相关论文: Deconvolution with unknown error distribution

Data observed at high sampling frequency are typically assumed to be an additive composite of a relatively slow-varying continuous-time component, a latent stochastic process or a smooth random function, and measurement error. Supposing…

The problem of f-divergence estimation is important in the fields of machine learning, information theory, and statistics. While several nonparametric divergence estimators exist, relatively few have known convergence properties. In…

In this work we tackle the problem of estimating the density $ f_X $ of a random variable $ X $ by successive smoothing, such that the smoothed random variable $ Y $ fulfills the diffusion partial differential equation $ (\partial_t -…

This paper considers the deconvolution problem in the case where the target signal is multidimensional and no information is known about the noise distribution. More precisely, no assumption is made on the noise distribution and no samples…

Given samples (x_1,...,x_m) and (z_1,...,z_n) which we believe are independent realizations of random variables X and Z respectively, where we further believe that Z=X+Y with Y independent of X, the problem is to estimate the distribution…

We derive multiscale statistics for deconvolution in order to detect qualitative features of the unknown density. An important example covered within this framework is to test for local monotonicity on all scales simultaneously. We…

The estimation of an f-divergence between two probability distributions based on samples is a fundamental problem in statistics and machine learning. Most works study this problem under very weak assumptions, in which case it is provably…

Sobolev quantities (norms, inner products, and distances) of probability density functions are important in the theory of nonparametric statistics, but have rarely been used in practice, partly due to a lack of practical estimators. They…

We consider a multivariate density model where we estimate the excess mass of the unknown probability density $f$ at a given level $\nu>0$ from $n$ i.i.d. observed random variables. This problem has several applications such as…

Given a random sample from some unknown density $f_0: \mathbb R \to [0, \infty)$ we devise Haar wavelet estimators for $f_0$ with variable resolution levels constructed from localised test procedures (as in Lepski, Mammen, and Spokoiny…

We introduce a new procedure to select the optimal cutoff parameter for Fourier density estimators that leads to adaptive rate optimal estimators, up to a logarithmic factor. This adaptive procedure applies for different inverse problems.…

We elaborate on a deconvolution method, used to estimate the empirical distribution of unknown parameters, as suggested recently by Efron (2013). It is applied to estimating the empirical distribution of the 'sampling probabilities' of m…

Assuming that a stochastic process $X=(X_t)_{t\geq 0}$ is a sum of a compound Poisson process $Y=(Y_t)_{t\geq 0}$ with known intensity $\lambda$ and unknown jump size density $f,$ and an independent Brownian motion $Z=(Z_t)_{t\geq 0},$ we…

Let $X$ and $Y$ be two independent identically distributed random variables with density $p(x)$ and $Z=\alpha X+\beta Y$ for some constants $\alpha>0$ and $\beta>0$. We consider the problem of estimating $p(x)$ by means of the samples from…

In the uniform deconvolution problem one is interested in estimating the distribution function $F_0$ of a nonnegative random variable, based on a sample with additive uniform noise. A peculiar and not well understood phenomenon of the…

We study the non-parametric estimation of an unknown density f with support on R+ based on an i.i.d. sample with multiplicative measurement errors. The proposed fully-data driven procedure consists of the estimation of the Mellin transform…

We consider noisy observations of a distribution with unknown support. In the deconvolution model, it has been proved recently [19] that, under very mild assumptions, it is possible to solve the deconvolution problem without knowing the…

We consider density estimators based on the nearest neighbors method applied to discrete point distibutions in spaces of arbitrary dimensionality. If the density is constant, the volume of a hypersphere centered at a random location is…

Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the…

In the regression model with errors in variables, we observe $n$ i.i.d. copies of $(Y,Z)$ satisfying $Y=f_{\theta^0}(X)+\xi$ and $Z=X+\epsilon$ involving independent and unobserved random variables $X,\xi,\epsilon$ plus a regression…