相关论文: Quasi-maximum likelihood estimation of periodic GA…

This paper establishes the almost sure convergence and asymptotic normality of levels and differenced quasi maximum-likelihood (QML) estimators of dynamic panel data models. The QML estimators are robust with respect to initial conditions,…

For a GJR-GARCH specification with a generic innovation distribution we derive analytic expressions for the first four conditional moments of the forward and aggregated returns and variances. Moment for the most commonly used GARCH models…

We prove an abstract infinite dimensional KAM theorem, which could be applied to prove the existence and linear stability of small-amplitude quasi-periodic solutions for one dimensional forced Kirchhoff equations with periodic boundary…

The quantum ratchet effect in fully chaotic systems is approached by studying, for the first time, \emph{statistical} properties of the ratchet current over well-defined sets of initial states. Natural initial states in a semiclassical…

In this paper, we consider semi-Markov processes whose transition times and transition probabilities depend on a small parameter $\varepsilon$. Understanding the asymptotic behavior of such processes is needed in order to study the…

In this paper we consider two generalizations of Lancaster's (Review of Economic Studies, 2002) Modified Maximum Likelihood estimator (MMLE) for the panel AR(1) model with fixed effects, arbitrary initial conditions, and strictly exogenous…

We characterize the conditions under which a multi-time quantum process with a finite temporal resolution can be approximately described by an equilibrium one. By providing a generalization of the notion of equilibration on average, where a…

In cluster-specific studies, ordinary logistic regression and conditional logistic regression for binary outcomes provide maximum likelihood estimator (MLE) and conditional maximum likelihood estimator (CMLE), respectively. In this paper,…

This paper introduces a quasi-likelihood ratio testing procedure for diffusion processes observed under nonsynchronous sampling schemes. High-frequency data, particularly in financial econometrics, are often recorded at irregular time…

This article provides an introduction to the asymptotic analysis of covariance parameter estimation for Gaussian processes. Maximum likelihood estimation is considered. The aim of this introduction is to be accessible to a wide audience and…

A novel estimation approach for a general class of semi-parametric multivariate time series models is introduced where the conditional mean is modeled through parametric functions. The focus of the estimation is the conditional mean…

This paper studies quasi Bayesian estimation and uncertainty quantification for an unknown function that is identified by a nonparametric conditional moment restriction. We derive contraction rates for a class of Gaussian process priors.…

We propose a novel targeted maximum likelihood estimator (TMLE) for quantiles in semiparametric missing data models. Our proposed estimator is locally efficient, $\sqrt{n}$-consistent, asymptotically normal, and doubly robust, under…

We consider covariance parameter estimation for a Gaussian process under inequality constraints (boundedness, monotonicity or convexity) in fixed-domain asymptotics. We address the estimation of the variance parameter and the estimation of…

We consider the estimation of the affine parameter (and power-law exponent) in the preferential attachment model with random initial degrees. We derive the likelihood, and show that the maximum likelihood estimator (MLE) is asymptotically…

In this paper, a proof of asymptotic stability for the combined system-optimizer dynamics associated with a class of real-time methods for equality constrained nonlinear model predictive control is presented. General Q-linearly convergent…

This paper considers an augmented double autoregressive (DAR) model, which allows null volatility coefficients to circumvent the over-parameterization problem in the DAR model. Since the volatility coefficients might be on the boundary, the…

In this note, we give a short information-theoretic proof of the consistency of the Gaussian maximum likelihood estimator in linear auto-regressive models. Our proof yields nearly optimal non-asymptotic rates for parameter recovery and…

In this manuscript, we provide local $L^q$-estimates for the gradient of solutions of a class of quasilinear equations whose principal part lacks strong monotonicity. These estimates are used to establish uniform large-scale $L^q$-estimates…

We consider the problem of frequency estimation of the periodic signal multiplied by a stationary Gaussian process (Ornstein-Uhlenbeck) and observed in the presence of the white Gaussian noise. We show the consistency and asymptotic…