Results 21 to 30 of about 231,426 (276)
Journal of Statistical Software, 2014 Convex optimization now plays an essential role in many facets of statistics. We briefly survey some recent developments and describe some implementations of these methods in R .
Roger Koenker, Ivan Mizera
doaj +1 more source
Bayesian nonparametric subspace estimation [PDF]
2017 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2017 Principal component analysis is a widely used technique to perform dimension reduction. However, selecting a finite number of significant components is essential and remains a crucial issue. Only few attempts have proposed a probabilistic approach to adaptively select this number. This paper introduces a Bayesian nonparametric model to jointly estimate
Elvira, Clément +2 more
openaire +2 more sources
Stats, 2023 To address the difficult problem of the multi-step-ahead prediction of nonparametric autoregressions, we consider a forward bootstrap approach. Employing a local constant estimator, we can analyze a general type of nonparametric time-series model and ...
Dimitris N. Politis, Kejin Wu
doaj +1 more source
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA [PDF]
Econometric Theory, 2002 We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intrafamily component but require that observations from different families be independent. We establish consistency and asymptotic normality for our procedures.
Oliver Linton, Yoon-Jae Whang
openaire +4 more sources
Estimation and Inference for Spatio-Temporal Single-Index Models
Mathematics, 2023 To better fit the actual data, this paper will consider both spatio-temporal correlation and heterogeneity to build the model. In order to overcome the “curse of dimensionality” problem in the nonparametric method, we improve the estimation method of the
Hongxia Wang +3 more
doaj +1 more source
Nonparametric Range-Based Double Smoothing Spot Volatility Estimation for Diffusion Models
Complexity, 2020 We consider nonparametric spot volatility estimation for diffusion models with discrete high frequency observations. Our estimator is carried out in two steps.
Jingwei Cai
doaj +1 more source
Finite-Sample Bounds on the Accuracy of Plug-In Estimators of Fisher Information
Entropy, 2021 Finite-sample bounds on the accuracy of Bhattacharya’s plug-in estimator for Fisher information are derived. These bounds are further improved by introducing a clipping step that allows for better control over the score function.
Wei Cao +3 more
doaj +1 more source
Asymptotic equivalence and adaptive estimation for robust nonparametric regression [PDF]
, 2009 Asymptotic equivalence theory developed in the literature so far are only for bounded loss functions. This limits the potential applications of the theory because many commonly used loss functions in statistical inference are unbounded.
Cai, T. Tony, Zhou, Harrison H.
core +4 more sources
Adaptive Reduction of Curse of Dimensionality in Nonparametric Instrumental Variable Estimation
MathematicsNonparametric estimation of instrumental variable treatment effects typically builds on various nonparametric identification results. However, these estimators often face challenges from the curse of dimensionality in practice, as multi-dimensional ...
Ming-Yueh Huang, Kwun Chuen Gary Chan
doaj +1 more source
Gini estimation under infinite variance [PDF]
, 2017 We study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index $\alpha\in(1,2)$). We show that,
Cirillo, Pasquale +2 more
core +2 more sources