Related papers: Unbiased Estimation of Central Moments in Unbalanc…
In the linear random effects model, when distributional assumptions such as normality of the error variables cannot be justified, moments may serve as alternatives to describe relevant distributions in neighborhoods of their means.…
Training large-scale mixture of experts models efficiently on modern hardware requires assigning datapoints in a batch to different experts, each with a limited capacity. Recently proposed assignment procedures lack a probabilistic…
This paper introduces a general framework for estimating variance components in the linear mixed models via general unbiased estimating equations, which include some well-used estimators such as the restricted maximum likelihood estimator.…
We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, there…
An unbiased estimator for the ellipticity of an object in a noisy image is given in terms of the image moments. Three assumptions are made: i) the pixel noise is normally distributed, although with arbitrary covariance matrix, ii) the image…
When data are clustered, common practice has become to do OLS and use an estimator of the covariance matrix of the OLS estimator that comes close to unbiasedness. In this paper we derive an estimator that is unbiased when the random-effects…
We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance under mild regularity conditions. We apply our estimators to…
We show how to achieve the notion of "multicalibration" from H\'ebert-Johnson et al. [2018] not just for means, but also for variances and other higher moments. Informally, it means that we can find regression functions which, given a data…
Implicit feedback is widely leveraged in recommender systems since it is easy to collect and provides weak supervision signals. Recent works reveal a huge gap between the implicit feedback and user-item relevance due to the fact that…
Unbiased estimation for parameters of maximal distribution is a very fundamental problem in the statistical theory of sublinear expectation. In this paper, we proved that the maximum estimator is the largest unbiased estimator for the upper…
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for…
We derive two-sided bounds for moments of random multilinear forms (random chaoses) with nonnegative coeficients generated by independent nonnegative random variables $X_i$ which satisfy the following condition on the growth of moments:…
Descriptive statistics for parametric models are currently highly sensative to departures, gross errors, and/or random errors. Here, leveraging the structures of parametric distributions and their central moment kernel distributions, a…
We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A change of measure argument is used to extend existing…
Central moments and cumulants are often employed to characterize the distribution of data. The skewness and kurtosis are particularly useful for the detection of outliers, the assessment of departures from normally distributed data,…
Many economic models feature moment conditions that involve latent variables. When the latent variables are individual fixed effects in an auxiliary panel data regression, we construct orthogonal moments that eliminate first-order bias…
In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes or inverse problems, where one may have to discretize time…
Finite mixtures of regression models provide a flexible modeling framework for many phenomena. Using moment-based estimation of the regression parameters, we develop unbiased estimators with a minimum of assumptions on the mixture…
This paper provides a unified framework for analyzing tensor estimation problems that allow for nonlinear observations, heteroskedastic noise, and covariate information. We study a general class of high-dimensional models where each…
This paper considers a model with general regressors and unobservable factors. An estimator based on iterated principal components is proposed, which is shown to be not only asymptotically normal and oracle efficient, but under certain…