相关论文: Gaussian quasi-likelihood analysis for non-Gaussia…

\noindent \textbf{Abstract}: We consider the parameter estimation problem for the Ornstein-Uhlenbeck process $X$ driven by a fractional Ornstein-Uhlenbeck process $V$, i.e. the pair of processes defined by the non-Markovian continuous-time…

In stochastic systems with weak noise, the logarithm of the stationary distribution becomes proportional to a large deviation rate function called the quasi-potential. The quasi-potential, and its characterization through a variational…

We consider relative model comparison for the parametric coefficients of a semiparametric ergodic L\'{e}vy driven model observed at high-frequency. Our asymptotics is based on the fully explicit two-stage Gaussian quasi-likelihood function…

This paper investigates system identification problems with Gaussian inputs and quantized observations under fixed thresholds. By reinterpreting the nonlinear effects induced by quantization as the product of the unknown parameter and an…

Gaussian process regression in its most simplified form assumes normal homoscedastic noise and utilizes analytically tractable mean and covariance functions of predictive posterior distribution using Gaussian conditioning. Its…

We construct flexible likelihoods for multi-output Gaussian process models that leverage neural networks as components. We make use of sparse variational inference methods to enable scalable approximate inference for the resulting class of…

We study generalized additive partial linear models, proposing the use of polynomial spline smoothing for estimation of nonparametric functions, and deriving quasi-likelihood based estimators for the linear parameters. We establish…

We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model.…

Various approaches to stochastic processes exist, noting that key properties such as measurability and continuity are not trivially satisfied. We introduce a new theory for Gaussian processes using improper linear functionals. Using a…

We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theory of the estimator to a large class of non-Gaussian…

Asymptotic equivalence in Le Cam's sense for nonparametric regression experiments is extended to the case of non-regular error densities, which have jump discontinuities at their endpoints. We prove asymptotic equivalence of such regression…

In this paper we present a novel quasi-Newton algorithm for use in stochastic optimisation. Quasi-Newton methods have had an enormous impact on deterministic optimisation problems because they afford rapid convergence and computationally…

The goal of this paper is to propose a new approach to asymptotic analysis of the finite predictor for stationary sequences. It produces the exact asymptotics of the relative prediction error and the partial correlation coefficients. The…

We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian…

We consider estimation of a deterministic unknown parameter vector in a linear model with non-Gaussian noise. In the Gaussian case, dimensionality reduction via a linear matched filter provides a simple low dimensional sufficient statistic…

This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymptotic formulas for the mean square errors of the filtering…

Systems of a large number N of globally coupled maps have become popular as a relatively simple prototype of high-dimensional dynamics, showing many interesting and typical phenomena like synchronisation, cluster formation and…

This work is about a slow-fast data assimilation system under non-Gaussian noisy fluctuations. Firstly, we show the existence of a random invariant manifold for a stochastic dynamical system with non-Gaussian noise and two-time scales.…

Generalized Linear Mixed Models (GLMMs) are widely used for analysing clustered data. One well-established method of overcoming the integral in the marginal likelihood function for GLMMs is penalized quasi-likelihood (PQL) estimation,…

The mean-field theory for two-layer neural networks considers infinitely wide networks that are linearly parameterized by a probability measure over the parameter space. This nonparametric perspective has significantly advanced both the…