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This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators. We discuss the causal interpretation of the…
We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…
How to deal with nonignorable response is often a challenging problem encountered in statistical analysis with missing data. Parametric model assumption for the response mechanism is often made and there is no way to validate the model…
The likelihood function plays a pivotal role in statistical inference; it is adaptable to a wide range of models and the resultant estimators are known to have good properties. However, these results hinge on correct specification of the…
Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modelling of complex structural relationships. However, they are not commonly used in practice due to the need for…
This article examines density estimation by combining a parametric approach with a nonparametric factor. The plug-in parametric estimator is seen as a crude estimator of the true density and is adjusted by a nonparametric factor. The…
A flexible approach for modeling both dynamic event counting and dynamic link-based networks based on counting processes is proposed, and estimation in these models is studied. We consider nonparametric likelihood based estimation of…
This paper presents a new estimator of the intercept of a linear regression model in cases where the outcome varaible is observed subject to a selection rule. The intercept is often in this context of inherent interest; for example, in a…
This paper studies a linear production model in team networks with missing links. In the model, heterogeneous workers, represented as nodes, produce jointly and repeatedly within teams, represented as links. Links are omitted when their…
We derive the joint asymptotic distribution of empirical quantiles and expected shortfalls under general conditions on the distribution of the underlying observations. In particular, we do not assume that the distribution function is…
It is often of interest to assess whether a function-valued statistical parameter, such as a density function or a mean regression function, is equal to any function in a class of candidate null parameters. This can be framed as a…
We propose a model selection approach for covariance estimation of a multi-dimensional stochastic process. Under very general assumptions, observing i.i.d replications of the process at fixed observation points, we construct an estimator of…
The paper considers the problem of distributed adaptive linear parameter estimation in multi-agent inference networks. Local sensing model information is only partially available at the agents and inter-agent communication is assumed to be…
Estimation of mutual information between random variables has become crucial in a range of fields, from physics to neuroscience to finance. Estimating information accurately over a wide range of conditions relies on the development of…
In this paper, we propose an empirical likelihood-based weighted estimator of regression parameter in quantile regression model with nonignorable missing covariates. The proposed estimator is computationally simple and achieves…
Functional data present as functions or curves possessing a spatial or temporal component. These components by nature have a fixed observational domain. Consequently, any asymptotic investigation requires modelling the increased correlation…
We propose a new estimation procedure of the conditional density for independent and identically distributed data. Our procedure aims at using the data to select a function among arbitrary (at most countable) collections of candidates. By…
Inference on the parametric part of a semiparametric model is no trivial task. If one approximates the infinite dimensional part of the semiparametric model by a parametric function, one obtains a parametric model that is in some sense…
Sequential data collection has emerged as a widely adopted technique for enhancing the efficiency of data gathering processes. Despite its advantages, such data collection mechanism often introduces complexities to the statistical inference…
In this paper, I characterize the network formation process as a static game of incomplete information, where the latent payoff of forming a link between two individuals depends on the structure of the network, as well as private…