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Kink estimation in stochastic regression with dependent errors and predictors
Change point Kink High-order kernel Zero-crossing technique Long-range dependence Random Design Separationrate lemma
2010/3/11
In this article we study the estimation of the location of jump
points in the first derivative (referred to as kinks) of a regression function
μ in two random design models with different long-range...
Penalized maximum likelihood estimation for generalized linear point processes
Penalized maximum likelihood estimation generalized linear point processes
2010/3/11
A framework of generalized linear point process models (glppm) much akin to glm for regression is developed where the intensity depends upon a linear predictor process through a known function.In the ...
Quantile estimation with adaptive importance sampling
Quantile estimation law of iterated logarithm adaptive im-portance sampling stochastic approximation Robbins–Monro
2010/3/11
We introduce new quantile estimators with adaptive importance
sampling. The adaptive estimators are based on weighted samples
that are neither independent nor identically distributed. Using a
new l...
On some problems in the article “Efficient Likelihood Estimation in State Space Models” by Cheng-Der Fuh
problems Efficient Likelihood Estimation State Space Models
2010/3/11
Upon reading the paper Efficient Likelihood Estimation
in State Space Models by Cheng-Der Fuh I found a number of problems in the
formulations and a number of mathematical errors. Together, these fi...
On the neighborhood radius estimation in Variable-neighborhood Markov Random Fields
Gibbs measures random lattice fields variable-neighborhood Markovrandom fields Markovian approximations Context algorithm consistent estimation
2010/3/11
We consider Markov Random Fields defined by finite-region conditional probabilities
depending on a neighborhood of the region which changes with the boundary conditions.
The formal definition of the...
Vast volatility matrix estimation for high-frequency financial data
Convergence rate diffusion integrated volatility matrix norm micro-structure noise realized volatility
2010/3/10
High-frequency data observed on the prices of financial assets
are commonly modeled by diffusion processes with micro-structure
noise, and realized volatility-based methods are often used to estimat...
Estimation in Dirichlet random effects models
Linear mixed models generalized linear mixed models hierarchicalmodels Gibbs sampling Bayes estimation
2010/3/10
We also investigate methods for the estimation of the precision parameter
of the Dirichlet process, finding that maximum likelihood
may not be desirable, but a posterior mode is a reasonable approac...
Confidence bands in density estimation
Adaptive estimation limit theorem density estimation extremes Gaussian processes wavelet estimators kernel estimators
2010/3/11
we construct adaptive confidence bands that are honest for all densities
in a “generic” subset of the union of t-H¨older balls, 0 < t r,
where r is a fixed but arbitrary integer. The exceptional (...
Maximum Lq-likelihood estimation
Maximum Lq-likelihood estimation nonextensive entropy asymptotic efficiency exponential family tail probability estimation
2010/3/10
In this paper, the maximum Lq-likelihood estimator (MLqE), a
new parameter estimator based on nonextensive entropy [Kibernetika
3 (1967) 30–35] is introduced. The properties of the MLqE are stud-
i...
Nonparametric estimation of the mixing density using polynomials
Nonparametric estimation mixing density polynomials
2010/3/10
We consider the problem of estimating the mixing density f from n i.i.d. observations distributed according to amixture density with unknown mixing distribution. In contrast with finite mixtures model...
Estimation for High-Dimensional Linear Mixed-Effects Models Using l1-Penalization
Estimation High-Dimensional Linear Mixed-Effects Models l1-Penalization
2010/3/10
We propose an `1-penalized estimation procedure for high-dimensional lin-
ear mixed-effects models. The models are useful whenever there is a grouping
structure among high-dimensional observations, ...
Improved EM for Mixture Proportions with Applications to Nonparametric ML Estimation for Censored Data
AECM cocktail algorithm data augmentation doubly censored data EM globalconvergence NPMLE nonparametric mixtures
2010/3/10
Improved EM strategies, based on the idea of efficient data augmentation (Meng and van
Dyk 1997, 1998), are presented for ML estimation of mixture proportions. The resulting
algorithms inherit the s...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
Thresholded Lasso for high dimensional variable selection and statistical estimation
Linear regression Lasso Gauss-Dantzig Selector 1 regularization 0 penalty multiple-stepprocedure ideal model selection
2010/3/10
Given n noisy samples with p dimensions, where n p, we show that the multi-step thresholding procedure based on the Lasso – we call it the Thresholded Lasso, can accurately estimate a sparse vector ...
Computationally Efficient Estimation of Factor Multivariate Stochastic Volatility Models
Approximate EM Adaptive sampling Delayed rejection Gaussian copula marginallikelihood Markov chain Monte Carlo
2010/3/10
An Markov chain Monte Carlo simulation method based on a two stage delayed
rejection Metropolis-Hastings algorithm is proposed to estimate a factor
multivariate stochastic volatility model. The firs...