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This paper concerns the use of the expectation-maximisation (EM) algorithm for inference in partially observed diffusion processes. In this context, a well known problem is that all except a few diffusion processes lack closed-form…
Estimating a large alphabet probability distribution from a limited number of samples is a fundamental problem in machine learning and statistics. A variety of estimation schemes have been proposed over the years, mostly inspired by the…
Context: Software engineering has a problem in that when we empirically evaluate competing prediction systems we obtain conflicting results. Objective: To reduce the inconsistency amongst validation study results and provide a more formal…
As machine learning models grow increasingly competent, their predictions can supplement scarce or expensive data in various important domains. In support of this paradigm, algorithms have emerged to combine a small amount of high-fidelity…
Statistical inference on the explained variation of an outcome by a set of covariates is of particular interest in practice. When the covariates are of moderate to high-dimension and the effects are not sparse, several approaches have been…
Matching is one of the simplest approaches for estimating causal effects from observational data. Matching techniques compare the observed outcomes across pairs of individuals with similar covariate values but different treatment statuses…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…
Statistical inference on the mean of a Poisson distribution is a fundamentally important problem with modern applications in, e.g., particle physics. The discreteness of the Poisson distribution makes this problem surprisingly challenging,…
Between Bayesian and frequentist inference, it's commonly believed that the former is for cases where one has a prior and the latter is for cases where one has no prior. But the prior/no-prior classification isn't exhaustive, and most…
Meta-analysis based on only a few studies remains a challenging problem, as an accurate estimate of the between-study variance is apparently needed, but hard to attain, within this setting. Here we offer a new approach, based on the…
Contemporary statistical publications rely on simulation to evaluate performance of new methods and compare them with established methods. In the context of meta-analysis of log-odds-ratios, we investigate how the ways in which simulations…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
Important problems in causal inference, economics, and, more generally, robust machine learning can be expressed as conditional moment restrictions, but estimation becomes challenging as it requires solving a continuum of unconditional…
Computational models in chemistry rely on a number of approximations. The effect of such approximations on observables derived from them is often unpredictable. Therefore, it is challenging to quantify the uncertainty of a computational…
While the traditional viewpoint in machine learning and statistics assumes training and testing samples come from the same population, practice belies this fiction. One strategy -- coming from robust statistics and optimization -- is thus…
Model efficiency is a critical aspect of developing and deploying machine learning models. Inference time and latency directly affect the user experience, and some applications have hard requirements. In addition to inference costs, model…
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series data has been mainly discussed in the field of high…
While quantum speed-up in solving certain decision problems by a fault-tolerant universal quantum computer has been promised, a timely research interest includes how far one can reduce the resource requirement to demonstrate a provable…
We study semiparametric inference in some linear regression models with time-varying coefficients, dependent regressors and dependent errors. This problem, which has been considered recently by Zhang and Wu (2012) under the functional…
How should social scientists understand and communicate the uncertainty of statistically estimated causal effects? I propose we utilize the posterior distribution of a causal effect and present the probability of the effect being greater…