相关论文: Efficiency Analysis of the Simplified Refined Inst…
The two popular systemic risk measures CoVaR (Conditional Value-at-Risk) and CoES (Conditional Expected Shortfall) have recently been receiving growing attention on applications in economics and finance. In this paper, we study the…
Marginal structural models are a popular method for estimating causal effects in the presence of time-varying exposures. In spite of their popularity, no scalable non-parametric estimator exist for marginal structural models with…
We consider the problem of stochastic convex optimization under convex constraints. We analyze the behavior of a natural variance reduced proximal gradient (VRPG) algorithm for this problem. Our main result is a non-asymptotic guarantee for…
The asymptotic optimality (a.o.) of various hyper-parameter estimators with different optimality criteria has been studied in the literature for regularized least squares regression problems. The estimators include e.g., the maximum…
It has been shown that AIC-type criteria are asymptotically efficient selectors of the tuning parameter in non-concave penalized regression methods under the assumption that the population variance is known or that a consistent estimator is…
The theme of the present paper is numerical integration of $C^r$ functions using randomized methods. We consider variance reduction methods that consist in two steps. First the initial interval is partitioned into subintervals and the…
Stochastic approximation (SA) is a key method used in statistical learning. Recently, its non-asymptotic convergence analysis has been considered in many papers. However, most of the prior analyses are made under restrictive assumptions…
In this paper, we consider the interference rejection combining (IRC) receiver, which improves the cell-edge user throughput via suppressing inter-cell interference and requires estimating the covariance matrix including the inter-cell…
We present safe control of partially-observed linear time-varying systems in the presence of unknown and unpredictable process and measurement noise. We introduce a control algorithm that minimizes dynamic regret, i.e., that minimizes the…
In this paper, we study nonparametric estimation of instrumental variable (IV) regressions. While recent advancements in machine learning have introduced flexible methods for IV estimation, they often encounter one or more of the following…
Online system identification algorithms are widely used for monitoring, diagnostics and control by continuously adapting to time-varying dynamics. Typically, these algorithms consider a model structure that lacks parsimony and offers…
Leveraging external or historical data to improve the efficiency of randomized clinical trials without introducing bias or inflating the Type I error rate remains challenging. Recent work on externally trained prognostic scores, such as…
We propose and analyze a stabilizing iteration scheme for the algorithmic implementation of model predictive control for linear discrete-time systems. Polytopic input and state constraints are considered and handled by means of so-called…
We propose a statistical framework for the problem of parameter estimation from a noisy optomechanical system. The Cram\'er-Rao lower bound on the estimation errors in the long-time limit is derived and compared with the errors of…
We study the quadratic prediction error method -- i.e., nonlinear least squares -- for a class of time-varying parametric predictor models satisfying a certain identifiability condition. While this method is known to asymptotically achieve…
In the context of precision medicine, covariate-adjusted response-adaptive randomization (CARA) has garnered much attention from both academia and industry due to its benefits in providing ethical and tailored treatment assignments based on…
We present a finite-time framework for identifying stable and unstable linear time-invariant (LTI) systems from a single closed-loop input-output trajectory. The method does not require knowledge of the stabilizing controller, an…
We study a stochastic optimization problem in which the sampling distribution depends on the decision variable, and the available samples are generated through an iterate-dependent Markov chain. Such settings arise naturally in problems…
Sparse linear arrays, such as co-prime arrays and nested arrays, have the attractive capability of providing enhanced degrees of freedom. By exploiting the coarray structure, an augmented sample covariance matrix can be constructed and…
We present a continuous-time probabilistic approach for estimating the chirp signal and its instantaneous frequency function when the true forms of these functions are not accessible. Our model represents these functions by non-linearly…