相关论文: Trimmed L-moments For Estimation Multi-parameter A…

The likelihood functions for discretely observed nonlinear continuous-time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with…

The commonly used two-way fixed effects estimator is biased under correlated heterogeneity and can lead to misleading inference. The mean group estimator proposed by Pesaran and Smith (1995) is robust to correlated heterogeneity but…

This article presents a new class of generalized transmuted lifetime distributions which includes a large number of lifetime distributions as sub-family. Several important mathematical quantities such as density function, distribution…

Explicit functional forms for the generator derivatives of well-known one-parameter Archimedean copulas are derived. These derivatives are essential for likelihood inference as they appear in the copula density, conditional distribution…

When facing multivariate covariates, general semiparametric regression techniques come at hand to propose flexible models that are unexposed to the curse of dimensionality. In this work a semiparametric copula-based estimator for…

In the setting of entangled single-sample distributions, the goal is to estimate some common parameter shared by a family of distributions, given one \emph{single} sample from each distribution. We study mean estimation and linear…

This paper presents in detail the originally developed Quadratic Point Estimate Method (QPEM), aimed at efficiently and accurately computing the first four output moments of probabilistic distributions, using 2n^2+1 sample (or sigma)…

In this paper, we introduce a class of improved estimators for the mean parameter matrix of a multivariate normal distribution with an unknown variance-covariance matrix. In particular, the main results of [D.Ch\'etelat and M. T.…

In this paper, we consider the estimation of the unknown parameters of the multiple chirp signal model in presence of additive error. The chirp signals are quite common in many areas of science and engineering, specially sonar, radar, audio…

In this paper, a shrinkage estimator for the population mean is proposed under known quadratic loss functions with unknown covariance matrices. The new estimator is non-parametric in the sense that it does not assume a specific parametric…

This paper proposes an algorithm to generate random numbers from any member of the truncated multivariate elliptical family of distributions with a strictly decreasing density generating function. Based on Neal (2003) and Ho et al. (2012),…

Moment restrictions and their conditional counterparts emerge in many areas of machine learning and statistics ranging from causal inference to reinforcement learning. Estimators for these tasks, generally called methods of moments, include…

Heavy-tailed errors impair the accuracy of the least squares estimate, which can be spoiled by a single grossly outlying observation. As argued in the seminal work of Peter Huber in 1973 [{\it Ann. Statist.} {\bf 1} (1973) 799--821], robust…

Recently discovered identities in statistical mechanics have enabled the calculation of equilibrium ensemble averages from realizations of driven nonequilibrium processes, including single-molecule pulling experiments and analogous computer…

Spectral singularities at non-zero frequencies play an important role in investigating cyclic or seasonal time series. The publication [2] introduced the generalized filtered method-of-moments approach to simultaneously estimate singularity…

In system identification, estimating parameters of a model using limited observations results in poor identifiability. To cope with this issue, we propose a new method to simultaneously select and estimate sensitive parameters as key model…

This paper derives the nonparametric maximum likelihood estimator (NPMLE) of a distribution function from observations which are subject to both bias and censoring. The NPMLE is obtained by a simple EM algorithm which is an extension of the…

Meta-analyses are commonly used to provide solid evidence across numerous studies. Traditional moment methods, such as the DerSimonian-Laird method, remain popular in spite of the availability of more accurate alternatives. While moment…

Truncated conditional expectation functions are objects of interest in a wide range of economic applications, including income inequality measurement, financial risk management, and impact evaluation. They typically involve truncating the…

Given a dataset an outlier can be defined as an observation that it is unlikely to follow the statistical properties of the majority of the data. Computation of the location estimate of is fundamental in data analysis, and it is well known…