear regression by modeling the signal of a response as a sum of functions of covariates of relatively low complexity. We study penalized estimation in high-dimensional nonparametric additive…

The pseudo-observations approach has been gaining popularity as a method to estimate covariate effects on censored survival data. It is used regularly to estimate covariate effects on quantities such as survival probabilities, restricted…

Most work in neural networks focuses on estimating the conditional mean of a continuous response variable given a set of covariates.In this article, we consider estimating the conditional distribution function using neural networks for both…

The paper considers the problem of estimating a $p\geq2$\ dimensional mean vector of a multivariate conditionally normal distribution under quadratic loss. The problem of this type arises when estimating the parameters in a continuous time…

A multivariate fractional Poisson process was recently defined in Beghin and Macci (2016) by considering a common independent random time change for a finite dimensional vector of independent (non-fractional) Poisson processes; moreover it…

Distribution regression seeks to estimate the conditional distribution of a multivariate response given a continuous covariate. This approach offers a more complete characterization of dependence than traditional regression methods.…

In this paper we develop a very general class of bivariate discrete distributions. The basic idea is very simple. The marginals are obtained by taking the random geometric sum of a baseline distribution function. The proposed class of…

Consider a model parameterized by a scalar parameter of interest and a nuisance parameter vector. Inference about the parameter of interest may be based on the signed root of the likelihood ratio statistic R. The standard normal…