相关论文: Information Criteria for Multivariate CARMA Proces…

As we enter the era of quantum technologies, quantum estimation theory provides an operationally motivating framework for determining high precision devices in modern technological applications. The aim of any estimation process is to…

Complex performance measures, beyond the popular measure of accuracy, are increasingly being used in the context of binary classification. These complex performance measures are typically not even decomposable, that is, the loss evaluated…

In recent years, methods of approximate parameter estimation have attracted considerable interest in complex problems where exact likelihoods are hard to obtain. In their most basic form, Bayesian methods such as Approximate Bayesian…

The paper considers high frequency sampled multivariate continuous-time ARMA (MCARMA) models, and derives the asymptotic behavior of the sample autocovariance function to a normal random matrix. Moreover, we obtain the asymptotic behavior…

In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at discrete time points. The class of cointegrated solutions of…

The efficacy of mathematical models heavily depends on the quality of the training data, yet collecting sufficient data is often expensive and challenging. Many modeling applications require inferring parameters only as a means to predict…

R\'enyi Information Dimension (RID) plays a central role in quantifying the compressibility of random variables with singularities in their distribution, encompassing and extending beyond the class of sparse sources. The RID, from a high…

Robust model-fitting to spectroscopic transitions is a requirement across many fields of science. The corrected Akaike and Bayesian information criteria (AICc and BIC) are most frequently used to select the optimal number of fitting…

This paper studies system identification of high-dimensional ARMA models with binary-valued observations. The existing paper can only deal with the case where the regression term is only one-dimensional. In this paper, the ARMA model with…

We introduce the Conditional Mutual Information (CMI) for the estimation of the Markov chain order. For a Markov chain of $K$ symbols, we define CMI of order $m$, $I_c(m)$, as the mutual information of two variables in the chain being $m$…

Selecting the number of regimes in Hidden Markov models is an important problem. There are many criteria that are used to select this number, such as Akaike information criterion (AIC), Bayesian information criterion (BIC), integrated…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

In model selection literature, two classes of criteria perform well asymptotically in different situations: Bayesian information criterion (BIC) (as a representative) is consistent in selection when the true model is finite dimensional…

For propensity score analysis and sparse estimation, we develop an information criterion for determining the regularization parameters needed in variable selection. First, for Gaussian distribution-based causal inference models, we extend…

This paper considers the estimation and inference of the low-rank components in high-dimensional matrix-variate factor models, where each dimension of the matrix-variates ($p \times q$) is comparable to or greater than the number of…

The paper considers the problem to estimate a graphical model corresponding to an autoregressive moving-average (ARMA) Gaussian stochastic process. We propose a new maximum entropy covariance and cepstral extension problem and we show that…

We study estimation of the covariance matrix under relative condition number loss $\kappa(\Sigma^{-1/2} \hat{\Sigma} \Sigma^{-1/2})$, where $\kappa(\Delta)$ is the condition number of matrix $\Delta$, and $\hat{\Sigma}$ and $\Sigma$ are the…

We consider an approximation scheme for multivariate information assuming that synergistic information only appearing in higher order joint distributions is suppressed, which may hold in large classes of systems. Our approximation scheme…

The maximum likelihood estimator is used to determine fit parameters for various parametric models of the Fourier periodogram followed by the selection of the best fit model amongst competing models using the Akaike information criteria.…

We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR). First, we show…