相关论文: Non-parametric estimators of scaled cash flows

In this paper, we study a novel approach for the estimation of quantiles when facing potential right censoring of the responses. Contrary to the existing literature on the subject, the adopted strategy of this paper is to tackle censoring…

We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…

Designing scalable estimation algorithms is a core challenge in modern statistics. Here we introduce a framework to address this challenge based on parallel approximants, which yields estimators with provable properties that operate on the…

Inferring treatment effects on a survival time outcome based on data from an observational study is challenging due to the presence of censoring and possible confounding. An additional challenge occurs when a unit's treatment affects the…

There is a considerable literature in case-control logistic regression on whether or not non-confounding covariates should be adjusted for. However, only limited and ad hoc theoretical results are available on this important topic. A…

We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators.

In over-identified models, misspecification -- the norm rather than exception -- fundamentally changes what estimators estimate. Different estimators imply different estimands rather than different efficiency for the same target. A review…

Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…

Case-I interval-censored (current status) data from multistate systems are often encountered in biomedical and epidemiological studies. In this article, we focus on the problem of estimating state entry distribution and occupation…

A non-Boolean extension of the classical probability model is proposed. The non-Boolean probabilities reproduce typical quantum phenomena. The proposed model is more general and more abstract, but easier to interpret, than the quantum…

We propose a variational method to solve all three estimation problems for nonlinear stochastic dynamical systems: prediction, filtering, and smoothing. Our new approach is based upon a proper choice of cost function, termed the {\it…

Survival analysis is a statistical technique used to estimate the time until an event occurs. Although it is applied across a wide range of fields, adjusting for reporting delays under practical constraints remains a significant challenge…

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the…

Causal inference with time-to-event outcomes is fundamental in various scientific studies. In a static setup with fitted propensity scores, weighted Kaplan-Meier estimation for survival probabilities and weighted Breslow-Peto estimation for…

This study extends the Bayesian nonparametric instrumental variable regression model to determine the structural effects of covariates on the conditional quantile of the response variable. The error distribution is nonparametrically…

Annealed Importance Sampling (AIS) and its Sequential Monte Carlo (SMC) extensions are state-of-the-art methods for estimating normalizing constants of probability distributions. We propose here a novel Monte Carlo algorithm, Annealed Flow…

In this paper, we present the double smoothed nonparametric approach for infinitesimal conditional volatility of jump-diffusion model based on high frequency data. Under certain minimal conditions, we obtain the strong consistency and…

Aiming to estimate extreme precipitation forecast quantiles, we propose a nonparametric regression model that features a constant extreme value index. Using local linear quantile regression and an extrapolation technique from extreme value…

The subject of robust estimation in time series is widely discussed in literature. One of the approaches is to use GM-estimation. This method incorporates a broad class of nonparametric estimators which under suitable conditions includes…

The empirical distribution function assigns mass $1/n$ to each of the $n$ observations in a sample. As these are highly variable, estimation error may be reduced by replacing them with estimated observations that are asymptotically less…